Data Dictionary
Item Number 3809
NOTIONAL PRINCIPAL AMOUNT OF INTEREST RATE CONTRACTS WITH A REMAINING MATURITY OF ONE YEAR OR LESSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BAGR3809 | 1995-03-31 | 9999-12-31 | No | |
| BHCK3809 | 1990-09-30 | 1990-12-31 | Yes | FR Y-9C |
| BHCK3809 | 1991-03-31 | 2014-12-31 | No | FR Y-9C |
| RCFD3809 | 1990-03-31 | 1990-09-30 | Yes | Multiple Forms |
| RCFD3809 | 1990-12-31 | 2014-12-31 | No | Multiple Forms |
| RCON3809 | 1990-03-31 | 1990-09-30 | Yes | Multiple Forms |
| RCON3809 | 1990-12-31 | 2014-12-31 | No | Multiple Forms |
| UBPR3809 | 1990-03-31 | 9999-12-31 | No |
Data Description:
Includes the notional amount or par value of all interest rate contracts with a remaining maturity of one year or less that are subject to risk-based capital requirements. Also includes swaps, forwards, and purchased options.
Excludes the notional amount for single currency interest rate swaps in which payments are made based upon two floating rate indices, so-called floating/floating or basis swaps; foreign exchange contracts with an original maturity of 14 days or less; and futures contracts.
The notional amount or par value reported for an off-balance sheet derivative contract with a multiplier 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.)
For purposes of determining the credit equivalent amount to be reported in item A167 (reported in Schedule HC-I, Part II for the FR Y-9C report), the notional principal amount is multiplied by the appropriate credit conversion factor as follows: (1) 0% for contracts with a remaining maturity of one year or less; (2) 0.5% for contracts with a remaining maturity of over one year to five years, and (3) 1.5% for contracts with a remaining maturity of over five years.
The notional amount reported for an amortizing off-balance sheet derivative contract is the contract's current (or, if appropriate, effective) notional amount. Reported gross. (See item 6576.) This item is an trillion dollar item defined as double precision on the archival file.
NOTE:
For series RCFD & RCON, confidential for March, June, and September of the 1990 reporting period.
Also completed by banks that reported a zero in item 6056 and by banks with total assets of $1 billion or more.
Reported on Schedule HC-R for the FR Y-9C (BHCK) report.
COMPARABILITY:
Prior to 3/31/01, reported on Schedule HC-I for the FR Y-9C report. Also reported on a consolidated basis only by the top-tier bank holding company when the total consolidated assets of the company are $150 million or more.
Prior to 3/31/96, the credit equivalent amount to be determined, was reported in items 6576 or 6608 for the FR Y-9C report.
Prior to 6/30/91, for the FR Y-9C (BHCK) report, this schedule (Schedule HC-I) is reported as confidential. Also reported by bank holding companies with consolidated assets of $150 million or more but less than $1 billion.
For the UBPR series, the FDIC's Data Element name is H-INTRTE1LES
This variable is used by the FDIC and OCC in the process to generate the UBPR in the Central Data Repository (CDR). The Board does NOT store this MDRM within the UBPR series tables in the Board's Financial Data Repository (FDR).
BAGR Original Variable name: IRLT1YR Formula:
IRLT1YR=IF DT ge 19900331 THEN IRLT1YR =RCFD3809/1000;