310RC L 03312010

Transcript

1 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET SCHEDULE RC-L – DERIVATIVES AND OFF-BALANCE SHEET ITEMS General Instructions Schedule RC-L should be completed on a fully conso lidated basis. In addition to information about derivatives, Schedule RC-L includes the following selected commitments, contingencies, and other reportable as part of the balance sheet of the Report of Condition not off-balance sheet items that are to be reported in Schedule RC-L are contingencies arising in (Schedule RC). Among the items not connection with litigation. For those asset-backed commercial paper program conduits that the reporting bank consolidates onto its balance sheet (Schedule RC) in accordance with FASB Accounting Standards Codification Topic 810, Consolidation (former FASB Statement No. 167 and FASB Interpretation No. 46 ies the bank provides to the programs should not (Revised)), any credit enhancements and liquidity facilit be reported in Schedule RC-L. In contrast, for conduits that the reporting bank does not consolidate, the bank should report the credit enhancements and liquidity facilities it provides to the programs in the appropriate items of Schedule RC-L. Item Instructions Caption and Instructions Item No. Report in the appropriate subitem the unused portions of Unused commitments. 1 commitments. Unused commitments are to be reported gross, i.e., include in the appropriate subitem the unused amount of commitments acquired from and conveyed or participated to others. However, exclude commitments conveyed or participated to others that the bank is not legally obligated to fund even if the party to whom the commitment has in accordance with the terms of the been conveyed or participated fails to perform commitment. For purposes of this item, commitments include: (1) Commitments to make or purchase extens ions of credit in the form of loans or receivables, or similar transactions. participations in loans, lease financing (2) Commitments for which the bank has charged a commitment fee or other consideration. (3) Commitments that are legally binding. (4) Loan proceeds that the bank is obligated to advance, such as: (a) Loan draws; (b) Construction progress payments; and farmers under prearranged lines of credit. (c) Seasonal or living advances to angements, including, but not limited to, retail (5) Rotating, revolving, and open-end credit arr credit card lines and home equity lines of credit. (6) Commitments to issue a commitment at some point in the future, where the bank has extended terms, the borrower has accepted the offered terms, and the extension and acceptance of the terms are in writing or, if not in writing, are legally binding on the bank ed loan agreement has not yet been signed. and the borrower, even though the relat FFIEC 031 and 041 RC-L-1 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

2 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions 1 (7) Overdraft protection on depositors’ acc ounts offered under a program where the bank (cont.) e amount of overdraft protection, for example, advises account holders of the availabl when accounts are opened or on depositors' account statements or ATM receipts. (8) The bank’s own takedown in se curities underwriting transactions. , note issuance facilities (NIFs), and other similar (9) Revolving underwriting facilities (RUFs) arrangements, which are facilities under which a borrower can issue on a revolving basis r which the underwriting banks have a legally short-term paper in its own name, but fo binding commitment either to purchase any not es the borrower is unable to sell by the rollover date or to advance funds to the borrower. s that meet the definition of a derivative Exclude forward contracts and other commitment th FASB Accounting Standards Codification and must be accounted for in accordance wi Topic 815, Derivatives and Hedging (formerly re ferred to as FASB Statement No. 133), which clude the amount (not the fair value) of the should be reported in Schedule RC-L, item 12. In unused portions of loan commitments that do not m a derivative that the eet the definition of fair value under a fair value option. Also include forward bank has elected to report at he definition of a derivative. contracts that do not meet t The unused portions of commitments are to be reported in the appropriate subitem regardless of whether they contain “material adverse change” clauses or other provisions that are intended to relieve the issuer of it s funding obligations under certain conditions and regardless of whether they are uncondi tionally cancelable at any time. In the case of commitments for syndicated l oans, report only the bank’s proportional share of the commitment. tions of revolving asset-based lending For purposes of reporting the unused por amount a bank is obligated to fund – as of commitments, the commitment is defined as the eed upon terms. In the case of revolving the report date – based on the contractually agr asset-based lending, the unused portions of su ch commitments should be measured as the difference between (a) the lesser of the contra ctual borrowing base (i.e., eligible collateral times the advance rate) or the note commitment limit, and (b) the sum of outstanding loans and letters of credit under the commitment. The note commitment limit is the overall maximum loan amount beyond which the bank w ill not advance funds regardless of the amount of collateral posted. This definition of “commitment” is applicable only to revolving asset-based lending, which is a specialized form of secured lending in which a borrower uses current assets (e.g., accounts receivable and invent ory) as collateral for a loan. The loan is structured so that the amount of credit is limited by the value of the collateral. Report the 1.a Revolving, open-end lines secured by 1-4 family residential properties. t under revolving, open-end lines of credit unused portions of commitments to extend credi secured by 1-4 family residential properties. These lines, commonly known as home equity are usually accessible by check or credit card. lines, are typically secured by a junior lien and FFIEC 031 and 041 RC-L-2 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

3 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions NOTE: Items 1.a.(1) and (2) are to be completed for the December report only. 1.a.(1) Unused commitments for Home Equity Conversion Mortgage (HECM) reverse for investment (in domestic offices). For those mortgages outstanding that are held tic offices) that have been included in HECM reverse mortgages outstanding (in domes Schedule RC-C, part I, Memorandum item 15.a.(1), that are structured in whole or in part like home equity lines of credit, report the unused commitments to provide additional funds after closing to borrowers under the terms of their reverse mortgage loan agreements. The amount reported in this item should also be included in the amount reported in Schedule RC-L, item 1.a, “Revolving, open-end lines secured by 1-4 family residential properties, i.e., home equity lines,” above. 1.a.(2) Unused commitments for proprietary reverse mortgages outstanding that are held for investment (in domestic offices). For those proprietary reverse mortgages outstanding (in domestic offices) that have been included in Schedule RC-C, part I, Memorandum equity lines of credit, report the ed in whole or in part like home item 15.a.(2), that are structur unused commitments to provide additional funds a fter closing to borrowers under the terms amount reported in this item should also be of their reverse mortgage loan agreements. The L, item 1.a, “Revolving, open-end lines included in the amount reported in Schedule RC- ties, i.e., home equity lines,” above. secured by 1-4 family residential proper Report the unused portions of all commitments to extend credit both to 1.b Credit card lines. individuals for household, family, and other per sonal expenditures and to other customers, including commercial or industrial enterprises , through credit cards. Exclude home equity lines accessible through credit cards. Banks may report unused credit card lines as of the end of their customers' last m onthly billing cycle prior to the report date or as of the report date. Banks that have either $300 million or more in total assets or $300 million or more in credit 12, and Schedule RC-L, item 1.b, respectively, card lines (as reported in Schedule RC, item should also report a breakdown of their credit as of June 30 of the previous calendar year) card lines between unused consumer credit card lines (item 1.b.(1)) and other unused credit card lines (item 1.b.(2)). The sum of Schedul e RC-L, items 1.b.(1) and 1.b.(2), must equal Schedule RC-L, item 1.b. Report the unused portions of all commitments to 1.b.(1) Unused consumer credit card lines. extend credit to individuals for household, fa mily, and other personal expenditures through credit cards that are included in Schedule RC-L, item 1.b, above. Report the unused portions of all commitments to extend 1.b.(2) Other unused credit card lines. purposes other than household, family, and other credit to customers through credit cards for personal expenditures that are included in Schedul e RC-L, item 1.b., above. Include, for ate" or "business" credit card programs example, unused credit card lines under "corpor under which credit cards are issued to one or more of a company's employees for business-related uses. FFIEC 031 and 041 RC-L-2a RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

4 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Commitments to fund commercial real estate, construction, and land development 1.c.(1) loans secured by real estate. Report in the appropriate subitem the unused portions of commitments to extend credit for the spec ific purpose of financing commercial and ness and industrial properties, hotels, motels, multifamily residential properties (e.g., busi churches, hospitals, and apartm ent buildings), provided that such commitments, when funded, would be reportable as either loans secu red by multifamily residential properties in Schedule RC-C, part I, item 1.d, or loans se cured by nonfarm nonresidential properties in Schedule RC-C, part I, item 1.e. to extend credit for the specific purpose of Also include the unused portions of commitments financing (a) land development (i.e., the proce ss of improving land – laying sewers, water pipes, etc.) preparatory to erecting new structures or (b) the on-si te construction of industrial, that such commitments, when funded, commercial, residential, or farm buildings, provided estate in Schedule RC-C, part I, item 1.a, would be reportable as loans secured by real "Construction, land development, and other land loans." For purposes of this item, ures, but also additions or "construction" includes not onl y construction of new struct alterations to existing structures and the demolition of existing structures to make way for loan proceeds the bank is obligated to advance as new structures. Also include in this item construction progress payments. r, at its option, may draw down to finance include general lines of credit that a borrowe Do not or item 1.e.(1), construction and land development (report in Schedule RC-L, item 1.c.(2) below, as appropriate). Report the unused portions of 1-4 family residential construction loan commitments. 1.c.(1)(a) commitments to extend credit for the specific purpose of constructing 1-4 family residential that such commitments, when f unded, would be reportable as loans properties, provided secured by real estate in Schedule RC-C, par t I, item 1.a.(1), “1-4 family residential construction loans." 1.c.(1)(b) Commercial real estate, other construction loan, and land development loan Report the unused portions of all other commitments to fund commercial real commitments. secured by real estate (as defined for estate, construction, and land development loans mmitments to fund 1-4 family residential Schedule RC-L, item 1.c.(1)) other than co RC-L, item 1.c.(1)(a)). construction (as defined for Schedule Commitments to fund commercial real estate, construction, and land development 1.c.(2) loans not secured by real estate. Report the unused portions of all commitments to extend credit for the specific purpose of financing comme rcial and residential real estate activities, e.g., acquiring, developing, and renovating comme rcial and residential real estate, provided that such commitments, when funded, would be reportable as "Commercial and industrial loans" in Schedule RC-C, part I, item 4, or as "Other loans" in Schedule RC-C, part I, the bank is obligated to item 9.b. Include in this item loan proceeds advance as construction progresses. Such commitments generally may include: (1) commitments to extend credit for the express purpose of financing real estate ventures as evidenced by loan documentation or other circumstances connected with the loan; or (2) commitments made to organizations or individuals 80 percent of whose revenue or assets are derived from or consist of real estate ventures or holdings. FFIEC 031 and 041 RC-L-2b RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

5 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions when funded, would be reportable as "Loans from this item all commitments that, Exclude 1.c.(2) (cont.) secured by real estate" in Schedule RC-C, part I, item 1. Also exclude commitments made to purpose for the financing is to construct a commercial and industrial firms where the sole factory or office building to house t he company's operations or employees. Report the unsold portion of t he reporting bank's own takedown in 1.d Securities underwriting. securities underwriting transactions. Include note issuance facilities (NIFs) and revolving underwriting facilities (RUFs) in this item. Report in the appropriate subitem the unused portion of all Other unused commitments. 1.e commercial and industrial loan commitments, commi tments for loans to financial institutions, and all other commitments not reportable in Schedule RC-L, items 1.a through 1.d., above. aft facilities or commercial lines of credit, Include commitments to extend credit through overdr retail check credit and related plans, and those overdraft protection programs in which the bank advises account holders of the available amount of protection. 1.e.(1) Commercial and industrial loans. Report the unused portions of commitments to extend i.e., commitments that, when funded, would be credit for commercial and industrial purposes, reportable as commercial and industrial loans in Schedule RC-C, part I, item 4, “Commercial and industrial loans." Exclude unused credit card lines to commercial and industrial and, if applicable, item 1.b.(2), above). enterprises (report in Schedule RC-L, item 1.b, Report the unused portions of commitments to extend 1.e.(2) Loans to financial institutions. s that, when funded, would be reportable either credit to financial institutions, i.e., commitment as loans to depository institutions in Schedul e RC-C, part I, item 2, “Loans to depository institutions and acceptances of other ban ks," or as loans to nondepository financial institutions in Schedule RC-C, part I, item 9.a, nancial institutions.” “Loans to nondepository fi FFIEC 031 and 041 RC-L-2c RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

6 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Report the unused portions of commitments not 1.e.(3) All other unused commitments. reportable in Schedule RC-L, item s 1.a through 1.e.(2), above. Include commitments to extend credit secur except ed by 1-4 family residential properties, (a) revolving, open-end lines of credit secured by 1-4 family residential properties (e.g., home equity lines), which should be reported in Sc hedule RC-L, item 1.a, above, (b) commitments for 1-4 family residential construction and land development loans (that are secured by such Schedule RC-L, item 1.c.(1), above, and properties), which should be reported in he definition of a derivative and must be accounted for in (c) commitments that meet t accordance with FASB Accounting Standards Codification Topic 815, Derivatives and Hedging (former FASB Statement No. 133 ), which should be reported in Schedule RC-L, item 12. – Originating banks must report in 2 and 3 General Instructions for Standby Letters of Credit unused of financial and performance standby items 2 and 3 the full amount outstanding and letters of credit, respectively. Include those standby letters of credit that are collateralized by others, and in which participations have been cash on deposit, that have been acquired from conveyed to others where (a) the originating and issuing bank is obligated to pay the full amount of any draft drawn under the terms of the standby letter of credit and (b) the participating banks have an obligation to partially or wholly reimburse the originating bank, either directly in cash or through a par ticipation in a loan to the account party. For syndicated standby letters of credit wher e each bank has a direct obligation to the beneficiary, each bank must report only its share in the syndication. Similarly, if several banks binding agreement participate in the issuance of a standby letter of credit under a bona fide which provides that (a) regardless of any ev ent, each participant shall be liable only up to a certain percentage or to a certain amount and (b) the beneficiary is advised and has agreed that each participating bank is only liable for a certain portion of the entire amount, each bank shall report only its proportional share of the total standby letter of credit. For a financial or performance standby letter of credit that is in turn backed by a financial standby letter of credit issued by another bank, each bank must report the entire amount of item 2 or item 3 below, as appropriate. The the standby letter of credit it has issued in either amount of the reporting bank's financial or performance standby letter of credit that is backed by the other bank's financial standby letter of credi t must also be reported in either item 2.a or 3.a, as appropriate, since the backing of standby letters of credit has substantially the same effect as the conveying of partici pations in standby letters of credit. On the FFIEC 031, also include all financial and performance guarantees issued by foreign offices of the reporting bank purs uant to Federal Reserve Regulation K or Section 347.103(a)(1) of the FDIC Rules and Regulations. 2 Financial standby letters of credit (and foreign office guarantees – for the FFIEC 031). report date of all financial standby letters Report the amount outstanding and unused as of the issue financial standby letters of credit) issued of credit (and all legally binding commitments to tter of credit irrevocably obligates the bank to by any office of the bank. A financial standby le an outstanding hen a customer (account party) fails to repay pay a third-party beneficiary w loan or debt instrument. (See the Glossary entry for "letter of credit" for further information.) FFIEC 031 and 041 RC-L-3 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

7 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions from financial standby letters of credit: 2 Exclude (cont.) he beneficiary is a consolidated subsidiary of (1) Financial standby letters of credit where t the reporting bank. (2) Performance standby letters of credit. (3) Signature or endorsement guarantees of the type associated with the clearing of negotiable instruments or securities in the normal course of business. eyed to others. Item 2.a is to be 2.a Amount of financial standby letters of credit conv completed by banks with $1 billion or more in total assets. Report that portion of the bank's total contingent liability for financial standby letters of credit reported in Schedule RC-L, item 2, above, that the bank has conveyed to others. Also include that portion of the reporting bank's financ ial standby letters of credit that are backed by other banks' financial standby letters of credit, as well as the portion that participating banks have reparticipated to others. Participati ons and backings may be for any part or all of a given obligation. 3 Performance standby letters of credit (and foreign office guarantees – for the FFIEC 031). Report the amount outstanding and unus ed as of the report date of all performance standby letters of credit (and all legally binding commitments to issue by any office of the bank. A performance performance standby letters of credit) issued standby letter of credit irrevocably obligates t he bank to pay a third-party beneficiary when a some contractual non-financial obligation. (See the customer (account party) fails to perform Glossary entry for "letter of cr edit" for further information.) from performance standby letters of credit: Exclude (1) Performance standby letters of credit where the beneficiary is a consolidated subsidiary of the reporting bank. (2) Financial standby letters of credit. the type associated with the clearing of (3) Signature or endorsement guarantees of negotiable instruments or securities in the normal course of business. eyed to others. Item 3.a is to be of credit conv 3.a Amount of performance standby letters completed by banks with $1 billion or more in total assets. Report that portion of the bank's total conti ngent liability for performance standby letters of that the bank has conveyed to others. Also credit reported in Schedule RC-L, item 3, above, include that portion of the reporting bank's per formance standby letters of credit that are of credit, as well as the portion that backed by other banks' financial standby letters participating banks have reparticipated to others. Participations and backings may be for any part or all of a given obligation. FFIEC 031 and 041 RC-L-4 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-10)

8 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Report the amount outstanding and unused as of 4 Commercial and similar letters of credit. ers' letters of credit the report date of issued or confirmed commercial letters of credit, travel for money or its equivalent, and all similar letters of credit, but excluding standby not issued (which are to be reported in Schedule RC-L, items 2 and 3, above). (See the letters of credit Glossary entry for "letter of credit.") Legally binding commitments to issue commercial letters of credit are to be reported in this item. for money or its equivalent by the issued Travelers' letters of credi t and other letters of credit reporting bank or its agents should be reported as demand deposit liabilities in Schedule RC-E. 5 Not applicable. curities lent against collateral or on Report the appropriate amount of all se 6 Securities lent. an uncollateralized basis. Repor t the book value of bank-owned securities that have been lent. In addition, for customers who hav e been indemnified against any losses by the he report date of such customers' securities, reporting bank, report the market value as of t he reporting bank's trust department, that have been including customers' securities held in t lent. If the reporting bank has indemnified its customers against any losses on their he commitment to indemnify -- either through a securities that have been lent by the bank, t standby letter of credit or other means -- s hould not be reported in any other item on Schedule RC-L. e arrangements that allow one party In general, credit derivatives ar Credit derivatives. 7 (the “protection purchaser” or "beneficiary") to transfer the credit risk of a "reference asset" or “reference entity” to another party (the “pro tection seller” or "guarantor"). Banks should instrument in Schedule RC-L, report the notional amounts of cr edit derivatives by type of items 7.a.(1) through 7.a.(4). Banks should report the gross positive and negative fair values For both the notional of all credit derivatives in Schedule RC-L, item s 7.b.(1) and 7.b.(2). amounts and gross fair values, report credit derivatives for which the bank is the protection seller in column A, “Sold Protection,” and thos e on which the bank is the protection purchaser ks should report the notional amounts of credit in column B, “Purchased Protection.” Ban in Schedule RC-L, items 7.c.(1)(a) through derivatives by regulatory capital treatment amounts of credit derivatives by remaining 7.c.(2)(c). Banks should report the notional maturity in Schedule RC-L, item s 7.d.(1)(a) through 7.d.(2)(b). All credit derivative transactions within t he consolidated bank should be reported on a net actions should not be reported in th is item. No other netting of basis, i.e., intrabank trans em. Therefore, do not net the notional amounts contracts is permitted for purposes of this it or fair values of: (1) credit derivatives with third parties on which the reporting bank is the protection purchaser against credi t derivatives with third parti es on which the reporting bank ect to bilateral netting agreements. The notional is the protection seller, or (2) contracts subj included in Schedule RC-L, items 12 through 14, amounts of credit derivatives should not be and the fair values of credit derivatives s hould not be included in Schedule RC-L, item 15. Report in the appropriate subitem and column the notional amount 7.a Notional amounts. ives. For tranched credit derivative transactions (stated in U.S. dollars) of all credit derivat that relate to an index, e.g., the Dow Jones CDX NA index, report as the notional amount the dollar amount of the tranche upon which the reporting bank’s credit derivative cash flows are based. FFIEC 031 and 041 RC-L-5 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

9 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Report in the appropriate column the notional amount of all credit 7.a.(1) Credit default swaps. default swaps. A credit default swap is a contra ct in which a protection seller or guarantor a protection purchaser or beneficiary (risk hedger) (risk taker), for a fee, agrees to reimburse for any losses that occur due to a credit event on a particular entity, called the “reference defined by the derivative contract), then the entity.” If there is no credit default event (as protection purchaser and receives only the protection seller makes no payments to the contractually specified fee. Under standard i ndustry definitions, a credit event is normally defined to include bankruptcy, failure to pay, and restructuring. Other potential credit events include obligation acceleration, obligati on default, and repudiation/moratorium. Report in the appropriate column the notional amount of all total return Total return swaps. 7.a.(2) swaps. A total return swap transfers the to tal economic performance of a reference asset, which includes all associated cash flows, as we ll as capital appreciation or depreciation. The protection purchaser (beneficiary) receives a floating rate of interest and any depreciation on the reference asset from the protection selle r. The protection seller (guarantor) has the opposite profile. The protection seller receives cash flows on the reference asset, plus any otection purchaser, plus a floating interest appreciation, and it pays any depreciation to the pr rate. A total return swap may terminate upon a default of the reference asset. notional amount of all credit options. Report in the appropriate column the 7.a.(3) Credit options. investors to trade or hedge changes in the credit A credit option is a structure that allows quality of the reference asset. For example, in a credit spread option, the option writer (protection seller or guarantor) assumes the obligation to purchase or sell the reference asset at a specified “strike” spread level. T he option purchaser (protection purchaser or beneficiary) buys the right to sell the reference a sset to, or purchase it from, the option writer at the strike spread level. Report in the appropriate column the notional amount of all other 7.a.(4) Other credit derivatives. credit derivatives. Other credit t derivatives not reportable as derivatives consist of any credi a credit default swap, a total return swap, or a credit option. Credit linked notes are cash securities and should not be report ed as other credit derivatives. lumn the gross fair values of all Report in the appropriate subitem and co 7.b Gross fair values. credit derivatives. As defined in FASB Statement No. 157, fair val ue for an asset or liability is the price that transfer the liability in an orderly transaction would be received to sell the asset or paid to ion or distressed sale) in the asset’s or between market participants (not a forced liquidat liability’s principal (or most advantageous) market at the measurement date. For further information, see the Glossary ent ry for “fair value.” For purposes of this item, the reporting bank should determine the fair value of its credit derivative contracts in the same manner that it determines the fair value of these contra cts for other financial reporting purposes. Report in the appropriate column the total fair value of those Gross positive fair value. 7.b.(1) credit derivatives reported in Schedule RC-L, items 7.a.(1) through 7. a.(4), above, with positive fair values. the total fair value of those Report in the appropriate column 7.b.(2) Gross negative fair value. credit derivatives reported in Schedule RC-L, items 7.a.(1) through 7. a.(4), above, with enclose the total fair value as an absolute value; do not negative fair values. Report the total fair value in parentheses or use a minus (-) sign. FFIEC 031 and 041 RC-L-6 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

10 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions es by regulatory capital treatment. Report in the v 7.c Notional amount of all credit derivati appropriate subitem the notional amount of all credit derivative contracts according to the r regulatory capital pur poses. Because each reporting bank’s treatment of the derivative fo subitem under item 7.c is mutually exclusiv e, each credit derivative contract should be reported in only one subitem. The sum of Schedule RC-L, items 7.c. (1)(a) and 7.c.(2)(a), ) through (4), column A. The sum of must equal sum of Schedule RC-L, items 7.a.(1 Schedule RC-L, items 7.c.(1)(b), 7.c.(2)(b), and 7.c.(2)(c), mu st equal sum of Schedule RC-L, items 7.a.(1) through (4), column B. For banks subject to the Market Risk 7.c.(1) Positions covered under the Market Risk Rule. Rule, report in the appropriate subitem the notional amount of covered positions. e covered positions under the Market For those credit derivatives that ar Sold protection. 7.c.(1)(a) Risk Rule, report the notional amount of credit derivative contracts w here the bank is the protection seller (guarantor). hat are covered positions under the For those credit derivatives t Purchased protection. 7.c.(1)(b) Market Risk Rule, report the notional amount of credit derivative contracts where the bank is the protection purchaser (beneficiary). Report the notional amount of credi t derivative contracts where the 7.c.(2)(a) Sold protection. reporting bank is the protection seller (guarantor). 7.c.(2)(b) Purchased protection that is recognized as a guarantee for regulatory capital ivative contracts where the bank is the Report the notional amount of credit der purposes. protection purchaser (beneficiary) and the protection is recognized as a guarantee for regulatory capital purposes. The credit derivative contracts to be reported in this item are limited to those providing purchased protection where an underlying position (usually an asset of the bank) is being hedged by the protec tion and credit derivative contract meets the criteria for recognition as a guarantee under the regulatory capital standards of the bank’s primary federal regulator. 7.c.(2)(c) Purchased protection that is not recognized as a guarantee for regulatory capital ative contracts where the bank is the Report the notional amount of credit deriv purposes. recognized as a guarantee for protection purchaser (benefic iary) and the protection is not regulatory capital purposes. The credit derivative contracts to be reported in this item are limited to those providing purchased protection where the protection is not being used to credit derivative contract does not meet hedge an underlying position or where the “hedging” the criteria for recognition as a guarantee under the regulatory capital standards of the bank’s primary federal regulator. These “naked” pur chased protection positions sometimes arise when a bank has sold the asset that was being hedged by the credit derivative contract while retaining the credit derivative contract. Report in the appropriate subitem and column Notional amounts by remaining maturity. 7.d the notional amount of all credit derivative cont racts. Report notional amounts in the column corresponding to the contract's remaining term to maturity from the report date. Remaining maturities are to be reported as (1) one year or less in column A, (2) over one year through over five years in column C. five years in column B, or (3) FFIEC 031 and 041 RC-L-6a RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

11 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Report the notional amount of all credit derivative contracts where Sold credit protection. 7.d.(1) the bank is the protection seller (guarantor). The sum of Schedule RC-L, items 7.d.(1)(a) and (b), columns A through C, must equal sum of Schedule RC-L, items 7.a.(1) through (4), column A. credit derivative contracts where the Report the remaining maturities of Investment grade. 7.d.(1)(a) underlying reference asset is rated investment grade or, if not rated, is the equivalent of investment grade under the bank’s internal credit rating system. credit derivative contracts where Report the remaining maturities of 7.d.(1)(b) Subinvestment grade. the underlying reference asset is rated below in vestment grade, i.e., subinvestment grade, or, stment grade under the bank’s internal credit rating if not rated, is the equivalent of below inve system. Report the notional amount of a ll credit derivative contracts where 7.d.(2) Purchased protection. the bank is the protection purchaser ( beneficiary). The sum of Schedule RC-L, ough C, must equal sum of Schedule RC-L, items 7.d.(2)(a) and (b), columns A thr items 7.a.(1) through (4), column B. Report the remaining maturities of credit derivative contracts where the 7.d.(2)(a) Investment grade. underlying reference asset is rated investment grade or, if not rated, is the equivalent of investment grade under the bank’s internal credit rating system credit derivative contracts where Report the remaining maturities of 7.d.(2)(b) Subinvestment grade. vestment grade, i.e., subinvestment grade, or, the underlying reference asset is rated below in if not rated, is the equivalent of below inve stment grade under the bank’s internal credit rating system. FFIEC 031 and 041 RC-L-6b RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

12 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions . Report the gross amount (stated in U.S. dollars) of all 8 Spot foreign exchange contracts spot contracts committing the reporting bank to purchase foreign (non-U.S.) currencies and U.S. dollar exchange that are out standing as of the report date. All transactions within the consolidated bank should be reported on a net basis. mmediate delivery, usually within two business days, A spot contract is an agreement for the i market rate. Spot contracts are considered of a foreign currency at the prevailing cash outstanding (i.e., open) until they have been cance lled by acquisition or delivery of the underlying currencies. Only one side of a spot foreign exchange contra In those transactions ct is to be reported. where foreign (non-U.S.) currencies are bought or sold against U.S. dollars, report only that side of the transaction that involves the forei gn (non-U.S.) currency. For example, if the reporting bank enters into a spot contract whic h obligates the bank to purchase U.S. dollar exchange against which it sells Japanese yen, then the bank would report (in U.S. dollar equivalent values) the amount of Japanese yen sold in this item. In cross-currency spot foreign exchange transactions, which involve the purchase and sale of two non-U.S. eported (in U.S. dollar equivalent values). currencies, only the purchase side is to be r . Report all significant types of off-balance sheet 9 All other off-balance sheet liabilities schedule. Exclude all items which are required to liabilities not covered in other items of this of the Report of Condition (Schedule RC), be reported as liabilities on the balance sheet contingent liabilities arising in connection with litigation in which the reporting bank is involved, commitments to purchase property bei ng acquired for lease to others (report in Schedule RC-L, item 1.e, above), and signat ure and endorsement guarantees of the type associated with the regular clearing of negotiable instruments or securities in the normal course of business. of "other off-balance sheet liabilities" that Report only the aggregate amount of those types individually exceed 10 percent of the bank's total equity capital reported in Schedule RC, item 27.a. If the bank has no types of "other off-balance sheet liabilities" that individually exceed 10 percent of total equi ty capital, report a zero. type of "other off-balance sheet liabilities" reportable in Disclose in items 9.a through 9.f each this item, and the dollar amount of the off-balanc e sheet liability, that individually exceeds 25 percent of the bank's total equity capital reported in Schedule RC, item 27.a. For each type of off-balance sheet liability that exceeds th is disclosure threshold for which a preprinted caption has not been provided, describe the liab ility with a clear but concise caption in items 9.d through 9.f. These descriptions should not exceed 50 characters in length (including spacing between words). Include as other off-balance sheet liabilities: (1) Securities borrowed against collateral (o ther than cash), or on an uncollateralized basis, for such purposes as a pledge against deposit li abilities or delivery against short sales. Report borrowed securities that are fully colla teralized by similar securities of equivalent value at market value at the time they are borrowed. Report other borrowed securities at market value as of the report date. (R eport the amount of securities borrowed in Schedule RC-L, item 9.a, if this amount ex ceeds 25 percent of the bank’s total equity capital reported in Schedule RC, item 27.a.) (2) Contracts for the purchase of when- issued securities that are excluded from the amended (and therefore not reported as requirements of FASB Statement No. 133, as FFIEC 031 and 041 RC-L-7 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-09)

13 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions 9 forward contracts in Schedule RC-L, item 12.b, below), and accounted for on a settlement-date basis. (Report the amount of these commitments in Schedule RC-L, (cont.) of the bank’s total equity capital reported in item 9.b, if this amount exceeds 25 percent Schedule RC, item 27.a.) (3) Standby letters of credit issued by a Federal Home Loan Bank on behalf of the reporting bank, which is the account party on the lette rs of credit and therefore is obligated to Loan Bank for all payments made under the reimburse the issuing Federal Home standby letters of credit. (Report the amount of these standby letters of credit in Schedule RC-L, item 9.c, if this amount ex ceeds 25 percent of the bank’s total equity capital reported in Schedule RC, item 27.a.) (4) Financial guarantee insurance which insures the timely payment of principal and interest on bond issues. (5) Letters of indemnity other than those issued in connection with the replacement of lost or stolen or official checks. (6) Shipside or dockside guarantees or similar guarantees relating to missing bills of lading that facilitate the replacement of lost or title documents and other document guarantees or stolen official checks. . Report to the extent feasible and practicable all All other off-balance sheet assets 10 significant types of off-balance sheet assets not covered in other items of this schedule. Exclude all items which are required to be repor ted as assets on the balance sheet of the Report of Condition (Schedule RC), contingent asse ts arising in connection with litigation in which the reporting bank is involved, and assets held in or administered by the reporting bank's trust department. Report only the aggregate amount of those types of "other off-balance sheet assets" that individually exceed 10 percent of the bank's total equity capital reported in Schedule RC, item 27.a. If the bank has no types of "other off-balance sheet assets" that individually ich the reporting is feasible and practicable, exceed 10 percent of total equity capital for wh report a zero. of "other off-balance sheet assets" reportable Disclose in items 10.a through 10.e each type in this item, and dollar amount of the off-bal ance sheet asset, that individually exceeds 25 percent of the bank's total equity capital reported in Schedule RC, item 27.a. For each type of off-balance sheet asset that exceeds th is disclosure threshold for which a preprinted sset with a clear and concise caption in caption has not been provided, describe the a items 10.b through 10.e. These descriptions should not exceed 50 characters in length (including space between words). Include as "other off-balance sheet assets" such items as: curities that are excluded from the requirements (1) Contracts for the sale of when-issued se and therefore not reported as forward of FASB Statement No. 133, as amended ( ow), and accounted for on a settlement-date contracts in Schedule RC-L, item 12.b, bel basis. (Report the amount of these commitment s in Schedule RC-L, item 10.a, if this tal equity capital reported in Schedule RC, amount exceeds 25 percent of the bank’s to item 27.a.) (2) Internally developed intangible assets. FFIEC 031 and 041 RC-L-8 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-09)

14 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Merchant processing is the settlement of 11 Year-to-date merchant credit card sales volume. hants. It is a separate and distinct business line from credit credit card transactions for merc involves obtaining authorization for credit card card issuing. Merchant processing activity sales transactions, gathering sales information from the merchant, collecting funds from the card-issuing bank or business, and crediting the merchants' accounts for their sales. is a bank that initiates and maintains contractual agreements with An acquiring bank merchants, agent banks, and third parties (e.g., independent sales organizations and member service providers) for the purpose of accepting and processing credit card transactions. An acquiring bank has liability for chargebacks for the merchants' sales activity. cipates in another bank’s merchant is a bank that, by agreement, parti An agent bank with risk credit card acceptance program. An agent bank with risk assumes liability for chargebacks for all or a portion of the loss for the merchants' sales activity. hould include credit card sales transactions For purposes of items 11.a and 11.b, banks s involving bank credit cards, e.g., MasterCard and Visa. For banks with total assets of $10 billion or more, the year-to-date sales volume may be ed in the thousands column, rather than to the reported to the nearest million, with zeros report nearest thousand. Report the year-to-date volume 11.a Sales for which the reporting bank is the acquiring bank. of sales (in U.S. dollars) generated through the bank's merchant processing activities where the reporting bank is the acquiring bank. This will include amounts processed for merchants ounts processed for agent banks with risk, and contracted directly by the acquiring bank, am amounts processed for third parties (e.g ., independent sales organizations and member service providers). Banks that are required to report sales data to the credit card associations of which they are members (e.g., MasterCard and Visa) should measure sales volume in the same manner for purposes of this item. Report the year-to-date Sales for which the reporting bank is the agent bank with risk. 11.b volume of sales (in U.S. dollars) generated th rough the bank's merchant processing activities where the reporting bank is acting as an agent bank with risk. Include all sales transactions for which the acquiring bank with whom the reporting bank contracted may hold the bank responsible. . Report in the appropriate column 12 Gross amounts (e.g., notional amounts) of derivatives dollars) (e.g., for futures, forwards, and option and subitem the gross par value (stated in U.S. contracts) or the notional amount (stated in U.S. dollars) (e.g., for forward rate agreements meet the definition of and swaps), as appropriate, of all contracts that a derivative and must be accounted for in accordance with FASB St atement No. 133. Include both freestanding ounted for separately from their bedded derivatives that must be acc derivative contracts and em host contract under Statement No. 133. R eport each contract according to its underlying risk change, (c) equity, or (d) commodity and other. exposure: (a) interest rate, (b) foreign ex Contracts with multiple risk characteristics should be classified based upon the predominant the derivative. However, exclude from risk characteristics at the origination of Schedule RC-L, items 12 through 15, all credit derivatives, which should be reported in Schedule RC-L, item 7, above. FFIEC 031 and 041 RC-L-9 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-03)

15 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions 12 The notional amount or par value to be report ed for a derivative contract with a multiplier ional amount or par value. For example, a swap component is the contract's effective not (cont.) $1,000,000 whose terms called for quarterly contract with a stated notional amount of settlement of the difference between 5% and LIBOR multiplied by 10 has an effective notional amount of $10,000,000. All transactions within the consolidated bank should be reported on a net basis. No other netting of contracts is permitted for purposes of this item. Therefore, do not net: (1) obligations of the reporting bank to pur chase from third parti es against the bank's written options against purchased options, or obligations to sell to third parties, (2) (3) contracts subject to bilateral netting agreements. For each column, the sum of items 12.a through 12.e must equal the sum of items 13 and 14. Column Instructions Column A, Interest Rate Contracts: Interest rate contracts are contracts related to an interest- s are determined by referencing interest rates bearing financial instrument or whose cash flow on on a futures contract to purchase a Treasury or another interest rate contract (e.g., an opti t the bank's interest rate exposure or, if the bill). These contracts are generally used to adjus e of others. Interest rate contracts include bank is an intermediary, the interest rate exposur interest rate futures, single currency interest rate swaps, basis swaps, forward rate uding caps, floors, collars, and corridors. agreements, and interest rate options, incl Exclude contracts involving the ex change of one or more foreign currencies ons) and other contracts whose predominant (e.g., cross-currency swaps and currency opti risk characteristic is foreign exchange risk, whic h are to be reported in column B as foreign exchange contracts. Unsettled securities transactions that exceed the regular way settlement time limit that is customary in each relevant market must be r eported as forward contracts in Schedule RC-L, item 12.b. Foreign exchange contracts are contracts to Column B, Foreign Exchange Contracts: purchase foreign (non-U.S.) currencies and U.S. dollar exchange in the forward market, i.e., on an organized exchange or in an over-the-count er market. A purchase of U.S. dollar exchange is equivalent to a sale of foreign currency. Foreign exchange contracts include cross-currency interest rate swaps where ther e is an exchange of principal, forward foreign exchange contracts (usually settling three or more business days from trade date), and currency futures and currency options. Exclude spot foreign exchange contracts, which are to be reported in Schedule RC-L, item 8. Only one side of a foreign currency transaction is to be reported. In those transactions where foreign (non-U.S.) currencies are bought or sold against U.S. dollars, report only that side of the transaction that involves the foreign (non-U. S.) currency. For example, if the reporting bank enters into a futures contract which obli gates the bank to purchase U.S. dollar exchange against which it sells Japanese yen, then the bank would report (in U.S. dollar equivalent values) the amount of Japanese yen sold in Sc hedule RC-L, item 12.a. In cross-currency le of two non-U.S. currencies, only the transactions, which involve the purchase and sa purchase side is to be reported. All amounts in column B are to be reported in U.S. dollar equivalent values. FFIEC 031 and 041 RC-L-10 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-03)

16 RC-L – DERIVATIVES AND OFF-BALANCE SHEET FFIEC 031 and 041 Item No. Caption and Instructions 12 Column C, Equity Derivative Contracts: Equity derivative contracts are contracts that have a (cont.) return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices, such as the Standard and Poor's 500. quantity, e.g., number of The contract amount to be reported for equity der ivative contracts is the units, of the equity instrument or equity index c ontracted for purchase or sale multiplied by the contract price of a unit. Column D, Commodity and Other Contracts: e contracts that have a Commodity contracts ar return, or a portion of their return, linked to t he price of or to an index of precious metals, petroleum, lumber, agricultural products, etc. Commodity and other contracts also include any other contracts that are not reportable as inte rest rate, foreign exchange, or equity derivative contracts. The contract amount to be reported for commodity and other contracts is the quantity, e.g., number of units, of the commodity or pr oduct contracted for purchase or sale multiplied by the contract price of a unit. odity contracts with multiple exchanges of The notional amount to be reported for comm principal is the contractual amount multiplied by the number of remaining payments (i.e., exchanges of principal) in the contract. ents for delayed delivery of financial . Futures contracts represent agreem Futures contracts 12.a instruments or commodities in which the buy er agrees to purchase and the seller agrees to deliver, at a specified future date, a specified inst rument at a specified price or yield. Futures contracts are standardized and are traded on organiz ed exchanges that act as the counterparty to each contract. Report, in the appropriate column, the aggregat e par value of futures contracts that have been entered into by the reporting bank and are outst anding (i.e., open contracts) as of the report date. Do not report the par value of financia l instruments intended to be delivered under such the par value of the contracts themselves. contracts if this par value differs from have been cancelled by acquisition or delivery Contracts are outstanding (i.e., open) until they of the underlying financial instruments or by offse t. 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 contra cts of the same delivery month on the same underlying instrument on the same exchange. Column A, Interest Rate Futures: Report futures contracts committing the reporting bank to purchase or sell financial instruments and whose predominant risk characteristic is interest rate risk. Some of the more common intere st rate futures include futures on 90-day U.S. Treasury bills; 12-year GNMA pass-through se curities; and 2-, 4-, 6-, and 10-year U.S. Treasury notes. Report the gross amount (stated in U.S. dollars) of all Column B, Foreign Exchange Futures: to purchase foreign (non-U.S.) currencies and futures contracts committing the reporting bank characteristic is foreign exchange risk. U.S. dollar exchange and whose predominant risk FFIEC 031 and 041 RC-L-11 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-05)

17 RC-L – DERIVATIVES AND OFF-BALANCE SHEET FFIEC 031 and 041 Item No. Caption and Instructions 12.a A currency futures contract is a standardiz ed agreement for delayed delivery of a foreign (cont.) (non-U.S.) currency or U.S. dollar exc hange in which the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified amount at a specified exchange rate. Report futures contracts committing the reporting bank Column C, Equity Derivative Futures: to purchase or sell equity securities or instruments based on equity indexes such as the Standard and Poor's 500 or the Nikkei. Column D, Commodity and Other Futures: Report the contract amount for all futures contracts committing the reporting bank to purchas e or sell commodities such as agricultural products (e.g., wheat, coffee), pr ecious metals (e.g., gold, pl atinum), and non-ferrous metals (e.g., copper, zinc). Include any other futures contract that is not reportable as an interest rate, foreign exchange, or equity derivativ e contract in column A, B, or C. . Forward contracts represent agreements for delayed delivery of 12.b Forward contracts financial instruments or commodities in whic h the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument or commodity at a specified price or yield. Forward contra cts are not traded on organized exchanges and their contractual terms are not standardized. entered into by the Report the aggregate par value of forward contracts that have been as of the report date. Do not report reporting bank and are outstanding (i.e., open contracts) the par value of financial instruments intended to be delivered under such contracts if this par value differs from the par val ue 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 se ttled in cash. Such contracts can only be terminated, other than by receipt of the underlying asset, by agreement of both buyer and seller. Include as forward contracts in this item contracts for the purchase and sale of when-issued securities that are not excluded from the requirements of FASB Statement No. 133, as when-issued securities that are excluded amended. Report contracts for the purchase of from the requirements of FASB Statement No. 133, as amended, and accounted for on a settlement-date basis as "Other off-balance s heet liabilities" in Schedule RC-L, item 9, and contracts for the sale of when-issued securiti es that are excluded from the requirements of FASB Statement No. 133, as amended, and acc ounted for on a settlement-date basis as "Other off-balance sheet assets" in Schedule RC-L, item 10, subject to the existing reporting thresholds for these two items. Column A, Interest Rate Forwards: Report forward contracts committing the reporting bank to purchase or sell financial instruments and whose predominant risk characteristic is interest rate risk. Include in this item firm commitment s (i.e., commitments that have a specific interest rate or price, selling date, and dollar amount) to sell loans secured by 1-to-4 family residential ative contract under FASB Statement No. 133. properties that meet the definition of a deriv Column B, Foreign Exchange Forwards: Report the gross amount (stated in U.S. dollars) of to purchase foreign (non-U.S.) currencies all forward contracts committing the reporting bank and U.S. dollar exchange and whose predominant risk characteristic is foreign exchange risk. FFIEC 031 and 041 RC-L-12 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-05)

18 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions A forward foreign exchange contract is an agreement for delayed delivery of a foreign 12.b (non-U.S.) currency or U.S. dollar exc hange in which the buyer agrees to purchase and the (cont.) seller agrees to deliver, at a specified future at a specified exchange date, a specified amount rate. Column C, Equity Derivative Forwards: Report forward contracts committing the reporting bank to purchase or sell equity instruments. Report the contract amount for all forward Column D, Commodity and Other Forwards: contracts committing the reporting bank to purchas e or sell commodities such as agricultural products (e.g., wheat, coffee), pr ecious metals (e.g., gold, pl atinum), and non-ferrous metals (e.g., copper, zinc). Include any other forward contra ct that is not reportable as an interest rate, ontract in column A, B, or C. foreign exchange, or equity derivative c Exchange-traded option contracts 12.c . Option contracts convey either the right or the obligation, er or the writer, respectively, to buy depending upon whether the reporting bank is the purchas or sell a financial instrument or commodity at a specified price by a specified future date. Some options are traded on organized exchanges. The buyer of an option contract has, for com pensation (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 se ller 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 the buyer of the contract. commodity at the option of 12.c.(1) Written options value of the financial instruments or . Report in this item the aggregate par compensation (such as a fee or premium), commodities that the reporting bank has, for obligated itself to either purchase or sell under exchange-traded option contracts that are outstanding as of the report date. Column A, Written Exchange-Traded Interest Rate Options: For exchange-traded option chase or sell an interest rate futures contract contracts obligating the reporting bank to either pur and whose predominant risk characteristic is inte rest rate risk, report the par value of the financial instrument underlying the futures contract. An example of such a contract is a Chicago Board Options Exchange option on t he 13-week Treasury bill rate. Report in this item the gross Column B, Written Exchange-Traded Foreign Exchange Options: non-U.S.) currency and U.S. dollar exchange that the amount (stated in U.S. dollars) of foreign ( reporting bank has, for compensation, obligated itself to either purchase or sell under exchange- teristic is foreign exchange risk. In the traded option contracts whose predominant risk charac case of option contracts obligating the reporting bank to either purchase or sell a foreign exchange futures contract, report the gross amount (stated in U.S. dollars) of the foreign (non- U.S.) currency underlying the futures contract. Exchange-traded options on major currencies ng and options on futures contracts of major such as the Japanese Yen and British Pound Sterli currencies are examples of such contracts. FFIEC 031 and 041 RC-L-13 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-02)

19 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Column C, Written Exchange-Traded Equity Derivative Options: Report the contract 12.c.(1) (cont.) amount for those exchange-traded option c ontracts where the reporting bank has obligated itself, for compensation, to purchase or sell an equity instrument or equity index. Column D, Written Exchange-Traded Commodity and Other Exchange-Traded Options: Report the contract amount for those exc hange-traded option contracts where the reporting purchase or sell a commodity or product. bank has obligated itself, for compensation, to Include any other written, exchange-traded option t hat is not reportable as an interest rate, ontract in column A, B, or C. foreign exchange, or equity derivative c Purchased options 12.c.(2) . Report in this item the aggregate par value of the financial instruments or commodities that the reporting bank has, for a f ee or premium, purchased the right to either purchase or sell under exchange-traded option contra cts that are outstanding as of the report date. Column A, Purchased Exchange-Traded Interest Rate Options: For exchange-traded option contracts giving the reporting bank the right to either purchase or sell an interest rate futures interest rate risk, report the par value of contract and whose predominant risk characteristic is financial instrument underlying the futures contra the ct. An example of such a contract is a Chicago Board Options Exchange option on the 13-week Treasury bill rate. Column B, Purchased Exchange-Traded Foreign Exchange Options: Report in this item the gross amount (stated in U.S. dollars) of fo reign (non-U.S.) currency and U.S. dollar exchange that the reporting bank has, for a fee, purchas ed the right to either purchase or sell under exchange-traded option contracts whose predominant risk characteristic is foreign exchange he reporting bank the right to either purchase or risk. In the case of option contracts giving t sell a currency futures contract, report the gross amount (stated in U.S. dollars) of the foreign (non-U.S.) currency underlying the futures contract. Exchange-traded options on major currencies such as the Japanese Yen and Br itish Pound Sterling and options on futures contracts of major currencies are examples of such contracts. Column C, Purchased Exchange-Traded Equity Derivative Options: Report the contract amount of those exchange-traded option contract s where the reporting bank has, for a fee, purchased the right to purchase or sell an equity instrument or equity index. Column D, Purchased Exchange-Traded Commodity and Other Exchange-Traded Options: hange-traded option contracts where the reporting Report the contract amount for those exc bank has, for a fee, purchased the right to purchase or sell a commodity or product. Include any other purchased, exchange-traded option that is not reportable as an interest rate, foreign exchange, or equity derivative contra ct in column A, B, or C. 12.d Over-the-counter option contracts . Option contracts convey either the right or the obligation, depending upon whether the reporting bank is the purchas er or the writer, respectively, to buy specified price by a specified future date. or sell a financial instrument or commodity at a of the counterparties to the transaction. Options can be written to meet the specialized needs These customized option contracts are known as over-the-counter (OTC) options. Thus, over- the-counter option contracts include all opti on contracts not traded on an organized exchange. FFIEC 031 and 041 RC-L-14 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-02)

20 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions compensation (such as a fee or premium), The buyer of an option contract has, for 12.d (cont.) acquired the right (or option) to sell to, or purchase from, anot her party some financial instrument or commodity at a stated price on a specified future date. The seller of the contract has, for such compensation, becom e obligated to purchase or sell the financial buyer of the contract. A put option contract instrument or commodity at the option of the obligates the seller of the contract to purchase some financial instrument or commodity at the contract obligates the se ller of the contract to option of the buyer of the contract. A call option some financial instrument or commodity at the option of the buyer of the contract. In addition, swaptions, i.e., options to ent er into a swap contract, and contracts known as s should be reported as options. caps, floors, collars, and corridor ition of a derivative and must be accounted for Commitments to lend that meet the defin in accordance with FASB Statement No. 133 are considered options for purposes of Schedule RC-L, item 12. All other commitment s to lend should be reported in Schedule RC-L, item 1. 12.d.(1) Written options value of the financial instruments or . Report in this item the aggregate par commodities that the reporting bank has, for compensation (such as a fee or premium), that are outstanding as OTC option contracts obligated itself to either purchase or sell under of the report date. Also report an aggregate notional amount for written caps, floors, and swaptions and for the written portion of collars and corridors. Interest rate options include options to Column A, Written OTC Interest Rate Options: 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. Include in this item the notional principal amount for interest rate caps and floors that the reporting bank se lls. For interest rate collars and corridors, report a notional amount for the writt en portion of the contract in Schedule RC-L, item 12.d.(1), column A, and for the purchas ed portion of the contract in Schedule RC-L, item 12.d.(2), column A. Column B, Written OTC Foreign Exchange Options: A written currency option contract ent currencies at a specified exchange rate. conveys the obligation to exchange two differ Report in this item the gross amount (stated in U.S. dollars) of foreign (non-U.S.) currency and U.S. dollar exchange that the reporting bank has, for compensation, obligated itself to either purchase or sell under OTC option contra cts whose predominant risk characteristic is foreign exchange risk. Report the contract amount for those OTC Column C, Written OTC Equity Derivative Options: option contracts where the reporting bank has obli gated itself, for compensation, to purchase or sell an equity instrument or equity index. Report the contract amount for Column D, Written OTC Commodity and Other OTC Options: bank has obligated itself, for compensation, those OTC option contracts where the reporting to purchase or sell a commodity or product. Incl ude any other written, OTC option that is not equity derivative contract in column A, B, reportable as an interest rate, foreign exchange, or or C. FFIEC 031 and 041 RC-L-15 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-02)

21 RC-L – DERIVATIVES AND OFF-BALANCE SHEET FFIEC 031 and 041 Item No. Caption and Instructions Purchased options 12.d.(2) value of the financial instruments or . Report in this item the aggregate par commodities that the reporting bank has, for a f ee or premium, purchased the right to either purchase or sell under OTC option contracts that are outstanding as of the report date. Also report an aggregate notional amount for purchased caps, floors, and swaptions and for the purchased portion of collars and corridors. Interest rate options include options to Column A, Purchased OTC Interest Rate Options: purchase and sell interest-bearing financial instruments and whose predominant risk caps, floors, collars, as contracts known as characteristic is interest rate risk as well corridors, and swaptions. Include in this item the notional principal amount for interest rate caps and floors that the reporting bank purchases . For interest rate collars and corridors, the contract in Schedule RC-L, item 12.d.(1), report a notional amount for the written portion of column A, and for the purchased portion of the contract in Schedule RC-L, item 12.d.(2), column A. Column B, Purchased OTC Foreign Exchange Options: Report in this item the gross amount (stated in U.S. dollars) of foreign (non-U. S.) currency and U.S. dollar exchange that the reporting bank has, for a fee, purchased the ri ght to either purchase or sell under option teristic is foreign exchange risk. contracts whose predominant risk charac Report the contract amount of those Column C, Purchased OTC Equity Derivative Options: OTC option contracts where the reporting bank has , for a fee, purchased the right to purchase or sell an equity instrument or equity index. Column D, Purchased OTC Commodity and Other OTC Options: Report the contract amount for those option contracts where the reporting bank has, for a fee, purchased the right to purchase or sell a commodity or product. Incl ude any other purchased OTC option that is not reportable as an interest rate, foreign exchange or equity derivative contract in column A, B, or C. 12.e Swaps . Swaps are transactions in which two parties agree to exchange payment streams based on a specified notional amount for a specif ied period. Forward starting swap contracts should be reported as swaps. The notional amount of a swap is the underlying principal reign exchange or other income or expense amount upon which the exchange of interest, fo is based. The notional amount to be reported fo r a swap contract with a multiplier component is the contract's effective notional amount. In those cases where the reporting bank is acting as an intermediary, both sides of the transaction are to be reported. Report the notional amount of all outstanding interest rate and Column A, Interest Rate Swaps: ristic is interest rate risk. basis swaps whose predominant risk characte Column B, Foreign Exchange Swaps: Report the notional principal amount (stated in U.S. rate swaps. A cross-currency interest rate dollars) of all outstanding cross-currency interest swap is a transaction in which two parties agr ee to exchange principal amounts of different currencies, usually at the prevailing spot rate, at the inception of an agr eement that lasts for a ap, the counterparties certain number of years. At defined intervals over the life of the sw exchange payments in the different currencies based on specified rates of interest. When the be re-exchanged at the same spot rate. The agreement matures, the principal amounts will notional amount of a cross-currency interest rate swap is generally the underlying principal amount upon which the exchange is based. FFIEC 031 and 041 RC-L-16 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-02)

22 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions 12.e Column C, Equity Swaps: Report the notional amount of all outstanding equity or equity (cont.) index swaps. Report the notional principal amount of all other Column D, Commodity and Other Swaps: interest rate, foreign exchange, or equity swap agreements that are not reportable as either derivative contracts in column A, B, or C. The notional amount to be reported for commodity is the contractual amount multiplied by the contracts with multiple exchanges of principal number of remaining payments (or exc hanges of principal) in the contract. . Report, in the Total gross notional amount of derivative contracts held for trading 13 appropriate column, the total notional amount or par value of those derivative contracts reported in Schedule RC-L, item 12, above that are held for trading purposes. Contracts held for trading purposes include those used in dealing and other trading activities. Derivative instruments used to hedge trading activities should also be reported in this item. ly dealing in interest rate contracts, foreign Derivative trading activities include (a) regular ative contracts, and other off-balance sheet commodity exchange contracts, equity deriv contracts, (b) acquiring or taking positions in su ch items principally for the purpose of selling in the near term or otherwise with the intent to rese to profit from short- ll (or repurchase) in order term price movements, and (c) acquiring or taking positions in such items as an accommodation to customers. The reporting bank's trading department may hav e entered into a derivative contract with another department or business unit within the consolidated bank (and which has been reported on a net basis in accordance with the instructions to Schedule RC-L, item 12 above). If the trading department has also entered into a matching contract with a counterparty outside the consolidated bank, the contract with the outside counterparty should be designated as held for trading or as held for purposes other than tradi ng consistent with the contract's designation for other financial reporting purposes. Total gross notional amount of derivative contracts held for purposes other than 14 trading. Report, in the appropriate column, the total notional amount or par value of those contracts reported in Schedule RC-L, item 12, above, that are held for purposes other than trading. Report the notional Interest rate swaps where the bank has agreed to pay a fixed rate. 14.a amount of all outstanding interest rate swaps included in Schedule RC-L, item 14, column A, above, on which the reporting bank is obligated to pay a fixed rate. The interest rate swaps been reported in Schedule RC-L, item 12.e, column that are reported in this item will also have A. Interest rate swaps that are held for tr ading should not be reported in this item 14.a. is a rate that is specified at the origination of the transaction, is fixed and A fixed interest rate invariable during the term of the interest ra te swap, and is known to both the bank and the swap counterparty. Also treated as a fixed interest rate is a predetermined interest rate which interest rate swap on a predetermined basis, with is a rate that changes during the term of the the exact rate of interest over the life of the swap known with certainty to both the bank and the swap counterparty at the or igination of the transaction. FFIEC 031 and 041 RC-L-17 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-03)

23 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Gross fair values of derivative contracts 15 . Report in the appropriate column and subitem the fair value of all derivative contracts r eported in Schedule RC-L, items 13 and 14, above. For each of the four types of underlying risk exposure in columns A through D, the gross eported separately for (i) contracts held for positive and gross negative fair values will be r racts held for purposes other than trading (in trading purposes (in item 15.a) and (ii) cont underlying risk exposure is provided in the item 15.b). Guidance for reporting by type of instructions for Schedule RC-L, item 12, abov e. Guidance for reporting by purpose is provided in the instructions for Schedule RC-L, items 13 and 14, above. bank should be reported on a net basis. No other All transactions within the consolidated netting of contracts is permitted for purposes of th is item. Therefore, do not net (1) obligations of the reporting bank to buy against the bank's obligations to sell, (2) written options against purchased options, (3) positive fair values against negative fair val ues, or (4) contracts subject to bilateral netting agreements. lue is the amount at which an asset (liability) As defined in FASB Statement No. 133, fair va could be bought (incurred) or sold (settled) in a current transaction between willing parties, in active markets are that is, other than in a forced or liquidation sale . Quoted market prices used as the basis for the measurement, if the best evidence of fair value and should be available. If a quoted market price is available, the fair value is the product of the number of rket price is not available, the estimate of trading units times that market price. If a quoted ma fair value should be based on the best informat ion available in the circumstances. The estimate of fair value should c onsider prices for similar assets or similar liabilities and the ailable in the circumstances. For purposes of results of valuation techniques to the extent av ir value of its derivat ive contracts in the item 15, the reporting bank should determine the fa of these contracts for other financial reporting same manner that it determines the fair value purposes. . Report in the appropriate colu mn and subitem the gross positive Contracts held for trading 15.a and gross negative fair values of those cont racts held for trading that are reported in Schedule RC-L, item 13, above. the total fair value of those . Report in the appropriate column 15.a.(1) Gross positive fair value 13, above, with positive fair values. contracts reported in Schedule RC-L, item the total fair value of those . Report in the appropriate column 15.a.(2) Gross negative fair value above, with negative fair values. Report the contracts reported in Schedule RC-L, item 13, lue in parentheses or use a enclose the total fair va total fair value as an absolute value, do not minus (-) sign. . Report in the appropriate column and 15.b Contracts held for purposes other than trading values of those contracts held for purposes subitem the gross positive and gross negative fair other than trading that are reported in Schedule RC-L, item 14, above. . Report in the appropriate column the total fair value of those Gross positive fair value 15.b.(1) contracts reported in Schedule RC-L, item 14, above, with positive fair values. . Report in the appropriate column the total fair value of those Gross negative fair value 15.b.(2) contracts reported in Schedule RC-L, item 14, above, with negative fair values. Report the lue in parentheses or use a enclose the total fair va not total fair value as an absolute value, do minus (-) sign. FFIEC 031 and 041 RC-L-18 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (3-03)

24 FFIEC 031 and 041 RC-L – DERIVATIVES AND OFF-BALANCE SHEET Item No. Caption and Instructions Items 16.a and 16.b.(1) through (8) are to be completed only 16 Over-the-counter derivatives. by banks with total assets of $10 billion or more . Include all over-the-counter (OTC) interest rate, foreign exchange, commodity, equity, and cr edit derivative contract s that are held for trading and held for purposes other than trading. Column Instructions for items 16.a and 16.b.(1) through (8): Column A, Banks and Securities Firms: Banks include U.S. banks and foreign banks as r “Banks, U.S. and Foreign.” Se defined in the Glossary entry fo curities firms include broker- dealers that are registered with the U.S. Securities and Exchange Commission (SEC), firms engaged in securities activities in the European Union (EU) that are subject to the EU’s Capital Adequacy Directive, and other firms engaged in securities activities. Monoline financial guarantors are companies Column B, Monoline Financial Guarantors: oviding credit enhancement in the form of a that are primarily engaged in the business of pr to bond issuers when an issuer defaults. In “guarantee” of payment of principal and interest essence, these companies provide a back- up guarantee, which generally increases the bond rating of debt issued by lower-rated borrowers, in exchange for insurance premiums. Monoline financial guarantors provide guarantees on securities that range from municipal as collateralized debt obligations (CDOs). bonds to structured financial products such Column C, Hedge Funds: Hedge funds are generally priv ately-owned investment funds with a limited range of investors. Hedge funds are not required to register with the SEC, which provides them with an exemption in m any jurisdictions from regulations governing he liquidity of investments in short selling, derivative contracts, leverage, fee structures, and t the fund. Column D, Sovereign Governments: Sovereign governments are the central governments of foreign countries. Column E, Corporations and All Other Counterparties: Corporations and all other counterparties include all counterparties other than those included in columns A through D above. Report in the appropriate column the sum of the net current 16.a Net current credit exposure. credit exposures on OTC derivativ e contracts by type of counter party. The sum of the net current credit exposures reported in columns A through E for this item may not equal the amount reported in Schedule RC-R, Memorandum it em 1, “Current credit exposure across all derivative contracts covered by the risk-based capital standards,” because the amount reported in Schedule RC-R, Memorandum item 1, excludes, for example, OTC derivatives not covered by the risk-based capital standards. All transactions within the consolidated bank should be reported on a net basis. as the replacement cost) is the fair value The current credit exposure (sometimes referred to positive. The current credit exposure is zero of a derivative contract when that fair value is when the fair value is negative or zero. For purposes of this item, the net current credit exposure to an individual counterparty should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the reporting bank and the counterparty. If such an agreement is in place, the fair values of all applicable derivative contracts with that counterpar ty that are included in the scope of the netting agreement are netted to a single amount, which may be positive, negative, or zero. FFIEC 031 and 041 RC-L-19 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

25 RC-L – DERIVATIVES AND OFF-BALANCE SHEET FFIEC 031 and 041 Item No. Caption and Instructions 16.b Fair value of collateral. Report in the appropriate subitem and column the total fair value of re OTC derivative transactions by type of the collateral pledged by counterparties to secu counterparty, even if the fair value of the co llateral as of the report date exceeds the net current credit exposure to a counterparty or t he current credit exposure to a counterparty is zero. Include the fair value of collateral in the reporting bank’s possession and collateral held on the bank’s behalf by third party custodians. ty column the total of all cash Report in the appropriate counterpar 16.b.(1) Cash – U.S. dollar. denominated in U.S. dollars held on deposit in t he bank or by third party custodians on behalf of the bank that provide protection to the bank against counterparty risk on OTC derivatives. erparty column in U.S. dollar Report in the appropriate count 16.b.(2) Cash – Other currencies. in non-U.S. currency held on deposit in the equivalents the total of all cash denominated bank or by third party custodians on behalf of the bank that provide protection to the bank against counterparty risk on OTC derivatives. party column the fair value of Report in the appropriate counter 16.b.(3) U.S. Treasury securities. U.S. Treasury securities held directly by the bank or by third party custodians on behalf of the bank that provide protection to the bank against counterparty risk on OTC derivatives. 16.b.(4) U.S. Government agency and U.S. Government-sponsored agency debt securities. the fair value of U.S. Government agency and Report in the appropriate counterparty column U.S. Government-sponsored agency debt securities hel d directly by the bank or by third party custodians on behalf of the bank that provide pr otection to the bank against counterparty risk on OTC derivatives. Report in the appropriate counterparty column the fair value of corporate 16.b.(5) Corporate bonds. ty custodians on behalf of the bank that provide bonds held directly by the bank or by third par erparty risk on OTC derivatives. protection to the bank against count Report in the appropriate counterparty column the fair value of equity 16.b.(6) Equity securities. securities held directly by the bank or by third party custodians on behalf of the bank that provide protection to the bank against counterparty risk on OTC derivatives. Report in the appropriate counterparty column the fair value of collateral All other collateral. 16.b.(7) item 16.b.(1) through item 16.b.(7), held that cannot properly be reported in Schedule RC-L, directly by the bank or by third party custodi ans on behalf of the bank that provide protection ty risk on OTC derivatives. to the bank against counterpar For each column, report the sum of items 16.b.(1) through 16.b.(8) Total fair value of collateral. 16.b.(7). FFIEC 031 and 041 RC-L-20 RC-L – DERIVATIVES AND OFF-BALANCE SHEET (6-09)

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