Instructions For Schedule Rc-L (Form Ffiec 031 And 041) - Derivatives And Pff-Balance Sheet Items Page 18
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18FFIEC 031 and 041
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
Item No.
Caption and Instructions
Gross fair values of derivative contracts . Report in the appropriate column and subitem
15
the fair value of all derivative contracts reported 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
positive and gross negative fair values will be reported separately for (i) contracts held for
trading purposes (in item 15.a) and (ii) contracts held for purposes other than trading (in
item 15.b). Guidance for reporting by type of underlying risk exposure is provided in the
instructions for Schedule RC-L, item 12, above. Guidance for reporting by purpose is
provided in the instructions for Schedule RC-L, items 13 and 14, above.
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 buy against the bank's obligations to sell, (2) written
options against purchased options, (3) positive fair values against negative fair values, or
(4) contracts subject to bilateral netting agreements.
As defined in FASB Statement No. 133, fair value is the amount at which an asset (liability)
could be bought (incurred) or sold (settled) in a current transaction between willing parties,
that is, other than in a forced or liquidation sale. Quoted market prices in active markets are
the best evidence of fair value and should be used as the basis for the measurement, if
available. If a quoted market price is available, the fair value is the product of the number of
trading units times that market price. If a quoted market price is not available, the estimate of
fair value should be based on the best information available in the circumstances. The
estimate of fair value should consider prices for similar assets or similar liabilities and the
results of valuation techniques to the extent available in the circumstances. For purposes of
item 15, the reporting bank should determine the fair value of its derivative contracts in the
same manner that it determines the fair value of these contracts for other financial reporting
purposes.
Contracts held for trading . Report in the appropriate column and subitem the gross positive
15.a
and gross negative fair values of those contracts held for trading that are reported in
Schedule RC-L, item 13, above.
Gross positive fair value . Report in the appropriate column the total fair value of those
15.a.(1)
contracts reported in Schedule RC-L, item 13, above, with positive fair values.
15.a.(2)
Gross negative fair value . Report in the appropriate column the total fair value of those
contracts reported in Schedule RC-L, item 13, above, with negative fair values. Report the
total fair value as an absolute value, do not enclose the total fair value in parentheses or use a
minus (-) sign.
Contracts held for purposes other than trading . Report in the appropriate column and
15.b
subitem the gross positive and gross negative fair values of those contracts held for purposes
other than trading that are reported in Schedule RC-L, item 14, above.
Gross positive fair value . Report in the appropriate column the total fair value of those
15.b.(1)
contracts reported in Schedule RC-L, item 14, above, with positive fair values.
Gross negative fair value . Report in the appropriate column the total fair value of those
15.b.(2)
contracts reported in Schedule RC-L, item 14, above, with negative fair values. Report the
total fair value as an absolute value, do not enclose the total fair value in parentheses or use a
minus (-) sign.
FFIEC 031 and 041
RC-L-18
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(3-03)
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