UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM X-17A-5
OMB APPROVAL OMB Number: 3235-0498 Expires: August 31, 2010 Estimated average burden hours per response. . . . . . . . 20
FOCUS REPORT
(Financial and Operational Combined Uniform Single Report)
PART IIB 11 OTC DERIVATIVES DEALER
(PLEASE READ INSTRUCTIONS BEFORE PREPARING FORM.) THIS REPORT IS BEING FILED PURSUANT TO (Check Applicable Block(s)): 1) Rule 17a-12 16 2) Rule 17a-11 18 3) Other 26
___________________________________________________________________________ 13 (Name of Dealer) ________________________________________________________________________ ____ 20 (Address of Principal Place of Business (DO NOT USE P.O. Box No.)) ________________________________21_______________22________________________ 23 (City) (State) (Zip Code)
______________________________________________14 (SEC File No.) ______________________________________________15 (Firm I.D. No.) ______________________________________________24 (For Period Beginning (MM/DD/YYYY)) ______________________________________________25 (For Period Ending (MM/DD/YYYY))
NAME AND TELEPHONE NO. OF PERSON TO CONTACT IN REGARD TO THIS REPORT: ___________________________________________________________________________ 30 (Name) NAME(s) OF SUBSIDIARIES OR AFFILIATES CONSOLIDATED IN THIS REPORT: ________________________________________________________________________ ____ 32 ________________________________________________________________________ ____ 34 ________________________________________________________________________ ____ 36 ________________________________________________________________________ ____ 38 ______________________________________________31 ((Area Code) - (Telephone No.) OFFICIAL USE ______________________________________________33 ______________________________________________35 ______________________________________________37 ______________________________________________39 Yes 40 N0 41 42
[Does respondent carry its own customer accounts?] Check here if respondent is filing an audited report:
EXECUTION: The registrant/dealer submitting this Form and its attachments and the person(s) by whom it is executed represent hereby that all information contained therein is true, correct and complete. It is understood that all required items, statements, and schedules are considered integral parts of this Form and that the submission of any amendment represents that all unamended items, statements and schedules remain true, correct and complete as previously submitted. Dated the ________________ day of ______________________________, ________ MANUAL SIGNATURES OF: 1) _________________________________________________________________________ (Principal Executive Officer or Managing Partner) 2) _________________________________________________________________________ (Principal Financial Officer or Partner) 3) _________________________________________________________________________ (Principal Operations Officer or Partner) ATTENTION -- Intentional misstatements or omissions of facts constitute Federal Criminal Violations. (See 18 U.S.C. 1001 and 15 U.S.C. 78:f(a))
SEC 2430 (2-02) Page 1 of 28
FOR SEC USE ONLY
TO BE COMPLETED WITH THE ANNUAL AUDIT REPORT ONLY:
CERTIFIED PUBLIC ACCOUNTANT whose opinion is contained in this report: ____________________________________________________________________________________________________________ 70 ((Name) If Individual, give last, first, middle name) ____________________________________________________________________________________________________________ 71 ((Address) DO NOT USE P.O. Box No.) __________________________________________ 72________________________________ 73 ____________________________ 74 (City) (State) (Zip Code)
DO NOT WRITE UNDER THIS LINE
FOR SEC USE ONLY
WORK LOCATION
50
REPORT DATE (MM/DD/YYYY)
51
DOC. SEQ. NO.
52
CARD
53
SEC 2430 (2-02) Page 2 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _________________________________________________________________________ __N 2
(Name of Dealer)
100
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
Consolidated Unconsolidated
198 199 __________________________________________99 As of (MM/DD/YYYY) ____________________________________________98 (SEC File No.)
ASSETS Assets Allowable Non-Allowable Total $ _____________________750 ____________________ 760
1. Cash .............................................................. $ ____________________ 200 2. Cash segregated in compliance with federal and other regulations ...................... 3. Receivable from broker/dealers and clearing organizations: A. Failed to deliver ..................................... B. Securities borrowed............................... C. Omnibus accounts ................................ D. Clearing organization ............................ E. Contracts: 1. Interest Rate ...................................... 2. Currency & Foreign Exchange ......... 3. Equity ............................................... 4. Commodity ...................................... 5. Other ................................................ F. Other .................................................... 4. Receivable from customers: A. Securities accounts: 1. Cash and fully secured accounts..... 2. Partly secured accounts .................. 3. Unsecured accounts ....................... B. Commodity accounts .......................... C. Allowance for doubtful accounts ........ _____________________310 _____________________320 ............................................ _____________________330 (___________________)_335 ________________ 560 ________________ 570 ________________ 580 (_______________) 590 _____________________291 _____________________292 _____________________293 _____________________294 _____________________295 _____________________300 $ ___________________550 _____________________ 230 _____________________250 _____________________270 _____________________290 ____________________210
____________________ 770 ____________________ 780 ____________________ 790 ____________________ 800
____________________ 801 ____________________ 802 ____________________ 803 ____________________ 804 ____________________ 805 ____________________ 810
____________________ 820
OMIT PENNIES
SEC 2430 (2-02) Page 3 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS ASSETS (continued) Assets 5. Receivables from non-customers: A. Cash and fully secured accounts .......... B. Partly secured and unsecured accounts 6. Securities purchased under agreements to resale ........................................................ 7. Securities and spot commodities owned at market value: A. Bankers acceptances, certificates of deposit and commercial paper ........ B. U.S. and Canadian government obligations ............................................ C. State and municipal government obligations ............................................ D. Corporate obligations .......................... E. Stocks and warrants ............................ F. Options ................................................ G. Arbitrage ............................................. H. Other securities .................................. I. Spot commodities ............................. _____________________370 _______________________ 380 _____________________390 _____________________400 _____________________410 _____________________420 _____________________422 _____________________424 _____________________430 ____________________ 850 $ ____________________ 340 $ ____________________ 350 _____________________360 $ ____________________ 600 ______________________ 605 $ _____________________ 830 ____________________ 840 Allowable Non-Allowable Total
8. Securities owned not readily marketable: A. At cost ........ $ _______________130 9. Other investments not readily marketable: A. At cost ........ $ _______________140 B. At estimated fair value ....................... 10. Securities borrowed under subordination agreements and partners' individual and capital securities accounts at market value: A. Exempted securities...... $ _______________ 150 B. Other ........... $ _______________ 160 _____________________460 ______________________ 630 ____________________ 880 _____________________450 ______________________ 620 ____________________ 870 _____________________440 ______________________ 610 ____________________ 860
OMIT PENNIES
SEC 2430 (2-02) Page 4 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
ASSETS (continued) Assets 11. Secured demand notes - market value of collateral: A. Exempted securities ........ $ __________________170 B. Other ............... $ __________________180 12. Investment in and receivables from affiliates, subsidiaries and associated partnerships.......................................... 13. Property, furniture, equipment, leasehold improvements and rights under lease agreements: At cost (net of accumulated depreciation and amortization) ........................................ 14. Other Assets: A. Dividends and interest receivable... B. Free shipments................................ C. Loans and advances ...................... D. Miscellaneous ................................ 15. TOTAL ASSETS....... $ ____________________500 ____________________510 ____________________520 ____________________530 540 $ _____________________ 690 _____________________ 700 _____________________ 710 _____________________ 720 740 $ _____________________930 940 $ ____________________490 $ ______________________ 680 $ ____________________ 920 _____________________470 ______________________ 640 ____________________ 890 Allowable Non-Allowable Total
_____________________480
_____________________ 670
_____________________910
OMIT PENNIES
SEC 2430 (2-02) Page 5 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS LIABILITIES AND OWNERSHIP EQUITY Liabilities 16. Bank loans payable: ....................................................................................................................................................... $ 17. Securities sold under repurchase agreement ............................................................................................................. $ 18. Payable to brokers/dealers and clearing organizations: A. Failed to receive: .................................................................................................................................................... $ ___________________ 1500 ___________________ 1520 ___________________ 1540 ___________________ 1560 ___________________ 1570 Total ___________________ 1470 ___________________ 1480
B. Securities loaned: .................................................................................................................................................... $ C. Omnibus accounts: ................................................................................................................................................ D. Clearing organization: .......................................................................................................................................... E. Other ...................................................................................................................................................................... 19. Payable to customers: A. Securities accounts-including excess collateral of $ ___________________ 950 ............................................................................................ $ B. Commodities accounts ........................................................................................................................................ 20. Payable to non-customers: A. Securities accounts .............................................................................................................................................. B. Commodities accounts ........................................................................................................................................ 21. Securities sold not yet purchased at market value- including arbitrage of $ ___________________ $ $ $ $ $ $
___________________ 1580 ___________________ 1590
___________________ 1600 ___________________ 1610
960
..........................................................................................
$
___________________ 1620
22. Accounts payable and accrued liabilities and expenses: A. Drafts payable ..................................................................................................................................................... B. Accounts payable ................................................................................................................................................ C. Income taxes payable ......................................................................................................................................... D. Deferred income taxes ........................................................................................................................................ E. Accrued expenses and other liabilities ............................................................................................................... F. Other ................................................................................................................................................................... $ $ $ $ $ $ ___________________ 1630 ___________________ 1640 ___________________ 1650 ___________________ 1660 ___________________ 1670 ___________________ 1680
OMIT PENNIES
SEC 2430 (2-02) Page 6 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS LIABILITIES AND OWNERSHIP EQUITY (continued) Liabilities 23. Notes and mortgages payable: A. Unsecured ....................................................................................................................................................... B. Secured .......................................................................................................................................................... 24. Liabilities subordinated to claims of general creditors: A. Cash borrowings: ............................................................................................................................................. 1. from outsiders $ ___________________ 970 $ ___________________ 1710 $ $ ___________________ 1690 ___________________ 1700 Total
2. includes equity subordination (15c3-1d) of $ ___________________ 980 B. Securities borrowings, at market value ........................................................................................................... 1. from outsiders $ ___________________ 990 $ ___________________ 1730 $ ___________________ 1720
C. Pursuant to secured demand note collateral agreements: .................................................................................................................................................... 1. from outsiders $ ___________________ 1000
2. includes equity subordination (15c3-1d) of $ ___________________ 1010 D. Accounts and other borrowings not qualified for net capital purposes .................................................................................................................................. 25. TOTAL LIABILITIES ......................................................................................................... $ $ ___________________ 1750 1760
OMIT PENNIES
SEC 2430 (2-02) Page 7 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS LIABILITIES AND OWNERSHIP EQUITY (continued) Ownership Equity 26. Sole proprietorship ................................................................................................................................................ 27. Partnership-limited partners ................................................................................................................................. 28. Corporation: A. Preferred stock ............................................................................................................................................... B. Common stock ................................................................................................................................................ C. Additional paid-in capital ................................................................................................................................. D. Retained earnings ............................................................................................................................................ E. Total ................................................................................................................................................................. F. Less capital stock in treasury .......................................................................................................................... 29. 30. TOTAL OWNERSHIP EQUITY ................................................................................ TOTAL LIABILITIES AND OWNERSHIP EQUITY ................................................................................ $ $ ___________________ 1791 ___________________ 1792 ___________________ 1793 ___________________ 1794 ___________________ 1795 (__________________) 1796 ___________________ 1800 1810 $ Total ___________________ 1770 ___________________ 1780
OMIT PENNIES
SEC 2430 (2-02) Page 8 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED (Electing 15c3-1 Appendix F) CAPITAL Capital 1. Total Ownership Equity ............................................................................................................................................ 2. Deduct: Ownership Equity not Allowable for Net Capital ......................................................................................... 3. Total Ownership Equity Qualified for Net Capital ..................................................................................................... 4. Add: Subordinated Liabilities Approved for Net Capital ......................................................................................... 5. Other Allowable Credits or Deductions .................................................................................................................... 6. Total Capital and Approved Subordinations ............................................................................................................ 7. Non-Allowable Assets ....................................................................................... 8. Secured Demand Note Deficiency .................................................................... 9. Other Deductions and Charges ........................................................................ $ ____________________ 3540 ____________________ 3590 ____________________ 3610 (_________________)_ 3620 $ ___________________ 3640 $ ___________________ 3480 (_________________) 3490 ___________________ 3500 ___________________ 3520 ___________________ 3525 ___________________ 3530
10. Total Non-Allowable Assets, Other Deductions and Charges (add lines 7 - 9)..................................................... 11. Tentative Net Capital (Must equal or exceed $100,000,000) .................................................................................... Computation of Net Capital Requirements and Excess Net Capital 12. Market Risk Exposure: A. Total Value at Risk .......................................................................................... Value at Risk Components: 1. Fixed Income (VaR) ........................... 2. Currency (VaR) .................................. 3. Commodities (VaR) .......................... 4. Equities (VaR) ................................... $ ___________________ 3636 ___________________ 3637 ___________________ 3638 ___________________ 3639 $ ____________________ 3635
NOTE: The sum of the value at risk components may not equal total value at risk. B. Multiplication Factor ..................................................................................................... X C. Subtotal (If Line 12A is positive, multiply Line 12A by 12B) ....................... D. Alternative Method for Equities under Appendix A of Rule 15c3-1 (if applicable) ............................................................................................... E. Non - Marketable Securities ....................................................................... F. Residual Positions .......................................................................................................... $ ____________________ 3645 ____________________ 3655 ____________________ 3665 ____________________ 3675 ____________________ 3676 $ ___________________ 3677 OMIT PENNIES
13. Subtotal Market Risk Exposure (add Lines 12C and 12D) ................................................................................................................
SEC 2430 (2-02) Page 9 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED (Electing 15c3-1 Appendix F) CAPITAL (continued) Capital 14. Credit Risk Exposure: A. Credit Risk Charge (Counterparty)........................................................... B. Concentration Charge .............................................................................. ___________________ 3678 ___________________ 3650 $ ___________________ 3679 ___________________ 3750 ___________________ 3758 20,000,000 $ ___________________ 3770
15. Subtotal Credit Risk Exposure (add Lines 14A and 14B) ......................................................................................... 16. Net Capital (Line 11 less Lines 13 and 15) ............................................................................................................... 17. Minimum Capital Requirement ................................................................................................................................. 18. Excess Net Capital (Line 16 less Line 17) .................................................................................................................
OMIT PENNIES
SEC 2430 (2-02) Page 10 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED (Under (c)(3)(vi) of Rule 15c3-1)
Capital 1. Total Ownership Equity (from Statement of Financial Condition - Item 1800) ....................................................... 2. Deduct: Ownership Equity not allowable for Net Capital ......................................................................................... 3. Total Ownership Equity Qualified for Net Capital ................................................................................................... 4. Add: Subordinated Liabilities Approved for Net Capital ......................................................................................... 5. Other Allowable Credits or Deductions ................................................................................................................... 6. Total Capital and Approved Subordinations ............................................................................................................ 7. Non-Allowable Assets ................................................................................................................................................ 8. Other Deductions and/or Charges ............................................................................................................................ 9. Secured Demand Note Deficiency ............................................................................................................................ 10. Commodity futures contracts and spot commodities proprietary capital charges ........................................... 11. Other additions and/or allowable credits A. Credit add backs under 15c3-1(c)(15) ............................................................................................................. B. Other ................................................................................................................................................................... 12. Tentative Net Capital (must equal or exceed $100,000,000).................................................................................... 13. Haircuts on Securities (computed pursuant to 15c3-1(c)(2)(vi)): A. Fixed Income ............................................................................................... B. Currency ...................................................................................................... C. Commodities .............................................................................................. D. Equities ....................................................................................................... $ ___________________ 3636 ___________________ 3637 ___________________ 3638 ___________________ 3639 (________________)_ 4040 (________________)_ 3650 (________________)_ 3736 (________________)_ 4051 $ 4750 $ ___________________ 3631 ___________________ 3632 3640 $ $ ___________________ 3480 (________________)_ 3490 ___________________ 3500 ___________________ 3520 ___________________ 3525 3530 (________________)_ 3540 (________________)_ 4000 (________________)_ 3590 (________________)_ 3600
14. Total deductions and/or charges ............................................................................................................................ 15. Undue Concentration ............................................................................................................................................... 16. Other (List) ................................................................................................................................................................ 17. Credit Risk ................................................................................................................................................................. 18. Net Capital ................................................................................................................................................................ 19. Minimum Net Capital ................................................................................................................................................. 20. Excess Net Capital ...................................................................................................................................................
$ ___________________ 3758 20,000,000 $ __________________ 3770
OMIT PENNIES
SEC 2430 (2-02) Page 11 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB
For the Period (MM/DD/YYYY) from _____________________________________ 3932 to ________________________________________________ 3933
__________________________________________________________________________
(Name of Dealer)
Number of months included in this statement 3931
STATEMENT OF INCOME (LOSS) REVENUE 1. Contracts: A. Interest Rate/Fixed Income products ................................................................................................................ B. Over-the-counter currency and foreign exchange products for Net Capital .................................................... C. Equity products ................................................................................................................................................. D. Commodity products .......................................................................................................................................... E. All other securities commissions ....................................................................................................................... F. Total securities commissions ............................................................................................................................ 2. Gains or Losses on Firm Securities Trading Accounts: A. From market making in over-the-counter equity securities .............................................................................. 1. Includes gains or (losses) OTC market making in exchange listed equity securities ......................................................................... $ _____________________ 3943 ___________________ 3944 ___________________ 3945 ___________________ 3949 $ ___________________ 3950 $ ___________________ 3941 $ $ ___________________ 3921 ___________________ 3922 ___________________ 3923 ___________________ 3924 ___________________ 3925 __________________ 3940
B. From trading in debt securities ........................................................................................................................... C. From market making in options on a national securities exchange ................................................................. D. From all other trading .......................................................................................................................................... E. Total gains or (losses) ....................................................................................................................................... 3. Gains or Losses on Firm Securities Investment Accounts: A. Includes realized gains (losses).................................................................. B. Includes unrealized gains (losses).............................................................. $ ____________________ 4235 ____________________ 4236 $
C. Total realized and unrealized gains (losses) ................................................................................................... 4. Other Interest ........................................................................................................................................................... 5. Fees for account supervision, investment advisory and administrative services ................................................... 6. Revenue from research services ............................................................................................................................. 7. Commodities revenue .............................................................................................................................................. 8. Other revenue .......................................................................................................................................................... 9. Total Revenue ............................................................................................................................................................ EXPENSES 10. Compensation ........................................................................................................................................................ 11. Clerical and administrative employees' expenses ...................................................................................................
___________________ 3952 ___________________ 3953 ___________________ 3975 ___________________ 3980 ___________________ 3990 ___________________ 3995
$
4030
$ ___________________ 4110 ___________________ 4040 OMIT PENNIES
SEC 2430 (2-02) Page 12 of 28
FINANCIAL AND OPERATIONAL COMINED UNIFORM SINGLE REPORT PART IIB
For the Period (MM/DD/YYYY) from _____________________________________ 3932 to ________________________________________________ 3933
__________________________________________________________________________
(Name of Dealer)
Number of months included in this statement 3931
STATEMENT OF INCOME (LOSS) EXPENSES (continued) 12. Salaries and other employment costs for general partners, and voting stockholder officers ............................... A. Includes interest credited to General and Limited Partners capital accounts .................................................................................................... $ _____________________ 4130 ____________________ 4050 ____________________ 4145 ____________________ 4135 ____________________ 4060 ____________________ 4080 ____________________ 4150 ____________________ 4075 $ ____________________ 4120
13. Floor brokerage paid to certain brokers (see definition) ......................................................................................... 14. Commissions and clearance paid to all other brokers (see definition) ................................................................... 15. Clearance paid to non-brokers (see definition) ....................................................................................................... 16. Communications ....................................................................................................................................................... 17. Occupancy and equipment costs ........................................................................................................................... 18. Promotional costs ..................................................................................................................................................... 19. Interest expense ...................................................................................................................................................... A. Includes interest on accounts subject to subordination agreements .................... _____________________ 4070
20. Losses in error account and bad debts ................................................................................................................................................ 21. Data processing costs (including service bureau service charges) .................................................................................................. 22. Non-recurring charges ............................................................................................................................................................................. 23. Regulatory fees and expenses ............................................................................................................................................................... 24. Other expenses ........................................................................................................................................................................................ 25. Total expenses ......................................................................................................................................................................................... NET INCOME 26. Income (loss) before Federal income taxes and items below (Item 10 less Item 26).............................................. 27. Provision for Federal income taxes (for parent only) ............................................................................................... 28. Equity in earnings (losses) of unconsolidated subsidiaries not included above ................................................... A. After Federal income taxes of ................................................................... _____________________ 4338 $
____________________ 4170 ____________________ 4186 ____________________ 4190 ____________________ 4195 ____________________ 4100 4200
$ ____________________ 4210 ____________________ 4220 ____________________ 4222
29. Extraordinary gains (losses) .................................................................................................................................... A. After Federal income taxes of ................................................................... _____________________ 4239
____________________ 4224
30. Cumulative effect of changes in accounting principles .......................................................................................... 31. Net income (loss) after Federal income taxes and extraordinary items ................................................................. MONTHLY INCOME 32. Income (current month only) before provision for Federal income taxes and extraordinary items ...................... $
____________________ 4225 ____________________ 4230
4211 OMIT PENNIES
SEC 2430 (2-02) Page 13 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
Ownership Equity and Subordinated Liabilities maturing or proposed to be withdrawn within the next six months and accruals, (as defined below), which have not been deducted in the computation of Net Capital.
Type of Proposed Withdrawal or Accrual
(see below for code to enter)
Name of Lender or Contributor
Insider or Outsider?
(In or Out)
Amount to be Withdrawn
(cash amount and/or Net Capital Value of Securities)
Withdrawal or Maturity Date
(MM/DD/YYYY)
Expect to Renew
(Yes or No)
__________________________ 4600 __________________________ 4610 __________________________ 4620 __________________________ 4630 __________________________ 4640 __________________________ 4650 __________________________ 4660 __________________________ 4670 __________________________ 4680 __________________________ 4690
______________________________________________ 4601 ______________________________________________ 4611 ______________________________________________ 4621 ______________________________________________ 4631 ______________________________________________ 4641 ______________________________________________ 4651 ______________________________________________ 4661 ______________________________________________ 4671 ______________________________________________ 4681 ______________________________________________ 4691
________________ 4602 ________________ 4612 ________________ 4622 ________________ 4632 ________________ 4642 ________________ 4652 ________________ 4662 ________________ 4672 ________________ 4682 ________________ 4692
$ _____________________ 4603 _____________________ 4613 _____________________ 4623 _____________________ 4633 _____________________ 4643 _____________________ 4653 _____________________ 4663 _____________________ 4673 _____________________ 4683 _____________________ 4693
_____________ 4604 _____________ 4614 _____________ 4624 _____________ 4634 _____________ 4644 _____________ 4654 _____________ 4664 _____________ 4674 _____________ 4684 _____________ 4694
__________ 4605 __________ 4615 __________ 4625 __________ 4635 __________ 4645 __________ 4655 __________ 4665 __________ 4675 __________ 4685 __________ 4695
Total $ * To agree with the total on Recap (Item No. 4880) OMIT PENNIES
4699*
WITHDRAWAL CODE: 1 2 3 4 INSTRUCTIONS:
DESCRIPTIONS Equity Capital Subordinated Liabilities Accruals 15c3-1(c)(2)(iv) Liabilities
Detail Listing must include the total of items maturing during the six month period following the report date, regardless of whether or not the capital contribution is expected to be renewed. The schedule must also include proposed capital withdrawals scheduled within the six month period following the report date including the proposed redemption of stock and payments of liabilities secured by fixed assets (which are considered allowable assets in the capital computation pursuant to Rule 15c-3-1(c)(2)(iv)), which could be required by the lender on demand or in less than six months.
SEC 2430 (2-02) Page 14 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT CAPITAL WITHDRAWALS PART IIB ______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
Ownership Equity and Subordinated Liabilities maturing or proposed to be withdrawn within the next six months and accruals, which have not been deducted in the computation of net capital. RECAP 1. Equity Capital A. Partnership Capital: 1. General Partners .................................................................................. 2. Limited .................................................................................................. 3. Undistributed Profits ............................................................................. 4. Other (describe below) ......................................................................... 5. Sole Proprietorship ............................................................................... B. Corporation Capital: 1. Common Stock ..................................................................................... 2. Preferred Stock ..................................................................................... 3. Retained Earnings (Dividends and Other) ........................................... 4. Other (describe below) ......................................................................... 2. Subordinated Liabilities A. Secured Demand Notes ............................................................................. B. Cash Subordinates ..................................................................................... C. Debentures ................................................................................................. D. Other (describe below) ............................................................................... 3. Other Anticipated Withdrawals A. Bonuses ...................................................................................................... B. Voluntary Contributions to Pension or Profit Sharing Plans ..................... C. Other (describe below) ............................................................................... 4. Description of Other _____________________________________________________________________________________________________________ _____________________________________________________________________________________________________________ _____________________________________________________________________________________________________________ _____________________________________________________________________________________________________________ 5. TOTAL ........................................................................................................................................................................ $ ___________________ 4880 OMIT PENNIES $ _____________________ 4820 _____________________ 4860 _____________________ 4870 $ _____________________ 4780 _____________________ 4790 _____________________ 4800 _____________________ 4810 $ _____________________ 4740 _____________________ 4750 _____________________ 4760 _____________________ 4770 $ _____________________ 4700 _____________________ 4710 _____________________ 4720 _____________________ 4730 _____________________ 4735
SEC 2430 (2-02) Page 15 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT CAPITAL WITHDRAWALS PART IIB ______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
STATEMENT OF CHANGES IN OWNERSHIP EQUITY (SOLE PROPRIETORSHIP, PARTNERSHIP OR CORPORATION)
1. Balance, beginning of period ................................................................................................................................... A. Net income (loss) ................................................................................................................................................ B. Additions (includes non-conforming capital of ......................................... C. Deductions ........................ ......................................................................... $ _____________________ 4262 _____________________ 4272 $ $ ____________________ 4240 ____________________ 4250 ____________________ 4260 ____________________ 4270 4290
2. Balance, end of period (From item 1800) .................................................................................................................
STATEMENT OF CHANGES IN LIABILITIES SUBORDINATED TO CLAIMS OF GENERAL CREDITORS
3. Balance, beginning of period ................................................................................................................................... A. Increases ............................................................................................................................................................. B. Decreases ........................................................................................................................................................... 4. Balance, end of period (From item 3520)................................................................................................................. $ $ ____________________ 4300 ____________________ 4310 (__________________)_ 4320 4330
OMIT PENNIES
SEC 2430 (2-02) Page 16 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
FINANCIAL AND OPERATIONAL DATA
VALUATION 1. Month end total number of stock record breaks unresolved over three business days A. Breaks long ................................................................................................. B. Breaks short ............................................................................................... $ $ ____________________ 4890 ____________________ 4910
NUMBER
___________________ 4900 ___________________ 4920
2. Is the firm in compliance with Rule 17a-13 regarding periodic count and verification of securities positions and locations at least once in each calendar quarter? (Check one) Yes 4930 No 4940 3. Personnel employed at end of reporting period: A. Income producing personnel .............................................................................................................................. B. Non-income producing personnel (all other)...................................................................................................... C. Total ................................................................................................................................................................... 4. Actual number of tickets executed during current month of reporting period ....................................................... 5. Number of corrected customer confirmations mailed after settlement date .......................................................... NO. OF ITEMS 6. Money differences ......................................... 7. Security suspense accounts ......................... 8. Security difference accounts ......................... 9. Commodity suspense accounts..................... DEBIT (Short Value) NO. OF ITEMS ___________________ 4950 ___________________ 4960 ___________________ 4970 ___________________ 4980 ___________________ 4990 CREDIT (Long Value)
___________ 5000 $ ___________________ 5010 ___________ 5020 $ ___________________5030 ___________ 5040 $ ___________________ 5050 ___________ 5060 $ ___________________5070 ___________ 5080 $ ___________________ 5090 ___________ 5100 $ ___________________5110 ___________ 5120 $ ___________________ 5130 ___________ 5140 $ ___________________5150
10. Open transactions with correspondents, other brokers, clearing organizations, depositories and interoffice and intercompany accounts which could result in a charge - unresolved amounts over 30 calendar days .................... ___________ 5160 $ ___________________ 5170 ___________ 5180 $ ___________________5190 11. Bank account reconciliations - unresolved amounts over 30 calendar days .................... 12. Open transfers over 40 calendar days, not confirmed ................................................ 13. Transactions in reorganization accounts - over 60 calendar days ................................. 14. Total ..................... ......................................... ___________ 5200 $ ___________________ 5210 ___________ 5220 $ ___________________5230 ___________ 5240 $ ___________________ 5250 ___________ 5260 $ ___________________5270 ___________ 5280 $ ___________________ 5290 ___________ 5300 $ ___________________5310 ___________ 5320 $ ___________________ 5330 ___________ 5340 $ ___________________5350
OMIT PENNIES
SEC 2430 (2-02) Page 17 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
FINANCIAL AND OPERATIONAL DATA (continued) NO. OF ITEMS 15. Failed to deliver 11 business days or longer (21 business days or longer in the case of Municipal Securities)........................ 16. Failed to receive 11 business days or longer (21 business days or longer in the case of Municipal Securities)........................ 17. Security concentrations (See instructions in Part I): A. Proprietary positions ............................................................................................................................................. $ ___________________ 5370 $ ___________________ 5378 $ ___________________ 5380 $ ___________________ 5382 $ ___________________ 5384 $ ___________________ 5386 ____________ 5360 ____________ 5363 Ledger Amount $ ____________________5361 $ ____________________5364 Market Value $ ___________________ 5362 $ ___________________ 5365
18. Total of personal capital borrowings due within six months ....................................................................................... 19. Maximum haircuts on underwriting commitments during the period ......................................................................... 20. Planned capital expenditures for business expansion during next six months ........................................................ 21. Liabilities of other individuals or organizations guaranteed by respondent .............................................................. 22. Lease and rentals payable within one year ................................................................................................................ 23. Aggregated lease and rental commitments payable for entire term of the lease A. B. Gross ................................................................................................................................................................... Net ......................................................................................................................................................................
$ ___________________ 5388 $ ___________________ 5390
OMIT PENNIES
SEC 2430 (2-02) Page 18 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB as of __________________________ SCHEDULE I CREDIT-CONCENTRATION REPORT FOR TWENTY LARGEST CURRENT NET EXPOSURES
OTC Derivatives Dealer:
Counterparty Identifier (1) Rating (4)
Country (2)
Industry Segment (3)
Gross Replacement Value (5) Receivable Payable (Gross Gain) (Gross Loss) Net Replacement Value (6) Current Net Exposure (7) Total Credit Exposure (8)
Comments (9)
Totals
_____________________________________________________________________________
(1)
Identify counterparty by counterparty's corporate name.
(2)
Identify country exposures by residence of main operating company.
(3)
Report on a counterparty-by-counterparty basis by type of entity in accordance with ISDA guidelines (i.e., Primary ISDA Members, Non-Primary ISDA Members, Corporates, Financial Institutions, Government/Supranationals, or Other).
(4)
Ratings are Nationally Recognized Statistical Rating Organization ("NRSRO") ratings or internal credit ratings as assigned by the firm. See Schedule IV for conversion of firm ratings into NRSRO equivalent ratings.
(5)
Report gross replacement value (receivable and payable), excluding the effect of legally enforceable netting agreements and excluding the application of collateral.
(6)
Report net replacement value, including the effect of legally enforceable netting agreements but excluding the application of collateral.
(7)
Report current net exposure, including the effect of legally enforceable netting agreements and the application of collateral.
(8)
Report the sum of the current net exposure and the potential additional credit exposure (calculated as the maximum credit exposure expected to be exceeded with a probability of one percent over a two-week period, less current net exposure).
SEC 2430 (2-02) Page 19 of 28
(9)
Provide additional relevant information (e.g., details on credit enhancements, type of contract, maturity, offsetting, significant additional exposures in affiliated entities, etc.).
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB as of __________________________ SCHEDULE II PORTFOLIO SUMMARY OF OTC DERIVATIVES EXPOSURES
OTC Derivatives Dealer:
Credit Rating Category (1)
Industry Segment (2)
Current Net Exposure (3)
Net Replacement Value (4)
Gross Replacement Value (5) Receivable Payable
XXX
Primary ISDA Member
Corporate Financial Institutions Government Other
TOTAL
XX
Primary ISDA Member
Corporate Financial Institutions Government Other
TOTAL
X
Primary ISDA Member
Corporate Financial Institutions Government Other
TOTAL
GRAND TOTAL
(1) See Note (4) on Schedule I.
(2) See Note (3) on Schedule I.
(3) See Note (7) on Schedule I.
(4) See Note (6) on Schedule I.
SEC 2430 (2-02) Page 20 of 28
(5) See Note (5) on Schedule I.
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB as of __________________________ SCHEDULE III GEOGRAPHIC DISTRIBUTION (1) OF OTC DERIVATIVES EXPOSURES
OTC Derivatives Dealer:
Country
Credit Rating Category (2)
Current Net Exposure (3)
Net Replacement Value (4)
Gross Replacement Value (5) Receivable Payable
A
XXX XX X YYY YY Y
Country A TOTAL
B
XXX XX X YYY YY Y
Country B TOTAL
GRAND TOTAL
(1) Top 10 country exposures (by residence of main operating company).
(2) See Note (4) on Schedule I.
(3) See Note (7) on Schedule I.
(4) See Note (6) on Schedule I.
SEC 2430 (2-02) Page 21 of 28
(5) See Note (5) on Schedule I.
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB OTC Derivatives Dealer: SCHEDULE IV INTERNAL CREDIT RATING CONVERSION as of __________________________
Internal Credit Rating
Equivalent Ratings NRSRO 1 NRSRO 2 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B3 B2 B1 CCC AAA AA+ AA AAA+ A ABBB+ BBB BBBBB+ BB BBB+ B BCCC
SEC 2430 (2-02) Page 22 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB as of __________________________ SCHEDULE V NET REVENUES (1) FROM OTC DERIVATIVES AND RELATED ACTIVITIES Quarter Ended [DATE] [MONTH 3] Month Ended [MONTH 2] [MONTH 1]
OTC Derivatives Dealer:
Product Category (2)
Fixed Income Products
OTC Options Swaps Dollar Non-Dollar
Currency & Foreign Exchange Products
Equity Products
Commodity Products
Other Products (specify)
Total All Products
(1)
Report net revenues from OTC derivatives activities in the specified product category after taking into account related positions (including those that are not OTC derivatives), with net revenues defined as trading gains/losses plus interest and dividend income less dividend and interest expense (excluding all other expenses and allocable overhead).
SEC 2430 (2-02) Page 23 of 28
(2)
Product types shpuld be organized by one or more principle market categories.
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT PART IIB _______________________________________________________________________
(Name of Dealer)
________________________
As of (MM/DD/YYYY)
SCHEDULE VI AGGREGATE SECURITIES AND OTC DERIVATIVE POSITIONS I. AGGREGATE SECURITIES AND COMMODITIES POSITIONS
Aggregate Securities and Commodities Positions 1. U.S. Treasury securities .................................................................................. 2. U.S. Government agency ................................................................................. 3. Securities issued by states and political subdivisions in the U.S. .................. 4. Foreign securities: A. Debt securities ............................................................................................ B. Equity securities ......................................................................................... 5. Banker's acceptances ...................................................................................... 6. Certificates of deposit ....................................................................................... 7. Commercial paper ............................................................................................ 8. Corporate obligations ....................................................................................... 9. Stocks and warrants (other than arbitrage positions) ..................................... 10. Arbitrage: A. Index arbitrage and program trading ......................................................... B. Risk arbitrage .............................................................................................. C. Other arbitrage ........................................................................................... 11. Options: A. Market value of put options: 1. Listed .................................................................................................... 2. Unlisted ................................................................................................. B. Market value of call options: 1. Listed .................................................................................................... 2. Unlisted ................................................................................................. 12. Spot commodities ............................................................................................ 13. Investments with no ready market: A. Equity .......................................................................................................... B. Debt ............................................................................................................ C. Other (include limited partnership interests) ............................................. 14. Other securities or commodities ...................................................................... 15. Summary of delta or similar analysis (if available)(attach analysis) $ $ $ $ $ $ $ $ $ ___________________ 6310 ___________________ 6315 ___________________ 6320 ___________________ 6325 ___________________ 6330 ___________________ 6340 ___________________ 6345 ___________________ 6350 ___________________ 6360 $ $ $ $ $ $ $ $ $ ___________________ 6311 ___________________ 6316 ___________________ 6321 ___________________ 6326 ___________________ 6331 ___________________ 6341 ___________________ 6346 ___________________ 6351 ___________________ 6361 $ $ $ $ $ $ $ $ $ $ $ $ $ LONG ___________________ 6200 ___________________ 6210 ___________________ 6220 ___________________ 6230 ___________________ 6235 ___________________ 6240 ___________________ 6250 ___________________ 6260 ___________________ 6270 ___________________ 6280 ___________________ 6290 ___________________ 6295 ___________________ 6300 $ $ $ $ $ $ $ $ $ $ $ $ $ SHORT ___________________ 6201 ___________________ 6211 ___________________ 6021 ___________________ 6231 ___________________ 6236 ___________________ 6241 ___________________ 6251 ___________________ 6261 ___________________ 6271 ___________________ 6281 ___________________ 6291 ___________________ 6296 ___________________ 6301
000's OMITTED
SEC 2430 (2-02) Page 24 of 28
FINANCIAL 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.)
A. 1.
Securities When-issued securities: A. Gross commitments to purchase .......................................................... B. Gross commitments to sell .................................................................... $ $
LONG ___________________ 6400 ___________________ 6405 $ $
SHORT ___________________ 6401 ___________________ 6402
2.
Written stock option contracts: A. Market value, and the value of the underlying securities, of call contracts: 1. Listed a. Market value............................................................................ $ b. 2. Value of underlying securities ................................................ $ $ $
___________________ 6410 ___________________ 6415 ___________________ 6420 ___________________ 6425
$ $ $ $
___________________ 6411 ___________________ 6416 ___________________ 6421 ___________________ 6426
Unlisted a. Market value ........................................................................... b. Value of underlying securities ................................................
B.
Market value, and the value of the underlying securities, of put contracts: 1. Listed a. Market value............................................................................ b. 2. Value of underlying securities ................................................
$ $ $ $
___________________ 6430 ___________________ 6435 ___________________ 6440 ___________________ 6445
$ $ $ $
___________________ 6431 ___________________ 6436 ___________________ 6441 ___________________ 6446
Unlisted a. Market value ........................................................................... b. Value of underlying securities ................................................
C.
Market value, and the value of the underlying securities, of naked call contracts: 1. Listed a. Market value............................................................................ $ ___________________ 6450 b. 2. Value of underlying securities ................................................ $ $ $ ___________________ 6455 ___________________ 6460 ___________________ 6465
$ $ $ $
___________________ 6451 ___________________ 6456 ___________________ 6461 ___________________ 6466
Unlisted a. Market value ........................................................................... b. Value of underlying securities ................................................
D.
Market value, and the value of the underlying securities, of naked put contracts: 1. Listed a. Market value............................................................................ $ ___________________ 6470 b. 2. Value of underlying securities ................................................ $ $ $ ___________________ 6475 ___________________ 6480 ___________________ 6485
$ $ $ $
___________________ 6471 ___________________ 6476 ___________________ 6481 ___________________ 6486
Unlisted a. Market value ........................................................................... b. Value of underlying securities ................................................
000's OMITTED
SEC 2430 (2-02) Page 25 of 28
FINANCIAL 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 3. Futures: A. U.S. Treasury and mortgage-backed securities futures ........................ B. 4. Other futures (specify) ............................................................................ $ $ $ $ ___________________ 6500 ___________________ 6505 ___________________ 6510 ___________________ 6512 $ $ $ $
SHORT ___________________ 6501 ___________________ 6506 ___________________ 6511 ___________________ 6513
Forwards: A. U.S. Treasury and mortgage-backed securities .................................... 1. 2. B. Aggregate current cost of replacing contracts by counterparty... Per counterparty breakdown where credit risk exceeds the (attach schedule)
Other forwards (specify) .......................................................................................... 1. 2. Aggregate current cost of replacing contracts by counterparty... Per counterparty breakdown where credit risk exceeds the (attach schedule)
$ $
___________________ 6515 ___________________ 6517
$ $
___________________ 6516 ___________________ 6518
B. 1.
Interest Rate Swaps U.S. dollar denominated swaps: A. B. C. Total notional or contractual amount .................................................... Aggregate current cost of replacing contracts by counterparty......................... Per counterparty breakdown (attach schedule) $ $ ___________________ 6520 ___________________ 6525 $ $ ___________________ 6521 ___________________ 6526
2.
Cross currency swaps: A. B. C. Total notional or contractual amount .................................................... Aggregate current cost of replacing contracts ..................................................... Per counterparty breakdown (attach schedule) $ $ ___________________ 6530 ___________________ 6535 $ $ ___________________ 6531 ___________________ 6536
C. 1.
Foreign exchange Swaps: A. B. C. Total notional or contractual amount .................................................... Aggregate cost of replacing contracts by counterparty....................................... Per counterparty breakdown (attach schedule) $ $ ___________________ 6540 ___________________ 6545 $ $ ___________________ 6541 ___________________ 6546
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
FINANCIAL 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 B. Forwards ................................................................................................ 1. 2. 3. Aggregate current cost of replacing contracts by counterparty... Per counterparty breakdown (attach schedule) $ $ ___________________ 6570 ___________________ 6575 $ $ $ $ ___________________ 6560 ___________________ 6562 $ $
SHORT ___________________ 6561 ___________________ 6563
Naked written option contracts: A. Contractual value ................................................................................... B. Value of the underlying instruments ......................................................
___________________ 6571 ___________________ 6576
D. 1. 2. 3. E. 1. 2.
All other swap agreements (specify type) (attach schedule if necessary) Total notional or contractual amount............................................................. Aggregate current cost of replacing contracts by counterparty................... Per counterparty breakdown (attach schedule) Commodities Futures............................................................................................................ Forwards ........................................................................................................ 1. 2. Aggregate current cost of replacing contracts by counterparty............................................................................................ Per counterparty breakdown (attach schedule) $ $ $ ___________________ 6590 ___________________ 6595 ___________________ 6600 $ $ $ ___________________ 6591 ___________________ 6596 ___________________ 6601 $ $ ___________________ 6580 ___________________ 6585 $ $ ___________________ 6581 ___________________ 6586
3.
Sold option contracts (e.g., options on individual commodities and commodities indexes) A. Market value, and the value of the underlying instruments, of call contracts: 1. Listed a. Market value........................................................................... $ b. 2. Value of underlying instruments ........................................... $ $ $
___________________ 6610 ___________________ 6612 ___________________ 6615 ___________________ 6617
$ $ $ $
___________________ 6611 ___________________ 6613 ___________________ 6616 ___________________ 6618
Unlisted a. Market value........................................................................... b. Value of underlying instruments ...........................................
B.
Market value, and the value of the underlying instruments, of put contracts: 1. Listed a. Market value........................................................................... $ b. Value of underlying instruments ........................................... $
___________________ 6620 ___________________ 6622
$ $
___________________ 6621 ___________________ 6623
000's OMITTED
SEC 2430 (2-02) Page 27 of 28
FINANCIAL 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 2. Unlisted a. Market value.................................................................... b. C. Value of underlying instruments .................................... $ $ ___________________ 6625 ___________________ 6627 $ $
SHORT ___________________ 6626 ___________________ 6628
Market value, and the value of the underlying instruments, of naked call contracts: 1. Listed a. Market value.................................................................... b. 2. Value of underlying instruments ....................................
$ $ $ $
___________________ 6630 ___________________ 6632 ___________________ 6635 ___________________ 6637
$ $ $ $
___________________ 6631 ___________________ 6633 ___________________ 6636 ___________________ 6638
Unlisted a. Market value.................................................................... b. Value of underlying instruments ....................................
D.
Market value, and the value of the underlying instruments, of naked put contracts: 1. Listed a. Market value.................................................................... b. 2. Value of underlying instruments ....................................
$ $ $ $
___________________ 6640 ___________________ 6642 ___________________ 6645 ___________________ 6647
$ $ $ $
___________________ 6641 ___________________ 6643 ___________________ 6646 ___________________ 6648
Unlisted a. Market value.................................................................... b. Value of underlying instruments ....................................
000's OMITTED
SEC 2430 (2-02) Page 28 of 28
FORM X-17A-5, PART IIB GENERAL INSTRUCTIONS
The FOCUS Report (Form X-17A-5IIB) constitutes the basic financial and operational report required of OTC derivatives dealers. Much of the information required by the FOCUS report is the same or similar to the information required to be reported by brokerdealers required to file Form X-17A-5 Part II. Consequently, for those items that appear on both forms, the instructions for X-17A-5 Part II are to be followed when completing Form X-17A-5 Part IIB. The following instructions apply to new information requests and to items appearing on both forms that have been altered to better reflect an OTC derivatives dealer's unique business. Computation of Net Capital and Required Net Capital (Under Rule 15c3-1 Appendix F) For purposes of paragraph (a)(5) of Rule 15c3-1 of this chapter (§240.15c3-1, the term "tentative net capital" means the net capital of an OTC derivatives dealer before deducting the charges for market and credit risk as computed pursuant to Appendix F and increased by the balance sheet value (including counter-party net exposure) resulting from transactions in eligible OTC derivative instruments which would otherwise be deducted by virtue of paragraph (c)(2)(iv) of Rule 15c3-1. Market risk exposure The capital requirement for an OTC derivatives dealer electing to apply Appendix F of Rule 240.15c3-1 is computed as follows: (1) Value-at-Risk. An OTC derivatives dealer shall deduct from net worth an amount for market risk exposure for eligible OTC derivatives transactions and other positions in its proprietary or other accounts equal to the value at risk ("VAR") of these positions obtained from its proprietary VAR model, multiplied by the appropriate multiplication factor. See paragraph (e)(1)(v)(C) of Appendix F for more information on the multiplication factor. The proprietary model used to calculate the capital requirement for market risk must be approved by the Commission prior to its use. (2) Alternative Method for Equities. An OTC derivatives dealer may choose to use the Alternative Method to calculate market risk for equity instruments, including OTC options. An OTC derivatives dealer may also use this alternative method if the Commission does not approve the OTC derivatives dealer's use of VAR models for equity instruments. Under the alternative method, the deduction for market risk will be an amount equal to the largest theoretical loss calculated in accordance with the theoretical pricing model set forth in Appendix A of § 240.15c3-1. The OTC derivatives dealer may use its own theoretical pricing model as long as it contains the minimum pricing factors set forth in Appendix A. (3) Non-Marketable Securities. An OTC derivatives dealer may not use a VAR model to determine a capital charge for any category of securities having no ready market or any category of debt securities which are below investment grade, or any derivative instrument based on the value of these categories of securities, unless the Commission has granted, pursuant to paragraph (a)(1) of Appendix F, for an alternative treatment for any such category of securities, rather than calculate the market risk capital charge for category of securities under paragraphs (c)(2)(vi) and (vii) of §240.15c3-1. (4) Residual Positions. To the extent that a position has not been included in the calculation of the market risk charge in subparagraphs (1) through (3) of this paragraph, the market risk charge for the position shall be computed under paragraph (c)(2)(vi) of § 240.15c3-1. Credit risk exposure The capital requirement for credit risk arising from an OTC derivatives dealer's eligible OTC derivatives transactions consists of a counter-party charge and a concentration charge. The counter-party charge is computed as follows: (1) The net replacement value for each counter-party (including the effect of legally enforceable netting agreements and the application of liquid collateral) multiplied by 8% multiplied by the counter-party factor. The counter-party factors are 20% of entities with ratings for senior unsecured long term debt or commercial paper in the two highest rating categories by a nationally recognized statistical rating organization ("NRSRO"); 50% for entities with ratings for senior unsecured long term debt in the third and fourth highest ratings categories by an NRSRO; and 100% for entities with ratings for senior unsecured long term debt below the four highest rating categories.
(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.
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