Data Dictionary
Item Number 5774
NOTIONAL VALUE OF ALL OUTSTANDING INTEREST RATE SWAPSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| RCFD5774 | 1991-06-30 | 1995-03-31 | Yes | FFIEC 002 |
Data Description:
Includes the notional value of all outstanding interest rate and basis swaps with related depository institutions, whether the swap is undertaken by the reporting branch or agency to hedge its own interest 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.
An interest rate swap is a transaction in which two parties agrees to exchange the interest payment streams on a specified principal amount of assets or liabilities for a certain number of years. The notional value of an interest rate swap is the underlying principal amount upon which the exchange of interest income or expense is based.
NOTE:
Reported only by the FFIEC 002 reporters. Also reported confidential.