Instructions For Schedule Rc-L (Form Ffiec 031 And 041) - Derivatives And Pff-Balance Sheet Items Page 16
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18FFIEC 031 and 041
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
Item No.
Caption and Instructions
Purchased options . Report in this item the aggregate par value of the financial instruments
12.d.(2)
or commodities that the reporting bank has, for a fee or premium, purchased the right to
either purchase or sell under OTC option contracts that are outstanding as of the report date.
Also report an aggregate notional amount for purchased caps, floors, and swaptions and for
the purchased portion of collars and corridors.
Column A, Purchased OTC Interest Rate Options: Interest rate options include options to
purchase and sell interest-bearing financial instruments and whose predominant risk
characteristic is interest rate risk as well as contracts known as caps, floors, collars,
corridors, and swaptions. Include in this item the notional principal amount for interest rate
caps and floors that the reporting bank purchases. For interest rate collars and corridors,
report a notional amount for the written portion of the contract in Schedule RC-L,
item 12.d.(1), column A, and for the purchased portion of the contract in Schedule RC-L,
item 12.d.(2), column A.
Column B, Purchased OTC Foreign Exchange Options: Report in this item the gross amount
(stated in U.S. dollars) of foreign (non-U.S.) currency and U.S. dollar exchange that the
reporting bank has, for a fee, purchased the right to either purchase or sell under option
contracts whose predominant risk characteristic is foreign exchange risk.
Column C, Purchased OTC Equity Derivative Options: Report the contract amount of those
OTC option contracts where the reporting bank has, for a fee, purchased the right to purchase
or sell an equity instrument or equity index.
Column D, Purchased OTC Commodity and Other OTC Options: Report the contract amount
for those option contracts where the reporting bank has, for a fee, purchased the right to
purchase or sell a commodity or product. Include any other purchased OTC option that is not
reportable as an interest rate, foreign exchange or equity derivative contract in column A, B,
or C.
12.e
Swaps . Swaps are transactions in which two parties agree to exchange payment streams
based on a specified notional amount for a specified period. Forward starting swap contracts
should be reported as swaps. The notional amount of a swap is the underlying principal
amount upon which the exchange of interest, foreign exchange or other income or expense
is based. The notional amount to be reported for a swap contract with a multiplier
component is the contract's effective notional amount. In those cases where the reporting
bank is acting as an intermediary, both sides of the transaction are to be reported.
Column A, Interest Rate Swaps: Report the notional amount of all outstanding interest rate
and basis swaps whose predominant risk characteristic is interest rate risk.
Column B, Foreign Exchange Swaps: Report the notional principal amount (stated in U.S.
dollars) of all outstanding cross-currency interest rate swaps. A cross-currency interest rate
swap is a transaction in which two parties agree to exchange principal amounts of different
currencies, usually at the prevailing spot rate, at the inception of an agreement that lasts for a
certain number of years. At defined intervals over the life of the swap, the counterparties
exchange payments in the different currencies based on specified rates of interest. When the
agreement matures, the principal amounts will be re-exchanged at the same spot rate. The
notional amount of a cross-currency interest rate swap is generally the underlying principal
amount upon which the exchange is based.
FFIEC 031 and 041
RC-L-16
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(3-02)
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