1. (a) A credit union shall provide its board of directors a monthly comprehensive report of investment activities, including:

   1. (1) investments purchased and sold during the month;
   2. (2) unrealized market gains or losses compared to book value at month's end;
   3. (3) fair or market value of each marketable investment;
   4. (4) total book value of investments outstanding at month's end;
   5. (5) unrecorded and unreported obligations to buy or sell investments; and
   6. (6) amount of investments, other than designated depositories, in other institutions that are not fully insured by the Federal Deposit Insurance Corporation, National Credit Union Administration, or federal or state governments or their agencies.

2. (b) The credit union shall also provide a quarterly report to the board of directors that summarizes the volatility of the investment portfolio, if the aggregate total of the investments with one or more of the features included below exceeds the credit union's reserves and undivided earnings:

   1. (1) embedded options;
   2. (2) remaining maturities greater than three years; or
   3. (3) coupon formulas that are related to more than one index or are inversely related to, or multiples of, an index.

3. (c) The report described in subsection (b) must provide a reasonable and supportable estimate of the potential impact, in percentage and dollar terms, of an immediate and sustained parallel shift in market interest rates of plus and minus 300 basis points on the:

   1. (1) fair value of each marketable investment in the portfolio;
   2. (2) fair value of the portfolio as a whole; and
   3. (3) credit union's reserves and undivided earnings.

Source Note:The provisions of this §91.808 adopted to be effective February 11, 2001, 26 TexReg 1137.