Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8757

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes net gains (losses) from trading cash instruments and off-balance sheet derivative contracts that the reporting bank manages as interest rate exposures. Interest rate exposures may arise from cash debt instruments (e.g., U.S. Treasury securities) and interest rate contracts. Interest rate contracts are those 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). Interest rate contracts includes interest rate futures, single currency interest rate swaps, basis swaps, forward rate agreements, and interest rate options, including caps, floors, collars, and corridors.

Excludes trading revenue on contracts involving the exchange of foreign currencies (e.g., cross-currency swaps and currency options) that the reporting bank manages as foreign exchange exposures. Such trading revenue is reported in "Foreign Exchange Exposures (8758)."

NOTE: Beginning 3/31/01 for RIAD, to be completed by banks that reported average trading assets (Schedule K, item 7) of $2 million or more for any quarter of the preceding calendar year.

For BHCK, to be completed by bank holding companies that reported average trading assets (Schedule HC-K, item 4.a) of $2 million as of the March 31st report date of the current calendar year.

NOTE:

Reported on Schedule RI - Income Statement for the FFIEC 031, 032, and 033 reports.

Reported on Schedule HI-Memoranda for the FR Y-9C report.



BAGQ Original Variable name: ITRDIRQT Formula:

ITRDIRQT=IF DT ge 19960331 THEN ITRDIRQT=RIAD8757/1000;

BAGY Original Variable name: ITRDIRYD Formula:

ITRDIRYD=IF DT ge 19960331 THEN ITRDIRYD=RIAD8757/1000;