Instructions For Schedule Rc-L (Form Ffiec 031 And 041) - Derivatives And Pff-Balance Sheet Items Page 10
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18FFIEC 031 and 041
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
Item No.
Caption and Instructions
The notional amount or par value to be reported for a derivative contract with a multiplier
12
(cont.)
component is the contract's effective notional amount or par value. For example, a swap
contract with a stated notional amount of $1,000,000 whose terms called for quarterly
settlement of the difference between 5% and LIBOR multiplied by 10 has an effective
notional amount of $10,000,000.
All transactions within the consolidated bank should be reported on a net basis. No other
netting of contracts is permitted for purposes of this item. Therefore, do not net:
(1) obligations of the reporting bank to purchase from third parties against the bank's
obligations to sell to third parties, (2) written options against purchased options, or
(3) contracts subject to bilateral netting agreements.
For each column, the sum of items 12.a through 12.e must equal the sum of items 13 and 14.
Column Instructions
Column A, Interest Rate Contracts: Interest rate contracts are contracts related to an interest-
bearing financial instrument or whose cash flows are determined by referencing interest rates
or another interest rate contract (e.g., an option on a futures contract to purchase a Treasury
bill). These contracts are generally used to adjust the bank's interest rate exposure or, if the
bank is an intermediary, the interest rate exposure of others. Interest rate contracts include
interest rate futures, single currency interest rate swaps, basis swaps, forward rate
agreements, and interest rate options, including caps, floors, collars, and corridors.
Exclude contracts involving the exchange of one or more foreign currencies
(e.g., cross-currency swaps and currency options) and other contracts whose predominant
risk characteristic is foreign exchange risk, which are to be reported in column B as foreign
exchange contracts.
Unsettled securities transactions that exceed the regular way settlement time limit that is
customary in each relevant market must be reported as forward contracts in Schedule RC-L,
item 12.b.
Column B, Foreign Exchange Contracts: Foreign exchange contracts are contracts to
purchase foreign (non-U.S.) currencies and U.S. dollar exchange in the forward market, i.e.,
on an organized exchange or in an over-the-counter market. A purchase of U.S. dollar
exchange is equivalent to a sale of foreign currency. Foreign exchange contracts include
cross-currency interest rate swaps where there is an exchange of principal, forward foreign
exchange contracts (usually settling three or more business days from trade date), and
currency futures and currency options. Exclude spot foreign exchange contracts, which are
to be reported in Schedule RC-L, item 8.
Only one side of a foreign currency transaction is to be reported. In those transactions where
foreign (non-U.S.) currencies are bought or sold against U.S. dollars, report only that side of
the transaction that involves the foreign (non-U.S.) currency. For example, if the reporting
bank enters into a futures contract which obligates the bank to purchase U.S. dollar exchange
against which it sells Japanese yen, then the bank would report (in U.S. dollar equivalent
values) the amount of Japanese yen sold in Schedule RC-L, item 12.a. In cross-currency
transactions, which involve the purchase and sale of two non-U.S. currencies, only the
purchase side is to be reported.
All amounts in column B are to be reported in U.S. dollar equivalent values.
FFIEC 031 and 041
RC-L-10
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(3-03)
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