Title 12

SECTION 703.105

703.105 Reporting requirements.

§ 703.105 Reporting requirements.

(a) Board reporting. At least quarterly, a Federal credit union's senior executive officers must deliver a comprehensive derivatives report to the Federal credit union's board of directors. The report may be delivered separately or as part of the standard funds management or asset/liability report.

(b) Senior executive officer and asset liability committee. At least monthly, Federal credit union staff must deliver a comprehensive derivatives report to the Federal credit union's senior executive officers and, if applicable, the Federal credit union's asset liability committee.

(c) Comprehensive derivatives report. At a minimum, the reports required in paragraphs (a) and (b) of this section must include:

(1) Identification of any areas of noncompliance with any provision of this subpart or the Federal credit union's policies;

(2) Utilization of the limits in § 703.103 and any additional limits in the Federal credit union's policies;

(3) An itemization of the Federal credit union's individual positions and aggregate current fair values, and a comparison with the Federal credit union's fair value loss and notional limit authority, as described in appendix A to this subpart;

(4) A comprehensive view of the Federal credit union's statement of financial condition, including, but not limited to, net economic value calculations for the Federal credit union's statement of financial condition done with derivatives included and excluded;

(5) An evaluation of the effectiveness of the derivatives transactions in mitigating interest rate risk; and

(6) An evaluation of effectiveness of the hedge relationship and reporting for derivatives in compliance with GAAP.

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