Instructions For Schedule Rc-L (Form Ffiec 031 And 041) - Derivatives And Pff-Balance Sheet Items Page 17
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18FFIEC 031 and 041
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
Item No.
Caption and Instructions
Column C, Equity Swaps: Report the notional amount of all outstanding equity or equity
12.e
(cont.)
index swaps.
Column D, Commodity and Other Swaps: Report the notional principal amount of all other
swap agreements that are not reportable as either interest rate, foreign exchange, or equity
derivative contracts in column A, B, or C. The notional amount to be reported for commodity
contracts with multiple exchanges of principal is the contractual amount multiplied by the
number of remaining payments (or exchanges of principal) in the contract.
13
Total gross notional amount of derivative contracts held for trading . Report, in the
appropriate column, the total notional amount or par value of those derivative contracts
reported in Schedule RC-L, item 12, above that are held for trading purposes. Contracts held
for trading purposes include those used in dealing and other trading activities. Derivative
instruments used to hedge trading activities should also be reported in this item.
Derivative trading activities include (a) regularly dealing in interest rate contracts, foreign
exchange contracts, equity derivative contracts, and other off-balance sheet commodity
contracts, (b) acquiring or taking positions in such items principally for the purpose of selling
in the near term or otherwise with the intent to resell (or repurchase) in order to profit from
short-term price movements, and (c) acquiring or taking positions in such items as an
accommodation to customers.
The reporting bank's trading department may have entered into a derivative contract with
another department or business unit within the consolidated bank (and which has been
reported on a net basis in accordance with the instructions to Schedule RC-L, item 12 above).
If the trading department has also entered into a matching contract with a counterparty
outside the consolidated bank, the contract with the outside counterparty should be
designated as held for trading or as held for purposes other than trading consistent with the
contract's designation for other financial reporting purposes.
14
Total gross notional amount of derivative contracts held for purposes other than
trading. Report, in the appropriate column, the total notional amount or par value of those
contracts reported in Schedule RC-L, item 12, above, that are held for purposes other than
trading.
Interest rate swaps where the bank has agreed to pay a fixed rate. Report the notional
14.a
amount of all outstanding interest rate swaps included in Schedule RC-L, item 14, column A,
above, on which the reporting bank is obligated to pay a fixed rate. The interest rate swaps
that are reported in this item will also have been reported in Schedule RC-L, item 12.e,
column A. Interest rate swaps that are held for trading should not be reported in this
item 14.a.
A fixed interest rate is a rate that is specified at the origination of the transaction, is fixed and
invariable during the term of the interest rate swap, and is known to both the bank and the
swap counterparty. Also treated as a fixed interest rate is a predetermined interest rate which
is a rate that changes during the term of the interest rate swap on a predetermined basis,
with the exact rate of interest over the life of the swap known with certainty to both the bank
and the swap counterparty at the origination of the transaction.
FFIEC 031 and 041
RC-L-17
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(3-03)
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