Form 5300 - Call Report - National Credit Union Administration (Page 27 of 29) in pdf

Credit Union Name:_____________________________________________

Federal Charter/Certificate Number:________________

SCHEDULE D

DERIVATIVE TRANSACTIONS REPORT AS OF: _______________

SECTION 4 - Maturity Horizon

Notional Amount

1. Current Notional Amount of

Weighted

Acct

Average yrs

Acct

Derivatives based on Maturity (years

≤1 yr

>1 to ≤3 yrs

>3 to ≤5 yrs

>5 to ≤10 yrs

Code

>10 yrs

Code

Total

Code

to Maturity

Code

remaining in contract):

a. Interest Rate Swaps:

i. Pay-fixed………….

1020S

1020T

1020U

1020V

1020W

1020X

1020Y

ii. Receive-fixed…….

1021S

1021T

1021U

1021V

1021W

1021X

1021Y

iii. Basis………………

1022S

1022T

1022U

1022V

1022W

1022X

1022Y

b. Interest Rate Options:

i. Caps Purchased….

1023S

1023T

1023U

1023V

1023W

1023X

1023Y

ii. Floors Purchased…

1024S

1024T

1024U

1024V

1024W

1024X

1024Y

c. Treasury Futures:

i. 2 & 3 Year Notes….

1025S

1025T

1025X

1025Y

ii. 5 & 10 Year Notes..

1026S

1026T

1026U

1026V

1026W

1026X

1026Y

Acct

d. Other Derivatives (List):

Code

i. _________________

1027Z

1027S

1027T

1027U

1027V

1027W

1027X

1027Y

ii. _________________

1028Z

1028S

1028T

1028U

1028V

1028W

1028X

1028Y

iii. ________________

1029Z

1029S

1029T

1029U

1029V

1029W

1029X

1029Y

Total Derivatives………………

1030S

1030T

1030U

1030V

1030W

1030X

1030Y

Net Fair Value Gains (Losses)

2. Current Net Fair Value Gains (Losses)

of Derivatives based on Maturity (years

Acct

≤1 yr

>1 to ≤3 yrs

>3 to ≤5 yrs

>5 to ≤10 yrs

Code

>10 yrs

Code

Total

Code

remaining in contract)

a. Interest Rate Swaps:

i. Pay-fixed………….

1020S1

1020T1

1020U1

1020V1

1020W1

1020X1

ii. Receive-fixed…….

1021S1

1021T1

1021U1

1021V1

1021W1

1021X1

iii. Basis………………

1022S1

1022T1

1022U1

1022V1

1022W1

1022X1

b. Interest Rate Options:

i. Caps Purchased….

1023S1

1023T1

1023U1

1023V1

1023W1

1023X1

ii. Floors Purchased…

1024S1

1024T1

1024U1

1024V1

1024W1

1024X1

c. Treasury Futures:

i. 2 & 3 Year Notes….

1025S1

1025T1

1025X1

ii. 5 & 10 Year Notes..

1026S1

1026T1

1026U1

1026V1

1026W1

1026X1

Acct

Code

d. Other Derivatives (List):

i. _________________

1027Z

1027S1

1027T1

1027U1

1027V1

1027W1

1027X1

ii. _________________

1028Z

1028S1

1028T1

1028U1

1028V1

1028W1

1028X1

iii. ________________

1029Z

1029S1

1029T1

1029U1

1029V1

1029W1

1029X1

Total Derivatives………………

1030S1

1030T1

1030U1

1030V1

1030W1

1030X1

NCUA 5300

Effective September 30, 2017

OMB No. 3133-0004

Page 24

Previous Editions Are Obsolete

Form 5300 - Call Report - National Credit Union Administration Page 27

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