Firm Shorts

Refers to a transaction where the reporting entity sells a security it does not own, and the entity subsequently obtains the same security from an internal or external source to make delivery into the sale. External refers to a transaction with a counterparty that falls outside the scope of consolidation for the reporting entity. Internal refers to securities sourced from within the scope of consolidation of the reporting entity. Use the [Sub-Product] field to further identify the appropriate source for delivery into the sale according to the following categories: • External Cash Transactions  Refers to securities sourced through a securities borrowing, reverse repo, or like transaction in exchange for cash collateral. • External Non-Cash Transactions  Refers to securities sourced through a collateral swap or like transaction in exchange for non-cash collateral. • Firm Longs  Refers to securities sourced internally from the reporting entity’s own inventory of collateral where the sale does not coincide with an offsetting performance-based swap derivative. • Customer Longs  Refers to securities sourced internally from collateral held in customer accounts at the reporting entity. • Unsettled - Regular Way  Refers to sales that meet the definition of regular-way securities trades under GAAP, that have been executed, but not yet settled and therefore have not been covered. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. • Unsettled - Forward  Refers to sales that do not meet the definition of regular-way securities trades, that have been executed, but not yet settled and therefore have not been covered. These transactions should also be included in the calculation of products I.O.7: Net 30-day Derivative Receivables and O.O.20: Net 30-day Derivative Payables. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. Note that the [Sub-Product] designation may differ between the Consolidated Firm reporting entity and a subsidiary reporting entity if the collateral delivered into the short is sourced from, for example, an affiliate’s long inventory. For the subsidiary reporting entity, collateral sourced from an affiliate should be represented as sourced from an external transaction; however for the consolidated firm, this would be represented as sourced from a “Firm Long” position.