Form X-17a-5 - Focus Report (United States Securities And Exchange Commission) Page 26
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30FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________
________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
II. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND WITH CONCENTRATION OF CREDIT RISK
(Provide notional or contractual amounts where appropriate, or in the case of options, the values of the underlying instrument.)
LONG
SHORT
3.
Futures:
A.
U.S. Treasury and mortgage-backed securities futures ........................
$
__
______________
___ 6500
$
___________________
6501
B.
Other futures (specify) ............................................................................
$
_
______________
____ 6505
$
___________________
6506
4.
Forwards:
A.
U.S. Treasury and mortgage-backed securities ....................................
$
__
______________
___ 6510
$
___________________
6511
1.
Aggregate current cost of replacing contracts by counterparty...
$
__
______________
___ 6512
$
___________________ 6513
2.
Per counterparty breakdown where credit risk exceeds the
(attach schedule)
B.
Other forwards (specify) ..........................................................................................
$
__
______________
___ 6515
$
___________________
6516
1.
Aggregate current cost of replacing contracts by counterparty...
$
__
______________
___ 6517
$
___________________ 6518
2.
Per counterparty breakdown where credit risk exceeds the
(attach schedule)
B.
Interest Rate Swaps
1.
U.S. dollar denominated swaps:
A.
Total notional or contractual amount ....................................................
$
__
______________
___ 6520
$
___________________
6521
B.
Aggregate current cost of replacing contracts by counterparty.........................
$
__
_____________
____ 6525
$
___________________
6 526
C. Per counterparty breakdown (attach schedule)
2.
Cross currency swaps:
A.
Total notional or contractual amount ....................................................
$
__
______________
___ 6530
$
___________________
6531
B.
Aggregate current cost of replacing contracts .....................................................
$
__
_____________
____ 6535
$
___________________
6536
C. Per counterparty breakdown (attach schedule)
C.
Foreign exchange
1.
Swaps:
A.
Total notional or contractual amount ....................................................
$
__
______________
___ 6540
$
___________________
6541
B.
Aggregate cost of replacing contracts by counterparty.......................................
$
__
_____________
____ 6545
$
___________________
6546
C. Per counterparty breakdown (attach schedule)
2.
Notional or contractual amounts of commitments to purchase
foreign currencies and U.S. dollar exchange:
A.
Futures ...................................................................................................
$
__
______________
___
6550
$
___________________ 6551
000’s OMITTED
SEC 2430 (2-02) Page 26 of 28
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