FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET
FFIEC 031 and 041 RC-L-17 RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(9-20)
Item No. Caption and Instructions
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 commodity and other contracts meeting
the definition of a “derivative instrument” in, and accounted for in accordance with, ASC
Topic 815, Derivatives and Hedging, (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 accommodations to customers, provided that acquiring or taking such positions
meets the definitions of “trading” and “trading purposes” in ASC Topic 815. The notional
amount of those derivative positions acquired or taken as accommodations to customers not
meeting the definitions of “trading” and “trading purposes” in ASC Topic 815 should be
reported in Schedule RC-L, item 14, “Total gross notional amount of derivative contracts held
for purposes other than trading.”
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, including those contracts acquired or taken as accommodations to customers not
reported in Schedule RC-L, item 13, above.
14.a Interest rate swaps where the bank has agreed to pay a fixed rate. Report the notional
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.
15 Gross fair values of derivative contracts. Report in the appropriate column and subitem
the fair value of all derivative contracts reported in Schedule RC-L, items 13 and 14, above.
For each of the four types of underlying risk exposure in columns A through D, the gross
positive and gross negative fair values will be reported separately for (i) contracts held for
trading purposes (in item 15.a) and (ii) contracts held for purposes other than trading (in
item 15.b). Guidance for reporting by type of underlying risk exposure is provided in the
instructions for Schedule RC-L, item 12, above. Guidance for reporting by purpose is
provided in the instructions for Schedule RC-L, items 13 and 14, above.