Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8693

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes futures contracts committing the reporting entity to purchase or sell financial instruments and whose predominant risk characteristic is interest rate risk. 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-, and 10-year U.S. Treasury notes.

Reported is the aggregate par value of futures contracts that have been entered into by the reporting entity 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 by offset. Offset is the liquidating of a purchase of futures through the sale of an equal number of contracts of the same delivery month on the same underlying instrument on the same exchange, or the covering of a short sale of futures through the purchase of an equal number of contracts of the same delivery month on the same underlying instrument on the same exchange.

Futures contracts represents agreements for delayed delivery of financial instruments or commodities 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 and are traded on organized exchanges that act as the counterparty to each contract. This item is an trillion dollar item defined as double precision on the archival file for the FFIEC 031 report.

NOTE:

Reported on Schedule RC-L - Off-Balance Sheet Items for the FFIEC 031, 032, 033 and 034 reports.

Reported on Schedule L for the FFIEC 002 report. Also excludes all transactions with related depository institutions.

Reported on Schedule HC-L for the FR Y-9C (BHCK) report.

Prior to 3/31/01, reported on Schedule HC-F, Part III, for the FR Y-9C report.

For the UBPR series, the FDIC's Data Element name is H-INTRTEFUT

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: IRFUTURE Formula:

IRFUTURE=IF DT ge 19950331 THEN IRFUTURE=RCFD8693/1000;