Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8709

Call confidentiality applies to FFIEC 031/041.

Data Description:

Interest rate options includes options to purchase and sell interest-bearing financial instruments and whose predominant risk characteristic is interest rate risk as well as contracts known as caps, floors, collars, corridors, and swaptions. Included is the notional principal amount for interest rate caps and floors that the reporting entity sells. For interest rate collars and corridors, a notional amount for the written portion of the contract is reported in this item, column A, and for the purchased portion of the contract in item 8713, column A.

Over-the-counter option contracts. Option contracts conveys either the right or the obligation, depending upon whether the reporting bank is the purchaser or the writer, respectively, to buy or sell a financial instrument or commodity at a specified price by a specified future date. Options can be written to meet the specialized needs of the counterparties to the transaction. These customized option contracts are known as over-the-counter (OTC) options. Thus, over-the-counter option contracts includes all option contracts not traded on an organized exchange.

The buyer of an option contract has, for compensation (such as a fee or premium), acquired the right (or option) to sell to, or purchase from, another party some financial instrument or commodity at a stated price on a specified future date. The seller of the contract has, for such compensation, become obligated to purchase or sell the financial instrument or commodity at the option of the buyer of the contract. A put option contract obligates the seller of the contract to purchase some financial instrument or commodity at the option of the buyer of the contract. A call option contract obligates the seller of the contract to sell some financial instrument or commodity at the option of the buyer of the contract.

In addition, swaptions, i.e., options to enter into a swap contract, and contracts known as caps, floors, collars, and corridors are reported as options.

Options such as a call feature that are embedded in loans, securities, and other on-balance sheet assets are not to be reported in Schedule RC-L. Commitments to lend are not considered options for purposes of Schedule RC-L, item 14, but should be reported in Schedule RC-L, item 1.

Written options. Reported is the aggregate par value of the financial instruments or commodities that the reporting entity has, for compensation (such as a fee or premium), obligated itself to either purchase or sell under OTC option contracts that are outstanding as of the report date. Also reported is an aggregate notional amount for written caps, floors, and swaptions and for the written portion of collars and corridors.

NOTE:

Reported on Schedule RC-L 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-INTRTEWRTOTC

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: IRWOPTO Formula:

IRWOPTO=IF DT ge 19950331 THEN IRWOPTO =RCFD8709/1000;