Instructions For Schedule Rc-L (Form Ffiec 031 And 041) - Derivatives And Pff-Balance Sheet Items Page 6
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18FFIEC 031 and 041
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
Item No.
Caption and Instructions
All transactions within the consolidated bank should be reported on a net basis, i.e., intrabank
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(cont.)
transactions should not be reported in this item. No other netting of contracts is permitted for
purposes of this item. Therefore, do not net: (1) credit derivatives with third parties on which
the reporting bank is the beneficiary against credit derivatives with third parties on which the
reporting bank is the guarantor, or (2) contracts subject to bilateral netting agreements. The
notional amount of credit derivatives should not be included in Schedule RC-L, items 12
through 14, and the fair value of credit derivatives should not be included in Schedule RC-L,
item 15.
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
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 contracts for other financial
reporting purposes.
7.a
Notional amount of credit derivatives on which the reporting bank is the guarantor.
Report the notional amount (stated in U.S. dollars) of all credit derivatives on which the bank
has extended credit protection to other parties.
Gross positive fair value. Report the total fair value of those credit derivatives reported in
7.a.(1)
Schedule RC-L, item 7.a, above, with positive fair values.
Gross negative fair value. Report the total fair value of those credit derivatives reported in
7.a.(2)
Schedule RC-L, item 7.a, 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.
7.b
Notional amount of credit derivatives on which the reporting bank is the beneficiary.
Report the notional amount (stated in U.S. dollars) of all credit derivatives on which the bank
has obtained a guarantee against credit losses from other parties.
7.b.(1)
Gross positive fair value. Report the total fair value of those credit derivatives reported in
Schedule RC-L, item 7.b, above, with positive fair values.
Gross negative fair value. Report the total fair value of those credit derivatives reported in
7.b.(2)
Schedule RC-L, item 7.b, 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.
Spot foreign exchange contracts . Report the gross amount (stated in U.S. dollars) of all
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spot contracts committing the reporting bank to purchase foreign (non-U.S.) currencies and
U.S. dollar exchange that are outstanding as of the report date. All transactions within the
consolidated bank should be reported on a net basis.
FFIEC 031 and 041
RC-L-6
RC-L – DERIVATIVES AND OFF-BALANCE SHEET
(3-02)
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