Data Dictionary
Item Number 3823
INTEREST RATE CONTRACTS - FUTURES AND FORWARDCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BHCK3823 | 1990-09-30 | 1994-12-31 | No | FR Y-9C |
| RCFD3823 | 1990-03-31 | 1994-12-31 | No | FFIEC 031 |
| RCON3823 | 1990-03-31 | 1994-12-31 | No | Multiple Forms |
Data Description:
Includes futures and forward contracts committing the reporting bank or the consolidated bank holding company to purchase or sell financial instruments. Futures and forward contracts are agreements for delayed delivery of financial instruments in which the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument at a specified price or yield.
Futures contracts are standardized, transferable agreements traded on organized exchanges that act as the counter party to each contract. Some of the more common interest rate futures include futures on 90-day U.S. Treasury bills; 12-year GNMA pass-through securities; and 2-, 4-, 6-, 10-year U.S. Treasury notes.
Forward contracts are agreements for delayed delivery of financial instruments in which the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument at a specified price or yield. Forward contracts are not standardized and are not traded on organized exchanges. Also includes forward rate agreements.
Includes the aggregate par value of interest rate futures and forward contracts that have been entered into by the reporting bank or bank holding company or its consolidated subsidiaries and are outstanding (i.e., open contracts) as of the report date. The par value of financial instruments intended to be delivered under such contracts is not reported if this par value differs from the par value of the contracts themselves.
Contracts are outstanding (i.e., open) until they have been cancelled by acquisition or delivery of the underlying financial instruments or, for futures contracts, by offset. ("Offset" is the purchase and sale of an equal number of contracts on the same underlying instrument for the same delivery month, executed through the same clearing member on the same exchange.)