I.S.10: Synthetic Firm Sourcing

Look At Demo Data

Refers to total return swaps that are not booked in client accounts, where the reporting entity is economically short the underlying reference asset and the counterparty is economically long. Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or terminated. Use the [Collateral Class] field to designate the reference asset of the transaction. Use the following [Sub-Product] values to designate how the position is “covered” (i.e., hedged): • Physical Long Position  Refers to transactions hedged with physical long positions. In the event the long position that has been encumbered to another transaction, use the [Effective Maturity Bucket] to indicate the period of the encumbrance. For long positions held unencumbered, set the [Unencumbered] flag to “Y”. • Synthetic Customer Short  Refers to transactions hedged with a customer’s synthetic short position reported in O.S. 9. • Synthetic Firm Financing  Refers to transactions where the associated hedge meets the definition of O.S.10. • Futures  Refers to transactions hedged with futures contracts. • Other  Refers to all other methods of hedging. • Unhedged  Refers to positions that are not economically hedged with another instrument or transaction.