Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 5769

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the gross amount (stated in U.S. dollars) of all foreign exchange rate contracts (commitments) with related depository institutions to purchase foreign (non-U.S.) currencies and U.S. dollar exchange in the spot market, in the forward market, on an organized exchange, or in an over-the-counter market that are outstanding on the report date. Foreign exchange rate contracts includes cross-currency interest rate swaps where there is an exchange of principal, forward and spot foreign exchange contracts, and currency futures and currency options.

Only one side of a foreign currency transaction with a related depository institution is reported. In those transactions where foreign (non-U.S.) currencies are bought or sold against U.S. dollars, only that side of the transaction that involves the foreign (non-U.S.) currency is reported. A purchase of U.S. dollar exchange is equivalent to a sale of foreign currency. For example, if the reporting branch or agency, including its IBF, enters into a futures contract which obligates the branch or agency to purchase U.S. dollar exchange against which it sells deutsche marks, then the bank would report the amount of deutsche marks sold in this item. In cross-currency transactions, which involves the purchase and sale of two non-U.S. currencies, only the purchase side is reported.

All amounts are reported in U.S. dollar equivalent values. Excludes transactions between the reporting branch or agency and its consolidated IBF.

For cross-currency interest rate swaps with related depository institutions, includes the notional principal value of all outstanding swaps, whether the swap is undertaken by the reporting branch or agency, including its IBF, to hedge its own exchange rate risk, in an intermediary capacity, or to hold in inventory. In those cases where the reporting branch or agency is acting as an intermediary between two related depository institutions, both sides of the transaction are reported. If the reporting branch or agency is acting as an intermediary between a related depository institution and an unrelated party (or a related nondepository institution), only the side of the transaction with the related depository institution is reported in this item.

For futures, forward, and spot contracts with related depository institutions, includes the gross amount of all such contracts committing the reporting branch or agency, including its IBF, to purchase foreign (non-U.S.) currencies and U.S. dollar exchange that are outstanding as of the report date.

For option contracts with related depository institutions, includes the gross amount of all written and purchased currency option contracts to purchase foreign (non-U.S.) currencies or U.S. dollars that are outstanding as of the report date.

For further information on cross-currency interest rate swaps, futures, forward, and spot contracts, and option contracts, see "Commitments to Purchase Foreign Currencies and U.S. Dollar Exchange (3415)".

NOTE:

Reported only by the FFIEC 002 reporters. Also reported confidential.