Data Dictionary
Item Number M880
FAIR VALUE OF FOREIGN EXCHANGE AND DERIVATIVE PRODUCTS: NBFISCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| FCEXM880 | 2013-12-31 | 9999-12-31 | Yes | FFIEC 009 |
Data Description:
Report the positive fair value of derivative contracts by sector (see Section II.D) in Columns 1 through 4, and the total in Column 5. For Schedule D, sectors consist of Banks, Public, NBFIs and Other. Other consists of the residual claims which cannot be classified in the other three categories. If the reporter chooses, it may report separately foreign-office claims on local residents in Columns 7 and foreign-office liabilities to local residents in Column 8, and report only cross-border claims in Columns 1 through 5 (refer to instructions for Columns 7 and 8 in Section VIII.C). Otherwise, report in Columns 1 through 5 both cross-border claims and foreign-office claims on local residents that result from the positive fair value of derivative contracts.
Contracts not covered by a master netting agreement must be reported gross. For contracts covered by a multi-branch or multi-jurisdiction master netting agreement, the net positive residual amount (i.e., the larger of zero or the gross positive fair value less the gross negative fair value of those contracts covered by the same master netting agreement) must be reported in Columns 1 through 4, as appropriate, as well as in Column 5. (The term multijurisdiction or multi-branch agreement refers to a master netting agreement that covers the head office and other offices of the reporter.)
For contracts covered by a single netting agreement (a master netting agreement entered into by a single office of the reporter with another party), the net positive residual amount qualifies to be reported in Columns 1 through 5, but may also qualify for reporting in Columns 7 and 8 (see below) if the reporter chooses that option. When a contract is entered into with a branch of a commercial bank, a claim (i.e., positive fair value) is reported in the country of the head office because claims on a bankÆs branches are assumed to have an implicit credit guarantee of the head office. Claims on (i.e., contracts having a positive fair value) U.S. branches of foreign banks are reported in the country of the head office. (Refer also to instructions for Column 6, which treats claims on bank branches differently.)