Implications for derivatives and hedge accounting under the Dodd-Frank Act

Save this PDF as:
Size: px
Start display at page:

Download "Implications for derivatives and hedge accounting under the Dodd-Frank Act"

Transcription

1 Implications for derivatives and hedge accounting under the Dodd-Frank Act In July 2010, Congress passed the Dodd-Frank Wall Street Reform and Consumer Protection Act 1 (the Act ) to increase government oversight of the financial markets. Title VII of the Act provides both the Commodity Futures Trading Commission ( CFTC ) and the U.S. Securities and Exchange Commission ( SEC ) with regulatory authority over the Over-the-Counter ( OTC ) derivatives market, mandating certain derivatives to be centrally cleared. This publication highlights the financial accounting impacts due to certain factors that companies will need to consider when adopting the clearing mandate in Title VII of the Act. It discusses areas that affected companies should consider when deciding whether to offset derivatives and collateral fair value amounts on their statement of financial positions. It also provides insights into other potential impacts on hedge accounting when centrally cleared derivatives are subject to novation and portfolio compression. Title VII of the Act and clearing mandates Clearing mandates under Title VII of the Act will be discretionary for certain counterparties, based on certain exceptions otherwise known as end-user exceptions, as described in Section 723(7)(A) of the Act. In spite of these end-user exceptions, it is likely clearing mandates for affected companies will significantly impact accounting policies and the application of hedge accounting and offsetting fair value amounts recognized for derivative instruments, and the right to receive cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivative instrument(s) recognized at fair value executed with the same counterparty under a master netting arrangement 2. The accounting ramifications from clearing mandates for financial statement offsetting and hedge accounting will likely be dependent on the interpretation of contractual agreements, recognition of the relationships among central counterparties, and the guidance from legal and accounting advisors and regulators. 1. Dodd-Frank Wall Street Reform and Consumer Protection Act U.S. Congress, accessed February 14, wallstreetreform-cpa.pdf. 2. Refer to ASC

2 Congress passed the Act to increase government oversight of the financial markets. The Act intends to provide transparency and accountability of the OTC derivatives market. Title VII of the Act also mandates clearing of eligible OTC derivatives that are categorized as such through on-going reviews by the CFTC and the SEC. This clearing mandate is expected to be phased in for companies identified by categories: Category one entities 3 by March 11, 2013 Category two entities 4 by June 10, 2013 Category three entities 5 by September 9, 2013 For more information on the implementation of clearing mandates, refer to the CFTC s press release issued on November 28, 2012, CFTC Issues Clearing Determination for Certain Credit Default Swaps and Interest Rate Swaps. 6 The CFTC s press release discusses new rules to require certain credit default swaps and interest rate swaps to be cleared by registered derivatives clearing organizations. End-user exception Section 723(7)(A) of the Act describes an end-user exception to the mandate when one of the counterparties (i) is not a financial entity; (ii) is using the swaps to hedge or mitigate commercial risk; and (iii) notifies the Commission [CFTC], in a manner set forth by the Commission, how it generally meets its financial obligations associated with entering into non-cleared swaps. Further, Section 723(7)(C)(ii) of the Act provides the CFTC authority to consider exempting small banks, savings associations, farm credit system institutions, and credit unions or collectively known as small financial institutions ( SFIs ) from the clearing mandate. We expect that any entity that is not a financial entity 7, SFIs, and certain companies that participate in hedging or mitigating commercial risk activities ( HMCR ) 8 will qualify for the end-user exception and will not be subject to the Act s clearing mandate. For more information on HMCR activities, refer to Deloitte s An interpretation of the hedge or mitigation risk criteria and the impact to compliance with the Dodd-Frank Act 9. What is central clearing? Central clearing is where a Central Counterparty ( CCP ) acts as an intermediary between the buyer and seller of the derivative contract. In central clearing, the CCP novates two separate and distinct contracts: the first with the buyer and the second with the seller. Whereas traditional OTC transactions are executed between a buyer and seller in a 3. Category one entities are swap dealers; security-based swap dealers; major swap participants; major security-based swap participants; or active funds. 4. Category two entities are commodity pools; private funds as defined in section 202(a) of the Investment Advisers Act of 1940 other than active funds; or persons predominantly engaged in activities that are in the business of banking, or in activities that are financial in nature as defined in section 4(k) of the Bank Holding Company Act of 1956, provided that, in each case, the entities are not a third-party subaccount. 5. Category three entities are those with third-party subaccounts, as well as any other entity not eligible to claim an exception under section 2(h)(7) of the CFTC s Commodity Exchange Act (CEA), including ERISA plans. 6. CFTC Issues Clearing Determination for Certain Credit Default Swaps and Interest Rate Swaps CFTC, accessed February 14, cftc.gov/pressroom/pressreleases/pr Section 723(7)(C) of the Act defines a financial entity as being a swap dealer; securities-based swap dealer; major swap participant; major security-based swap participant; commodity pool; private fund defined in section 202(a) of the Investment Advisers Act of 1940; employee benefit plan defined in paragraphs (3) and (32) of section 3 of the Employee Retirement Income Security Act of 1974; or person predominantly engaged in activities that are in the business of banking, or activities that are financial in nature, as defined in section 4(k) of the Bank Holding Company Act of HMCR is a term used to define certain activities that qualify for the end-user exception related to the Act s clearing mandate. A transaction can qualify for HMCR treatment if it qualifies as bona fide hedging under Commodity Exchange Act ( CEA ) rules; qualifies for hedging treatment under Accounting Standards Codification ( ASC ) 815 or Government Accounting Standards Board ( GASB ) 53; or if it is economically appropriate to the reduction of risks in the conduct and management of a commercial enterprise, where the risks arise in the ordinary course of business from a potential change in the value of (i) assets that a person owns, produces, manufactures, processes, or merchandises; (ii) liabilities that a person incurs; or (iii) services that a person provides or purchases. 9. An interpretation of the hedge or mitigation risk criteria and the impact to compliance with the Dodd-Frank Act Deloitte, accessed February 14, c4b310vgnvcm f70arcrd.htm. 2

3 bilateral trade, central clearing requires the involvement of a buyer, seller, clearing members 10, and a CCP. The terms buyer and seller are collectively referred to as end-users. Bilateral Trade vs. Centrally Cleared Trade Bilateral trade margin from clearing members in a default fund set aside by the CCP. The default fund covers any inadequate margin in the event end-users or clearing members were to default on the contract. Margin requirements for end-users are generally greater than those for clearing members. Centrally cleared trade Counterparty A Counterparty B Counterparty A Counterparty B Clearing member A CCP Clearing member B Bilateral Trade vs. Centrally Cleared Trade Copyright 2013 Deloitte Development LLC. All rights reserved. The intent of central clearing is to reduce systemic and counterparty credit risk. The CCP and clearing members bear the risk of counterparty default. The CCP manages the risk of counterparty default by maintaining margin, cash collateral, and a default fund. At the initial onset of central clearing, end-users agree on the payment arrangements through an electronic platform to submit the trade through the clearing member for central clearing. The CCP confirms its ability to clear the trade and end-users are required to collateralize their trades by posting collateral in the form of initial and variation margin to the CCP. Initial margin can be in the form of cash or qualifying securities in amounts defined by the CCP. Variation margin is in the form of cash payments. The party in a net loss position from the adverse price movement of the derivative contract is obligated to pay a cash variation margin to the CCP. Conversely, the CCP will pay the opposing party in the gain position variation margin in the form of a cash payment. On a daily basis, the CCP settles both initial and variation margin amounts with clearing members based on the prevailing current day s market prices. On the following day, clearing members settle margin amounts with their respective customers based on the previous day s settlement prices with the CCP. In this manner, the CCP s exposure to the risk of a clearing member s default is generally limited to the time between mark-to-market intervals or the period it takes to close out the positions of a defaulting clearing member. The CCP holds the initial The central clearing process and the use of CCPs can minimize the exposures to counterparty default by netting offsetting transactions through position netting and exposure netting as demonstrated in the following examples similar to those illustrated by the International Swap and Derivatives Association ( ISDA ) 11 : Position netting Company A enters into an interest rate swap ( IRS ) with Company B, with B having to pay a fixed rate of 1.2% and receive a variable rate of LIBOR plus 0.5% on a notional balance of $275 million. At the same time, B enters into an IRS with Company C and agrees to receive a fixed rate of 1.2% and pay a variable rate of LIBOR plus 0.5% on a notional balance of $275 million. The contractual terms of B s IRS contracts with A and C are identical. In a bilateral OTC trade, A and C are exposed to the risk of B s default due its risk of insolvency (i.e., bankruptcy). In a centrally cleared trade, the CCP extinguishes B s contractual obligations by way of novation. Because B s IRS positions with A and C are both offset, A and C are no longer exposed to B s risk of default as long as the CCP remains solvent. 10. Clearing members are members of an exchange and/or clearinghouse and are responsible for executing client trades. 11. The Economics of Central Clearing: Theory and Practice, ISDA Discussion Paper Series, n.s., 1 (May 2011): 7. Implications for derivatives and hedge accounting under the Dodd-Frank Act 3

4 Exposure netting When a CCP experiences default with an end-user that has mark-to-market gains on some contracts and losses on others, the CCP can limit its exposure to net losses with the end-user through those market gains and losses. As illustrated above, both end-users and CCPs may benefit from position and exposure netting as netting tends to reduce the exposures at default, meaning that derivatives counterparties lose less in the event of default than in the absence of netting. In addition to position and exposure netting, clearing members further reduce the exposure to the risk of counterparty default by securing the performance on each traded contract. In those rare instances where a clearing member fails, the CCP can replace the clearing member that has defaulted by auctioning the defaulting member s portfolio to other clearing members who are member firms of the CCP. Can centrally cleared derivatives be offset? 12 When considering whether they have the ability to offset centrally cleared derivatives, companies should consider supplementing new or existing accounting policies with the advice of legal counsel and refer to the following selected areas of the Financial Accounting Standards Board s (FASB)s guidance: ASC Balance Sheet Offsetting ASC Derivatives and Hedging ASC Debt Modifications and Extinguishments and the Determination of Whether a Third-Party Intermediary Is an Agent or a Principal Companies should refer to ASC and ASC to determine whether offsetting can be applied. Companies also may find it helpful to consider some of the discussion in ASC when identifying the counterparty, which will be discussed more in the forthcoming sections. Offsetting the fair value of derivatives and collateral In general, a reporting entity may elect to offset derivatives in its statement of financial position when all of the criteria in ASC are met. Those criteria state that: Each of two parties owes the other determinable amounts The reporting party has the right to setoff the amount owed with the amount owed by the other party The reporting party intends to setoff The right of setoff is enforceable at law However, ASC further notes that Without regard to [the third criterion above regarding intent to setoff] a reporting entity may offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a payable) arising from derivative instrument(s) recognized at fair value executed with the same counterparty under a master netting arrangement. This is an accounting policy election 13. If companies do not elect to offset, they are required to present in their statement of financial position the fair value of derivatives and collateral on a gross basis. Net presentation For instance, Company A has $500 million in derivative assets and $600 million in derivative liabilities. Based on the net liability position relative to its counterparty, Company A is required to post $100 million in cash collateral in accordance with the terms of the master netting agreement. Once that collateral is posted, Company A has a right to receive the cash collateral (collateral receivable) and its counterparty has an obligation to return the cash collateral (collateral payable). If Company A elects to offset, Company A will present on its statement of financial position a net derivatives balance of $0, which includes a total of $600 million in derivative and collateral assets ($500 million in derivative assets and $100 million in collateral receivable) and $600 million in derivative liabilities. Gross presentation If Company A elected not to apply offsetting, Company A will present a derivative asset of $500 million, a derivative liability of $600 million, and a $100 million in collateral receivable Principles and references herein are United States Generally Accepted Accounting Principles ( U.S. GAAP ) focused and International Financial Reporting Standards ( IFRS ) standards are different. IFRS standards, which are not discussed herein should be referenced for international reporting purposes. 13. Refer to ASC Collateral amounts will include both initial and daily margin amounts. 4

5 Companies should consider the answers to the following questions in applying offsetting for centrally cleared derivatives: Who is the counterparty to a centrally cleared trade? Does a master netting arrangement or similar agreement exist? Does the reporting entity have a right of setoff with the counterparty? Can the right of setoff be applied for centrally cleared derivatives? Who is the counterparty to a centrally cleared trade? Identifying the counterparty in the trade is essential to deciding whether an entity has the ability to apply offsetting for centrally cleared derivatives. As the right of setoff is a legal right, enforceability of the right of setoff will be determined based on the conditions supporting the legal right of setoff that exist with the identified counterparty (i.e., clearing member or CCP). The relationships between the reporting entity, clearing member, and CCP may not be apparent, so companies should carefully analyze the counterparty relationship. The relationship can be defined by the direct contractual relationships between the involved parties, among others. Depending on how the agreements are worded, it may be possible that the CCP can be considered the counterparty in some cases whereas in others, the clearing member may be the identified counterparty. When determining whether the clearing member should be identified as the counterparty (rather than the CCP), companies and their accounting advisors may find it helpful to consider the principal versus agent guidance in ASC Some of the indicators in that guidance may assist the entity in its consideration of whether the clearing member is acting as a third-party intermediary (agent) on behalf of the CCP. Some questions that companies might consider for this analysis are: Is the clearing member placing its own funds at risk? Is the clearing member selective in servicing the reporting entity and the CCP by acting in its own interests? Is the clearing member independently executing its trades as instructed by the reporting entity? Is the clearing member receiving limited compensation based on pre-arranged fees with the reporting entity? Companies and their advisors should consider performing further analysis if consideration of the indicators suggests that the clearing member might be viewed as an agent of the CCP, because under those circumstances, a company may have to assess whether the principal counterparty is the CCP rather than the clearing member. Does a master netting arrangement or similar agreement exist? ASC permits offsetting of derivatives subject to a master netting arrangement and makes no reference to similar agreements. However, in light of the concepts originally discussed in FIN 39 and the scoping guidance for the disclosure requirements of ASU and ASU that specifically refers to master netting arrangements or similar agreements, companies and their accounting advisors may determine that the derivative offsetting guidance in ASC 815 also could apply to derivatives subject to an agreement that is similar to a master netting arrangement. Therefore, determining whether a master netting arrangement or similar agreement exists with the counterparty is fundamental to determining whether a company can offset for accounting and reporting purposes. A master netting arrangement or similar agreement allows an entity to enter into multiple derivative contracts with the same counterparty and provides for a single net settlement of all derivative contracts covered by the agreement in the event of default on, or termination of, any one contract. Companies also should consider the FASB s recently issued Accounting Standards Update Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. ASU narrows the scope of ASU , which enhanced offsetting disclosures under U.S. GAAP. As amended, the offsetting disclosure requirements apply to recognized derivative instruments accounted for in accordance with ASC 815, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either: Offset in accordance with Section or Section or Subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in accordance with either Section or Section It should be noted that the amended scope of the disclosure requirements includes not only those specified instruments subject to a master netting arrangement but also those subject to a similar agreement so companies will need to determine whether their agreements are similar to a master netting arrangements. Implications for derivatives and hedge accounting under the Dodd-Frank Act 5

6 Similar agreement is not defined in ASC 210 or ASC 815; however, provisions in an arrangement that require a single net settlement of all financial instruments covered by the agreement in the event of default on, or termination of, any one contract may indicate that an agreement is similar to a master netting arrangement. Prior to making any conclusions as to whether a master netting arrangement or similar agreement exists, the applicability of the above factors should be discussed with legal counsel and/or accounting advisors based on specific facts and circumstances. Does the reporting entity have a right of setoff with the counterparty? An assessment of whether a reporting entity has the enforceable legal right of setoff pursuant to a contract will likely require legal analysis. The right of setoff is a legal right, and as such, the conditions supporting the right may vary from one legal jurisdiction to another 15. Companies and their advisors might consider paragraph 47 of FIN when determining if an enforceable right of setoff exists. Paragraph 47 suggests that a right of set off can be enforceable by law (even without an explicit statement in the contractual agreements) if the contracts would be offset pursuant to regulatory procedures or normal practices. In contrast, having a master netting arrangement or similar agreement does not always guarantee the right of offset for end-users the right of offset may only apply to the clearing member and the CCP. It is not uncommon to find that contractual agreements governing centrally cleared trades provide the right of setoff upon the default of a reporting entity; notably for the clearing members and/or the CCP. However, that right may be considered asymmetrical as it does not explicitly allow the reporting entity to setoff in the event of a clearing member s and/or CCP s default. Alternatively, certain end-users have interpreted (based on explicit statements in contractual agreements) the ability to transfer their positions and margins held by a defaulting clearing member to another solvent clearing member as a legal right of offset. If end-users determine a legal right of offset exists in those instances where there is a default of the clearing member and/or CCP and elect to offset, the identification of the counterparty (i.e., clearing member or CCP) will determine whether the company offsets positions held at the clearing member level or at the CCP level. Can the right of setoff be applied for centrally cleared derivatives? After performing a detailed analysis of relevant factors, companies may very well conclude that they do not possess the right of offset for centrally cleared derivatives. The existence of the right of setoff will depend on the facts and circumstances of the involved parties and their legal rights (including both contractual and non-contractual arrangements). Central clearing and hedge accounting It is likely that central clearing will involve the novation of OTC derivative contracts that can impact the hedge designations of companies derivatives. Once the clearing mandate becomes effective, companies should assert their expectations in hedge designation memos. Specifically, at inception hedge designation memos should assert that the contract will be novated to the central counterparty. If the conditions in the SEC Letter (see sidebar) are satisfied, the novation of OTC derivative contracts entered into before the effective date of the clearing mandate is not expected to impact the hedging designation of centrally cleared derivatives as long as the critical terms of the hedge designated derivatives remain the same. Examples of critical terms, which are not considered fully inclusive, are: Notional Amounts Trade Dates Effective Dates Maturity Dates Index rates (LIBOR, EURIBOR, foreign exchange rates) Payment dates Reset dates Timing and amounts related to a forecasted transaction (expected foreign currency amounts for hedges of foreign currency risk, physical quantity encompassed by the hedged forecasted transaction) Mirror inclusion of prepayment options, floors, and caps 15. Corbi, Antonio, Netting and Offsetting: Reporting derivatives under U.S. GAAP and under IFRS (London: ISDA, 2012). 16. FASB Interpretations (FIN) No. 39, paragraph 47 was not codified in the FASBs Accounting Standards Codification (ASC) and its relevance should be discussed with legal counsel and accounting advisors prior to making any conclusions based on specific facts and circumstances. 6

7 On May 11, 2012, the SEC issued a letter ( SEC Letter ) to Dan Palomaki, chairman of the Accounting Policy Committee to the International Swaps and Derivatives Association, regarding the accounting impacts under U.S. GAAP of the novation of bilateral OTC derivative contracts to a central counterparty. The SEC Letter provides the Office of the Chief Accountant s view of whether the novation of a hedge designated derivative contract to a central counterparty would result in a termination of the original derivative contract and the associated hedge relationship. It concludes that the use of hedge accounting subsequent to novation does require the designation of a new hedging relationship in certain cases as follows: Before the Title VII clearing mandates become effective, a reporting entity voluntarily clears the underlying OTC derivative contract through a central counterparty, even though the counterparties did not agree (at the time of entering into the transaction) that the contract would be novated. After the Title VII clearing mandates become effective, counterparties agree in advance that the contract will be cleared through a central counterparty in accordance with standard market terms and conventions and the hedging documentation describes the counterparties expectations that the contract will be novated to the central counterparty. A counterparty to an OTC derivative transaction novates certain derivative contracts to other consolidated affiliates in order to maintain federal assistance18 according to Section 716 of the Act while maintaining hedge accounting. Source: Letter From SEC Chief Accountant to Dan Palomaki, Chairman, Accounting Policy Committee, International Swaps and Derivatives Association, Concerning Accounting for Hedging Relationships When There Is a Change in Counterparty United States Securities and Exchange Commission, accessed February 14, Once effective, the clearing mandate will require counterparties to (1) agree in advance with counterparties that OTC derivatives will be cleared through a central counterparty, and (2) assert expectations in hedge designation memos that the contract will be novated to the central counterparty. The SEC Letter states that companies may novate certain derivative contracts to other consolidated affiliates in order to maintain federal assistance 17 according to Section 716 of the Act while maintaining hedge accounting. According to Section 716 of the Act, no Federal assistance may be provided to any swaps entity with respect to any swap, security-based swap, or other activity of the swaps entity. Portfolio compression Section 731 of the Act added a new section to the Commodities Exchange Act which requires the CFTC to adopt rules for portfolio compression, among others. It is likely that portfolio compression will involve the novation of certain derivatives. Portfolio compression and the change in counterparties have not yet been addressed by regulators, in particular the SEC staff. Portfolio compression is the reduction of the notional amounts of trades outstanding in the market by aggregating the trades of multiple market participants with similar factors such as risk or cash flows into fewer trades with less capital exposure. Portfolio compression differs from netting in that existing positions are terminated and new positions with the same net exposure are created. The regulations for portfolio compression have left some companies wondering how hedge accounting treatment might be impacted if certain instruments designated as a hedging instruments are terminated as a result of mandatory portfolio compression. As a result, the CFTC has proposed rules to remove mandatory bilateral and multilateral compression requirements and has replaced them with a requirement that swap dealers ( SDs ) and major swap participants ( MSPs ) establish policies and procedures for periodically engaging in portfolio compression exercises with counterparties that are also SDs or MSPs and for engaging in portfolio compression with all other counterparties upon request 18. The rules are further modified to clarify that (1) non-sds/msps are not required to engage in portfolio compression exercises with SDs and MSPs, but (2) that SDs and MSPs must engage in portfolio compression exercises with non-sds/msps upon request 19. Companies should be cautious to include hedgedesignated derivatives in the scope of portfolio compression unless otherwise noted by regulators. It is likely that portfolio compression will involve the novation of certain derivatives. Portfolio compression and its potential impacts due to the change in counterparties have not yet been addressed by regulators, in particular the SEC staff. 17. According to the Section 716(b)(1) of the Act, the term federal assistance means the use of any advances from any Federal Reserve credit facility or discount window that is not part of a program or facility with broad-based eligibility under section 13(3)(A) of the Federal Reserve Act, Federal Deposit Insurance Corporation insurance or guarantees for the purpose of - (A) making any loan to, or purchasing any stock, equity interest, or debt obligation of, any swaps entity; (B) purchasing the assets of any swaps entity; (C) guaranteeing any loan or debt issuance of any swaps entity; or (D) entering into any assistance arrangement (including tax breaks), loss sharing, or profit sharing with any swaps entity CFR Part 23 Confirmation, Portfolio Reconciliation, Portfolio Compression, and Swap Trading Relationship Requirements for Swap Dealers and Major Swap Participants; Final Rule Federal Register / Vol. 77, No. 176 / Tuesday, September 11, 2012 / Rules and Regulations. CFTC, accessed on February 14, Ibid. Implications for derivatives and hedge accounting under the Dodd-Frank Act 7

8 Thinking ahead Below are some considerations when deciding to apply offsetting with centrally cleared derivatives: Contacts Review and analyze the applicable accounting guidance for offsetting derivatives Review and analyze your derivative contracts Review and analyze any master netting agreements or similar agreements associated with those derivative contracts Identify and analyze the counterparty relationships (i.e., clearing member or CCP) Consult with accounting specialists with adequate experience and knowledge to determine the financial accounting impact to derivatives on the statement of financial position Consider consulting with legal counsel with adequate experience and knowledge to conclude if there is an enforceable legal right of setoff For hedge designated derivatives subsequently entered into once the clearing mandate becomes effective: Agree in advance with counterparties that OTC derivatives will be cleared through a central counterparty Assert expectations in hedge designation memos that derivative contracts will be novated to the central counterparty Ensure the critical terms of any novated contracts remain the same Tom Omberg Peter Wilm Director Ed Hardy Chris Harris Jade Shopp Bill Fellows Sherif Sakr This publication contains general information only and Deloitte is not, by means of this publication, rendering accounting, business, financial, investment, legal, tax, or other professional advice or services. This publication is not a substitute for such professional advice or services, nor should it be used as a basis for any decision or action that may affect your business. Before making any decision or taking any action that may affect your business, you should consult a qualified professional advisor. Deloitte shall not be responsible for any loss sustained by any person who relies on this publication or presentation. About Deloitte As used in this document, Deloitte means Deloitte LLP and its subsidiaries. Please see for a detailed description of the legal structure of Deloitte LLP and its subsidiaries. Certain services may not be available to attest clients under the rules and regulations of public accounting. Copyright 2013 Deloitte Development LLC. All rights reserved. Member of Deloitte Touche Tohmatsu Limited

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc. Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.gov Final Rules Regarding Further Defining Swap Dealer, Major Swap

More information

Title VII: Derivatives (Wall Street Transparency and Accountability Act of 2010)

Title VII: Derivatives (Wall Street Transparency and Accountability Act of 2010) Title VII: Derivatives (Wall Street Transparency and Accountability Act of 2010) Summary: Regulates the previously unregulated, over-the-counter (OTC) derivatives market Requires registration of swap dealers,

More information

Derivatives. Capital Markets

Derivatives. Capital Markets Capital Markets 1 Derivatives (This is a summary of this topic. For more in-depth information, see Regulation of Over-the-Counter Derivatives Under the Dodd-Frank Wall Street Reform and Consumer Protection

More information

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES CONSOLIDATED STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2010 30 HUDSON STREET JERSEY CITY, NJ 07302 CONSOLIDATED STATEMENT OF FINANCIAL

More information

CFTC AND SEC DEFINE MAJOR SWAP PARTICIPANT AND MAJOR SECURITY-BASED SWAP PARTICIPANT

CFTC AND SEC DEFINE MAJOR SWAP PARTICIPANT AND MAJOR SECURITY-BASED SWAP PARTICIPANT CLIENT MEMORANDUM CFTC AND SEC DEFINE MAJOR SWAP PARTICIPANT AND MAJOR SECURITY-BASED SWAP PARTICIPANT The Commodity Futures Trading Commission and the Securities and Exchange Commission have issued joint

More information

Regulatory Practice Letter

Regulatory Practice Letter Financial Services Regulatory Practice Regulatory Practice Letter RPL Number 10-13 ADVISORY Dodd-Frank Act: Regulation of Over-the-Counter Derivatives (Title VII) Executive Summary On July 21, 2010, the

More information

GOLDMAN SACHS EXECUTION & CLEARING, L.P. STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION

GOLDMAN SACHS EXECUTION & CLEARING, L.P. STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2012 200 WEST STREET NEW YORK, NY 10282 STATEMENT OF FINANCIAL CONDITION INDEX Page No.

More information

Deutsche Bank Corporate Banking & Securities

Deutsche Bank Corporate Banking & Securities Deutsche Bank Corporate Banking & Securities ISDA Cross-Border Swaps Representation Letter Fact Sheet 1 October 8, 2013 (Updated April 2015) 1. What is the ISDA Cross-Border Swaps Representation Letter

More information

Basel Committee on Banking Supervision

Basel Committee on Banking Supervision Basel Committee on Banking Supervision Frequently asked questions on the Basel III leverage ratio framework April 2016 (update of FAQs published in July 2015) This publication is available on the BIS website

More information

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES CONSOLIDATED STATEMENT of FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2011 200 WEST STREET NEW YORK, NY 10282 CONSOLIDATED STATEMENT OF FINANCIAL

More information

PRIME DEALER SERVICES CORP. STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2014 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PRIME DEALER SERVICES CORP. STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2014 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PRIME DEALER SERVICES CORP. STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2014 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ******** REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING

More information

NEW JERSEY TURNPIKE AUTHORITY INTEREST RATE SWAP MANAGEMENT PLAN

NEW JERSEY TURNPIKE AUTHORITY INTEREST RATE SWAP MANAGEMENT PLAN NEW JERSEY TURNPIKE AUTHORITY INTEREST RATE SWAP MANAGEMENT PLAN 1. PURPOSE This Interest Rate Swap Management Plan sets forth the manner of execution of interest rate swaps and related agreements, provides

More information

STATEMENT OF FINANCIAL CONDITION

STATEMENT OF FINANCIAL CONDITION STATEMENT OF FINANCIAL CONDITION First Clearing, LLC (A wholly owned limited liability company of Wells Fargo Advisors, LLC) (With Report from Independent Registered Public Accounting Firm Thereon) (A

More information

In depth A look at current financial reporting issues

In depth A look at current financial reporting issues In depth A look at current financial reporting issues inform.pwc.com July 2014 No. INT2014-03 What s inside: Background 1 Summary of questions 2 Detailed questions 3 Offsetting financial instruments for

More information

In depth A look at current financial reporting issues

In depth A look at current financial reporting issues inform.pwc.com In depth A look at current financial reporting issues December 2014 No. INT2014-11 What s inside: Background: Illustrative tabular disclosures: Frequently asked questions: Contacts: Frequently

More information

Clearing and settlement of exchange traded derivatives

Clearing and settlement of exchange traded derivatives Clearing and settlement of exchange traded derivatives by John W. McPartland, consultant, Financial Markets Group Derivatives are a class of financial instruments that derive their value from some underlying

More information

GOLDMAN SACHS EXECUTION & CLEARING, L.P. STATEMENT OF FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION

GOLDMAN SACHS EXECUTION & CLEARING, L.P. STATEMENT OF FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION STATEMENT OF FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of June 30, 2013 200 WEST STREET NEW YORK, NY 10282 Statement of Financial Condition INDEX Page No.

More information

GEORGIA STATE FINANCING AND INVESTMENT COMMISSION (GSFIC) Policy and Procedures, Owner Commission

GEORGIA STATE FINANCING AND INVESTMENT COMMISSION (GSFIC) Policy and Procedures, Owner Commission GEORGIA STATE FINANCING AND INVESTMENT COMMISSION (GSFIC) Policy and Procedures, Owner Commission Policy Title/Number QUALIFIED INTEREST RATE MANAGEMENT AGREEMENTS FOR STATE AUTHORITIES Effective Date:

More information

SECURITIES AND FUTURES ACT (CAP. 289)

SECURITIES AND FUTURES ACT (CAP. 289) Monetary Authority of Singapore SECURITIES AND FUTURES ACT (CAP. 289) NOTICE ON RISK BASED CAPITAL ADEQUACY REQUIREMENTS FOR HOLDERS OF CAPITAL MARKETS SERVICES LICENCES Monetary Authority of Singapore

More information

TITLE 5 BANKING DELAWARE ADMINISTRATIVE CODE

TITLE 5 BANKING DELAWARE ADMINISTRATIVE CODE TITLE 5 BANKING 900 Regulations Governing Business of Banks and Trust Companies 1 905 Loan Limitations: Credit Exposure to Derivative Transactions 1.0 Purpose This regulation sets forth the rules for calculating

More information

NATIONAL FINANCIAL SERVICES LLC STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

NATIONAL FINANCIAL SERVICES LLC STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2015 AND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Report of Independent Registered Public Accounting Firm To the Board of Directors of

More information

Financial Instruments: Disclosures

Financial Instruments: Disclosures STATUTORY BOARD SB-FRS 107 FINANCIAL REPORTING STANDARD Financial Instruments: Disclosures This version of the Statutory Board Financial Reporting Standard does not include amendments that are effective

More information

T he restrictions of Sections 23A and Regulation W

T he restrictions of Sections 23A and Regulation W BNA s Banking Report Reproduced with permission from BNA s Banking Report, 100 BBR 109, 1/15/13, 01/15/2013. Copyright 2013 by The Bureau of National Affairs, Inc. (800-372-1033) http://www.bna.com REGULATION

More information

Dataline A look at current financial reporting issues

Dataline A look at current financial reporting issues Dataline A look at current financial reporting issues No. 2013-25 December 10, 2013 What s inside: Overview...1 Background... 2 OIS discounting an illustration... 3 Implications for market participants...

More information

International Accounting Standard 39 Financial Instruments: Recognition and Measurement

International Accounting Standard 39 Financial Instruments: Recognition and Measurement EC staff consolidated version as of 18 February 2011 FOR INFORMATION PURPOSES ONLY International Accounting Standard 39 Financial Instruments: Recognition and Measurement Objective 1 The objective of this

More information

DARRELL DUFFIE GRADUATE SCHOOL OF BUSINESS, STANFORD UNIVERSITY

DARRELL DUFFIE GRADUATE SCHOOL OF BUSINESS, STANFORD UNIVERSITY ON THE CLEARING OF FOREIGN EXCHANGE DERIVATIVES DARRELL DUFFIE GRADUATE SCHOOL OF BUSINESS, STANFORD UNIVERSITY This note discusses the case for exempting foreign exchange derivatives from recent regulatory

More information

Swap Dealer, Major Swap Participant and Eligible Contract Participant: SEC and CFTC Adopt Entity Definition Rules

Swap Dealer, Major Swap Participant and Eligible Contract Participant: SEC and CFTC Adopt Entity Definition Rules DERIVATIVES & STRUCTURED PRODUCTS CLIENT PUBLICATION July 13, 2012... Swap Dealer, Major Swap Participant and Eligible Contract Participant: SEC and CFTC Adopt Entity Definition Rules... The Commodity

More information

Re: Interpretation of Section 2(h)(7)(C)(iii) of the Commodity Exchange Act Captive Finance Companies

Re: Interpretation of Section 2(h)(7)(C)(iii) of the Commodity Exchange Act Captive Finance Companies U.S. COMMODITY FUTURES TRADING COMMISSION Three Lafayette Centre 1155 21st Street, NW, Washington, DC 20581 Telephone: (202) 418-5000 Facsimile: (202) 418-5521 www.cftc.gov Division of Clearing and Risk

More information

International Accounting Standard 32 Financial Instruments: Presentation

International Accounting Standard 32 Financial Instruments: Presentation EC staff consolidated version as of 21 June 2012, EN EU IAS 32 FOR INFORMATION PURPOSES ONLY International Accounting Standard 32 Financial Instruments: Presentation Objective 1 [Deleted] 2 The objective

More information

International Financial Reporting Standard 7. Financial Instruments: Disclosures

International Financial Reporting Standard 7. Financial Instruments: Disclosures International Financial Reporting Standard 7 Financial Instruments: Disclosures INTERNATIONAL FINANCIAL REPORTING STANDARD AUGUST 2005 International Financial Reporting Standard 7 Financial Instruments:

More information

GOLDMAN SACHS BANK USA AND SUBSDIARIES

GOLDMAN SACHS BANK USA AND SUBSDIARIES GOLDMAN SACHS BANK USA AND SUBSDIARIES Consolidated Financial Statements As of and for the years ended December 31, 2014 and December 31, 2013 Financial Statements INDEX Page No. Consolidated Financial

More information

Financial Instruments: Recognition and Measurement

Financial Instruments: Recognition and Measurement STATUTORY BOARD FINANCIAL REPORTING STANDARD SB-FRS 39 Financial Instruments: Recognition and Measurement This version of the Statutory Board Financial Reporting Standard does not include amendments that

More information

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc. Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.gov Final Rules and Interpretations i) Further Defining Swap, Security-Based

More information

Financial Instruments: Disclosures

Financial Instruments: Disclosures Compiled Accounting Standard AASB 7 Financial Instruments: Disclosures This compiled Standard applies to annual reporting periods beginning on or after 1 July 2007 but before 1 January 2009 that end on

More information

Chapter 16: Financial Risk Management

Chapter 16: Financial Risk Management Chapter 16: Financial Risk Management Introduction Overview of Financial Risk Management in Treasury Interest Rate Risk Foreign Exchange (FX) Risk Commodity Price Risk Managing Financial Risk The Benefits

More information

The Options Clearing Corporation

The Options Clearing Corporation PROSPECTUS M The Options Clearing Corporation PUT AND CALL OPTIONS This prospectus pertains to put and call security options ( Options ) issued by The Options Clearing Corporation ( OCC ). Certain types

More information

INTERACTIVE BROKERS LLC (SEC I.D. No. 8-47257)

INTERACTIVE BROKERS LLC (SEC I.D. No. 8-47257) INTERACTIVE BROKERS LLC (SEC I.D. No. 8-47257) STATEMENT OF FINANCIAL CONDITION AS OF DECEMBER 31, 2003 AND INDEPENDENT AUDITORS REPORT AND SUPPLEMENTAL REPORT ON INTERNAL CONTROL ******* Filed pursuant

More information

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES

GOLDMAN SACHS EXECUTION & CLEARING, L.P. and SUBSIDIARIES CONSOLIDATED STATEMENT OF FINANCIAL CONDITION PURSUANT to RULE 17a-5 of the SECURITIES and EXCHANGE COMMISSION As of December 31, 2011 200 WEST STREET NEW YORK, NY 10282 CONSOLIDATED STATEMENT OF FINANCIAL

More information

Dated as of YYYY/MM/DD (the Effective Date ) between. UBS AG ( Party A ) and. XXXXXXX ( Party B )

Dated as of YYYY/MM/DD (the Effective Date ) between. UBS AG ( Party A ) and. XXXXXXX ( Party B ) MASTER CONFIRMATION AGREEMENT FOR FOREIGN EXCHANGE and CURRENCY OPTION TRANSACTIONS IN DELIVERABLE CURRENCIES (excluding barrier and exotic option transactions) Dated as of YYYY/MM/DD (the Effective Date

More information

Dodd-Frank Act Changes Affecting Private Fund Managers and Other Investment Advisers By Adam Gale and Garrett Lynam

Dodd-Frank Act Changes Affecting Private Fund Managers and Other Investment Advisers By Adam Gale and Garrett Lynam Dodd-Frank Act Changes Affecting Private Fund Managers and Other Investment Advisers By Adam Gale and Garrett Lynam I. Introduction The Dodd-Frank Wall Street Reform and Consumer Protection Act ( Dodd-Frank

More information

Assurance and accounting A Guide to Financial Instruments for Private

Assurance and accounting A Guide to Financial Instruments for Private june 2011 www.bdo.ca Assurance and accounting A Guide to Financial Instruments for Private Enterprises and Private Sector t-for-profit Organizations For many entities adopting the Accounting Standards

More information

M&A Insights Purchasing and modifying discount debt What dealmakers should know

M&A Insights Purchasing and modifying discount debt What dealmakers should know M&A Insights March 2013 Merger & Acquisition Services M&A Insights Purchasing and modifying discount debt What dealmakers should know Introduction In the current economy, a significant amount of outstanding

More information

Apex Clearing Corporation

Apex Clearing Corporation Statement of Financial Condition (Unaudited) Apex Clearing Corporation is a member of FINRA, Securities Investor Protection Corporation (SIPC), NYSE MKT LLC, NYSE Arca, Inc., BATS Y Exchange, Inc., BATS

More information

Indian Accounting Standard (Ind AS) 39 Financial Instruments: Recognition and Measurement

Indian Accounting Standard (Ind AS) 39 Financial Instruments: Recognition and Measurement Indian Accounting Standard (Ind AS) 39 Financial Instruments: Recognition and Measurement Contents Paragraphs Objective 1 Scope 2 7 Definitions 8 9 Embedded derivatives 10 13 Recognition and derecognition

More information

IPSAS 29 FINANCIAL INSTRUMENTS: RECOGNITION AND MEASUREMENT

IPSAS 29 FINANCIAL INSTRUMENTS: RECOGNITION AND MEASUREMENT IPSAS 29 FINANCIAL INSTRUMENTS: RECOGNITION AND MEASUREMENT Acknowledgment This International Public Sector Accounting Standard (IPSAS) is drawn primarily from International Accounting Standard (IAS) 39,

More information

CLIENT MEMORANDUM CFTC AND SEC ADOPT DEFINITION OF SWAP AND SECURITY-BASED SWAP

CLIENT MEMORANDUM CFTC AND SEC ADOPT DEFINITION OF SWAP AND SECURITY-BASED SWAP CLIENT MEMORANDUM CFTC AND SEC ADOPT DEFINITION OF SWAP AND SECURITY-BASED SWAP The Commodity Futures Trading Commission and the Securities and Exchange Commission have issued joint final rules and interpretations

More information

Tools for Mitigating Credit Risk in Foreign Exchange Transactions 1

Tools for Mitigating Credit Risk in Foreign Exchange Transactions 1 Tools for Mitigating Credit Risk in Foreign Exchange Transactions November 2010 Introduction In November 2009, the Foreign Exchange Committee (FXC) and its Buy-Side Subcommittee released a paper that reviewed

More information

U.S. COMMODITY FUTURES TRADING COMMISSION

U.S. COMMODITY FUTURES TRADING COMMISSION U.S. COMMODITY FUTURES TRADING COMMISSION Three Lafayette Centre 1155 21st Street, NW, Washington, DC 20581 Telephone: (202) 418-5977 Facsimile: (202) 418-5407 gbarnett@cftc.gov Division of Swap Dealer

More information

DEPARTMENT OF INSURANCE OFFICE OF THE COMMISSIONER

DEPARTMENT OF INSURANCE OFFICE OF THE COMMISSIONER DEPARTMENT OF INSURANCE OFFICE OF THE COMMISSIONER Statutory Authority: 18 Delaware Code, Sections 311, 1333 and 29 Delaware Code, Chapter 101 (18 Del.C. 311 and 1333 and 29 Del.C. Ch. 101) PROPOSED Regulation

More information

Exposure Draft. Guidance Note on Accounting for Derivative Contracts

Exposure Draft. Guidance Note on Accounting for Derivative Contracts Exposure Draft Guidance Note on Accounting for Derivative Contracts (Last date of comments: January 21, 2015) Issued by Research Committee The Institute of Chartered Accountants of India (Set up by an

More information

Regulation of Over-the-Counter Derivatives Under the Dodd-Frank Wall Street Reform and Consumer Protection Act

Regulation of Over-the-Counter Derivatives Under the Dodd-Frank Wall Street Reform and Consumer Protection Act Capital Markets 1 Regulation of Over-the-Counter Derivatives Under the Dodd-Frank Wall Street Reform and Consumer Protection Act This article discusses certain key aspects of the new regulatory regime

More information

U.S. Bank Regulators Uncleared Swap Margin, Capital and Segregation Rules

U.S. Bank Regulators Uncleared Swap Margin, Capital and Segregation Rules U.S. Bank Regulators Uncleared Swap Margin, Capital and Segregation Rules November 12, 2015 Davis Polk & Wardwell LLP 2015 Davis Polk & Wardwell LLP 450 Lexington Avenue New York, NY 10017 This communication,

More information

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc. Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.gov Proposed Rules and Interpretive Guidance i) Further Defining

More information

York Business Associates, L.L.C. (d/b/a TransAct Futures) and Subsidiary FINANCIAL STATEMENTS AND INDEPENDENT AUDITORS' REPORT.

York Business Associates, L.L.C. (d/b/a TransAct Futures) and Subsidiary FINANCIAL STATEMENTS AND INDEPENDENT AUDITORS' REPORT. York Business Associates, L.L.C. (d/b/a TransAct Futures) and Subsidiary FINANCIAL STATEMENTS AND INDEPENDENT AUDITORS' REPORT December 31, 2014 CONSOLIDATED STATEMENT OF FINANCIAL CONDITION December

More information

(A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York)

(A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York) (A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York) Consolidated Financial Statements as of and for the Years Ended December 31, 2012 and 2011 and Independent Auditors Report

More information

Basel Committee on Banking Supervision. Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework

Basel Committee on Banking Supervision. Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework Basel Committee on Banking Supervision Frequently Asked Questions on Basel III s January 2013 Liquidity Coverage Ratio framework April 2014 This publication is available on the BIS website (www.bis.org).

More information

Re: Notice and Request for Comments - Determinations of Foreign Exchange Swaps and Forwards (75 Fed. Reg. 66829)

Re: Notice and Request for Comments - Determinations of Foreign Exchange Swaps and Forwards (75 Fed. Reg. 66829) ISDA International Swaps and Derivatives Association, Inc. 360 Madison Avenue, 16th Floor New York, NY 10017 United States of America Telephone: 1 (212) 901-6000 Facsimile: 1 (212) 901-6001 email: isda@isda.org

More information

TALF LLC (A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York)

TALF LLC (A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York) (A Special Purpose Vehicle Consolidated by the Federal Reserve Bank of New York) Financial Statements for the Period February 4, 2009 to December 31, 2009 and Independent Auditors Report Table of Contents

More information

U.S. DERIVATIVES REFORM (DODD-FRANK ACT, TITLE VII)

U.S. DERIVATIVES REFORM (DODD-FRANK ACT, TITLE VII) FREQUENTLY ASKED QUESTIONS U.S. DERIVATIVES REFORM (DODD-FRANK ACT, TITLE VII) INTERNAL USE ONLY Comprehensive information for Relationship Managers and other staff of Julius Baer Group September 2015

More information

Accounting for Derivatives

Accounting for Derivatives Accounting for Derivatives 1 Accounting for Derivatives Copyright 2014 by DELTACPE LLC All rights reserved. No part of this course may be reproduced in any form or by any means, without permission in writing

More information

MASTER CONFIRMATION AGREEMENT FOR NON-DELIVERABLE CURRENCY OPTION TRANSACTIONS (EUROPEAN STYLE)

MASTER CONFIRMATION AGREEMENT FOR NON-DELIVERABLE CURRENCY OPTION TRANSACTIONS (EUROPEAN STYLE) MASTER CONFIRMATION AGREEMENT FOR NON-DELIVERABLE CURRENCY OPTION TRANSACTIONS (EUROPEAN STYLE) dated as of, (the Effective Date ) between UBS AG ( Party A ) and [ ] [[NAME] acting solely as [Investment

More information

NO-ACTION RELIEF FOR COMPRESSION EXERCISE SWAPS AND COMPO EQUITY SWAPS COMPRESSION EXERCISE SWAPS. De Minimis Exception Generally

NO-ACTION RELIEF FOR COMPRESSION EXERCISE SWAPS AND COMPO EQUITY SWAPS COMPRESSION EXERCISE SWAPS. De Minimis Exception Generally CLIENT UPDATE NO-ACTION RELIEF FOR COMPRESSION EXERCISE SWAPS AND COMPO EQUITY SWAPS NEW YORK Byungkwon Lim blim@debevoise.com Emilie T. Hsu ehsu@debevoise.com Aaron J. Levy ajlevy@debevoise.com On December

More information

Abercrombie & Fitch Co. Savings and Retirement Plan

Abercrombie & Fitch Co. Savings and Retirement Plan UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 11-K (Mark One) ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December

More information

SWAP DEALER AND SECURITY-BASED SWAP DEALER DEFINED

SWAP DEALER AND SECURITY-BASED SWAP DEALER DEFINED CLIENT MEMORANDUM SWAP DEALER AND SECURITY-BASED SWAP DEALER DEFINED The Securities and Exchange Commission and Commodity Futures Trading Commission jointly adopted final rules 1 under Title VII of the

More information

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.

Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc. Commodity Futures Trading Commission Office of Public Affairs Three Lafayette Centre 1155 21st Street, NW Washington, DC 20581 www.cftc.gov Frequently Asked Questions (FAQ) - Division of Swap Dealer and

More information

STATE BOARD OF REGENTS OF THE STATE OF UTAH STUDENT LOAN PURCHASE PROGRAM An Enterprise Fund of the State of Utah

STATE BOARD OF REGENTS OF THE STATE OF UTAH STUDENT LOAN PURCHASE PROGRAM An Enterprise Fund of the State of Utah An Enterprise Fund of the State of Utah Financial Statements AN ENTERPRISE FUND OF THE STATE OF UTAH FOR THE SIX MONTHS ENDED DECEMBER 31, 2011 TABLE OF CONTENTS Page MANAGEMENT S REPORT 1 FINANCIAL STATEMENTS:

More information

Consolidation of Variable Interest Entities

Consolidation of Variable Interest Entities Audit and Enterprise Risk Services Consolidation of Variable Interest Entities A Roadmap to Applying Interpretation 46(R)'s Consolidation Guidance qüáêç=bçáíáçå `çåëçäáç~íáçå=çñ=s~êá~ääé= fåíéêéëí=båíáíáéë=

More information

Revenue Recognition (Topic 605)

Revenue Recognition (Topic 605) Proposed Accounting Standards Update (Revised) Issued: November 14, 2011 and January 4, 2012 Comments Due: March 13, 2012 Revenue Recognition (Topic 605) Revenue from Contracts with Customers (including

More information

GOLDMAN SACHS BANK USA AND SUBSIDIARIES

GOLDMAN SACHS BANK USA AND SUBSIDIARIES Consolidated Financial Statements As of and for the years ended December 31, 2013 and December 31, 2012 Independent Auditor s Report To the Board of Directors and Shareholder of Goldman Sachs Bank USA:

More information

U.S. COMMODITY FUTURES TRADING COMMISSION

U.S. COMMODITY FUTURES TRADING COMMISSION U.S. COMMODITY FUTURES TRADING COMMISSION Three Lafayette Centre 1155 21st Street, NW, Washington, DC 20581 Telephone: (202) 418-5977 Facsimile: (202) 418-5407 www.cftc.gov Division of Swap Dealer and

More information

Measuring the fair value of a liability issued with an inseparable third-party credit enhancement

Measuring the fair value of a liability issued with an inseparable third-party credit enhancement IASB/FASB Joint Meeting 14-16 December 2010 IASB Agenda reference 2A Staff Paper FASB ED Session December 8, 2010 FASB Agenda reference 23 Project Fair value measurement Topic Measuring the fair value

More information

TIAA-CREF Individual & Institutional Services, LLC (A wholly-owned subsidiary of Teachers Insurance and Annuity Association of America) Statement of

TIAA-CREF Individual & Institutional Services, LLC (A wholly-owned subsidiary of Teachers Insurance and Annuity Association of America) Statement of TIAA-CREF Individual & Institutional Services, LLC (A wholly-owned subsidiary of Teachers Insurance and Annuity Association of America) Statement of Financial Condition (Unaudited) Index Page(s) Financial

More information

2003 ISDA. Credit Derivatives. Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.

2003 ISDA. Credit Derivatives. Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 2003 ISDA Credit Derivatives Definitions ISDA INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. Copyright 2003 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 360 Madison Avenue, 16 th Floor

More information

PART 75 PROPRIETARY TRADING AND CERTAIN INTERESTS IN AND RELATIONSHIPS WITH COVERED FUNDS.

PART 75 PROPRIETARY TRADING AND CERTAIN INTERESTS IN AND RELATIONSHIPS WITH COVERED FUNDS. PART 75 PROPRIETARY TRADING AND CERTAIN INTERESTS IN AND RELATIONSHIPS WITH COVERED FUNDS. SUBPART A Section 1 Section 2 SUBPART B Section 3 Section 4 Section 5 Section 6 Section 7 Section 8 Section 9

More information

Transfers and Servicing (Topic 860)

Transfers and Servicing (Topic 860) No. 2014-11 June 2014 Transfers and Servicing (Topic 860) Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures An Amendment of the FASB Accounting Standards Codification The FASB

More information

THE IMPACT OF EMIR ON FINANCIAL COUNTERPARTIES

THE IMPACT OF EMIR ON FINANCIAL COUNTERPARTIES March 15, 2013 THE IMPACT OF EMIR ON FINANCIAL COUNTERPARTIES To Our Clients and Friends: On 16 August 2012, The European Market Infrastructure Regulation ( EMIR ) 1 came into force with immediate and

More information

ABN AMRO CLEARING CHICAGO LLC. Statement of Financial Condition. June 30, 2015

ABN AMRO CLEARING CHICAGO LLC. Statement of Financial Condition. June 30, 2015 Assets Cash $ 47,929,384 Cash segregated under federal and other regulations 1,453,436,144 Securities purchased under agreements to resell 503,068,395 Securities owned, marketable, at fair value (including

More information

Should My Credit Union Use Derivatives to Manage Interest Rate Risk?

Should My Credit Union Use Derivatives to Manage Interest Rate Risk? Should My Credit Union Use Derivatives to Manage Interest Rate Risk? On January 23, 2014, the NCUA Board adopted a final rule that allows federal credit unions to mitigate interest rate risk with permissible

More information

BNP Paribas Prime Brokerage, Inc. (SEC I.D. No. 8-40490)

BNP Paribas Prime Brokerage, Inc. (SEC I.D. No. 8-40490) BNP Paribas Prime Brokerage, Inc. (SEC I.D. No. 8-40490) STATEMENT OF FINANCIAL CONDITION AS OF JUNE 30, 2015 UNAUDITED ******* BNP Paribas Prime Brokerage, Inc. 2 Statement of Financial Condition (Unaudited)

More information

STOCKCROSS FINANCIAL SERVICES, INC. REPORT ON AUDIT OF STATEMENT OF FINANCIAL CONDITION DECEMBER 31, 2012

STOCKCROSS FINANCIAL SERVICES, INC. REPORT ON AUDIT OF STATEMENT OF FINANCIAL CONDITION DECEMBER 31, 2012 REPORT ON AUDIT OF STATEMENT OF FINANCIAL CONDITION Filed in accordance with Rule 17a-5(e)(3) as a PUBLIC DOCUMENT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ANNUAL AUDITED

More information

Notes to the consolidated financial statements continued

Notes to the consolidated financial statements continued 144 www.ocadogroup.com Stock Code: OCDO to the consolidated financial statements continued 4.5 instruments Accounting policies assets and financial liabilities are recognised on the balance sheet when

More information

RISK MANAGEMENT IN NETTING SCHEMES FOR SETTLEMENT OF SECURITIES TRANSACTIONS

RISK MANAGEMENT IN NETTING SCHEMES FOR SETTLEMENT OF SECURITIES TRANSACTIONS RISK MANAGEMENT IN NETTING SCHEMES FOR SETTLEMENT OF SECURITIES TRANSACTIONS A background paper for the 4th OECD/World Bank Bond Market Workshop 7-8 March 02 by Jan Woltjer 1 1 Introduction Settlement

More information

Financial Instruments: Disclosures

Financial Instruments: Disclosures HKFRS 7 Revised May November 2014 Effective for annual periods beginning on or after 1 January 2007 Hong Kong Financial Reporting Standard 7 Financial Instruments: Disclosures FINANCIAL INSTRUMENTS: DISCLOSURES

More information

Indian Accounting Standard (Ind AS) 32 Financial Instruments: Presentation

Indian Accounting Standard (Ind AS) 32 Financial Instruments: Presentation Indian Accounting Standard (Ind AS) 32 Financial Instruments: Presentation Contents Paragraphs Objective 2 3 Scope 4 10 Definitions 11 14 Presentation 15 50 Liabilities and equity 15 27 Puttable instruments

More information

GENWORTH MI CANADA INC.

GENWORTH MI CANADA INC. Condensed Consolidated Interim Financial Statements (In Canadian dollars) GENWORTH MI CANADA INC. Three and six months ended June 30, 2015 and 2014 Condensed Consolidated Interim Statements of Financial

More information

International Financial Reporting Standard 7 Financial Instruments: Disclosures

International Financial Reporting Standard 7 Financial Instruments: Disclosures EC staff consolidated version as of 21 June 2012, EN EU IFRS 7 FOR INFORMATION PURPOSES ONLY International Financial Reporting Standard 7 Financial Instruments: Disclosures Objective 1 The objective of

More information

Financial Accounting Series

Financial Accounting Series Financial Accounting Series NO. 310 JUNE 2009 Statement of Financial Accounting Standards No. 166 Accounting for Transfers of Financial Assets an amendment of FASB Statement No. 140 Financial Accounting

More information

ASPE AT A GLANCE Section 3856 Financial Instruments

ASPE AT A GLANCE Section 3856 Financial Instruments ASPE AT A GLANCE Section 3856 Financial Instruments December 2014 Section 3856 Financial Instruments Effective Date Fiscal years beginning on or after January 1, 2011 1 SCOPE Applies to all financial instruments

More information

TABLE OF CONTENTS INTERAGENCY ADVISORY ON ACCOUNTING AND REPORTING FOR COMMITMENTS TO ORIGINATE AND SELL MORTGAGE LOANS

TABLE OF CONTENTS INTERAGENCY ADVISORY ON ACCOUNTING AND REPORTING FOR COMMITMENTS TO ORIGINATE AND SELL MORTGAGE LOANS TABLE OF CONTENTS INTERAGENCY ADVISORY ON ACCOUNTING AND REPORTING FOR COMMITMENTS TO ORIGINATE AND SELL MORTGAGE LOANS Executive Summary 1 Background 2 Definitions 2 Derivative Loan Commitment 2 Forward

More information

Note 8: Derivative Instruments

Note 8: Derivative Instruments Note 8: Derivative Instruments Derivative instruments are financial contracts that derive their value from underlying changes in interest rates, foreign exchange rates or other financial or commodity prices

More information

A Guide to for Financial Instruments in the Public Sector

A Guide to for Financial Instruments in the Public Sector November 2011 www.bdo.ca Assurance and accounting A Guide to Accounting for Financial Instruments in the Public Sector In June 2011, the Public Sector Accounting Standards Board released Section PS3450,

More information

Netting and Offsetting: Reporting derivatives under U.S. GAAP and under IFRS

Netting and Offsetting: Reporting derivatives under U.S. GAAP and under IFRS Netting and Offsetting: Reporting derivatives under U.S. GAAP and under IFRS May 2012 The paper is intended to give the reader an insight into the different offsetting requirements under IFRS and U.S.

More information

IFRS Practice Issues for Banks: Loan acquisition accounting

IFRS Practice Issues for Banks: Loan acquisition accounting IFRS Practice Issues for Banks: Loan acquisition accounting August 2011 kpmg.com/ifrs Contents 1. Addressing complexity in loan acquisitions 1 2. When should the acquisition of a loan be recognised in

More information

bdavidson@ifrs.org kcancro@ifrs.org

bdavidson@ifrs.org kcancro@ifrs.org IASB Agenda ref 8 STAFF PAPER IASB Board Meeting 19 November 23 November 2012 Project Offsetting Disclosures Amendments to IFRS 7 Paper topic CONTACT(S) Update Barbara Davidson Katherine Cancro bdavidson@ifrs.org

More information

Collateral Management Best Practices for Broker-Dealers

Collateral Management Best Practices for Broker-Dealers Banking & Securities Collateral Management Best Practices for Broker-Dealers Jeff Penney Collateral Management Best Practices for Broker-Dealers 1 col lat er al (noun) something pledged as security for

More information

Financial Instruments and Related Risk Management

Financial Instruments and Related Risk Management Note 24 Share-Based Compensation continued Other Plans The company offers a deferred share unit plan to non-employee directors, which allows each to choose to receive, in the form of deferred share units

More information

Auditing Derivative Instruments, Hedging Activities, and Investments in Securities 1

Auditing Derivative Instruments, Hedging Activities, and Investments in Securities 1 Auditing Derivative Instruments 1915 AU Section 332 Auditing Derivative Instruments, Hedging Activities, and Investments in Securities 1 (Supersedes SAS No. 81.) Source: SAS No. 92. See section 9332 for

More information

A closer look Fair value measurement of financial instruments under IFRS 13

A closer look Fair value measurement of financial instruments under IFRS 13 igaap: Beyond the detail A closer look Fair value measurement of financial instruments under IFRS 13 Introduction This publication considers both practical and technical aspects of applying IFRS 13 Fair

More information

Division of Swap Dealer and Intermediary Oversight

Division of Swap Dealer and Intermediary Oversight U.S. COMMODITY FUTURES TRADING COMMISSION Three Lafayette Centre 1155 21st Street, NW, Washington, DC 20581 Telephone: (202) 418-6700 Facsimile: (202) 418-5528 gbarnett@cftc.gov Division of Swap Dealer

More information

Statement of Financial Accounting Standards No. 133

Statement of Financial Accounting Standards No. 133 Statement of Financial Accounting Standards No. 133 FAS133 Status Page FAS133 Summary Accounting for Derivative Instruments and Hedging Activities June 1998 Financial Accounting Standards Board of the

More information