Form X-17a-5 - Focus Report (United States Securities And Exchange Commission) (Page 30 of 30) in pdf

(2) The net replacement of value for each counter-party (including the effect for legally enforceable netting agreements and the

application of liquid collateral) that is insolvent, or in bankruptcy, or that has senior unsecured long-term debt in default.

The concentration charge is computed as follows: where the net replacement value in the account of any one counter-party exceeds

25% of the OTC derivatives dealer’s tentative net capital, deduct the following amounts:

(1) For counter-parties with ratings for senior unsecured long-term debt or commercial paper in the two highest rating categories

by an NRSRO, 5% of the amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net

capital;

(2) For counter-parties with ratings for senior unsecured long-term debt in the third and fourth highest rating categories by an

NRSRO, 20% of the amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net

capital;

(3) For counter-parties with ratings for senior unsecured long-term debt below the four highest rating categories, 50% of the

amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net capital;

Aggregate Securities and OTC Derivatives Positions

Provide information for each affiliated broker-dealer as of the end of each quarter indicating the name of each affiliated broker-dealer

in a separate column, or complete a separate schedule for each affiliated broker-dealer. In the event of a separate listing of a position,

financial instrument or other wise is required pursuant to any of the provisions of Section 240.17h-1T, the dealer should indicate as

such in the appropriate section of this schedule. Where appropriate, indicate long and short positions separately.

Paper work Reduction Act Disclosure

Part IIB of Form X-15A-5 requires an OTC derivatives dealer to file with the Commission certain financial and operational

information. The form is designed to enable the Commission to ascertain the nature and scope of a dealer’s over-the-counter

derivatives activity and to monitor the dealer’s financial condition and risk exposure.

It is estimated that an OTC derivatives dealer will spend approximately 20 hours completing Part IIB of Form X-17A-5. Any member

of the public may direct, to the Commission, any comments concerning the accuracy of this burden estimate and any suggestions for

reducing this burden.

The information collected pursuant to Part IIB of Form X-17A-5 will be kept confidential.

This collection of information has been reviewed by the Office of Management and Budget (OMB) in accordance with the clearance

requirements of 44 U.S.C. §3507. This collection of information has been assigned Control Number 3235-0498 by OMB.

An agency may or not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a

currently valid number. Section 17(a) of the Securities Exchange Act of 1934 authorizes the Commission to collect the information on

this Form from registrants. See 15 U.S.C. § 78q.

Form X-17a-5 - Focus Report (United States Securities And Exchange Commission) Page 30