Board of Governors of the Federal Reserve System

Data Dictionary

Item Number A334

Call confidentiality applies to FFIEC 031/041.

Data Description:

Report the positive fair value of derivative contracts by sector (see Section II.C of the instructions) in Columns 1 through 3, and the total in Column 4. If reporter chooses to report separately foreign office claims in Columns 6 and foreign office liabilities in Column 7, report only cross-border claims in Columns 1 through 4 (refer to instructions for Columns 6 and 7). Otherwise, report in Columns 1 through 4 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 multi-branch or multi-jurisdiction master agreement with a non-U.S. addressee, 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 agreement) must be reported in Columns 1 through 3, as appropriate, as well as in Column 4. (The term multi-jurisdiction 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 single netting agreement (a master agreement entered into by a single office of the reporter with another party), the net posititive residual amount qualifies to be reported in Columns 1-4, but may also qualify for reporting in Columns 6 and 7 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 bank's branches are assumed to have an implicit credit guarantee of the head office. Claims on (i.e., contracts having positive fair value) U.S. branches of foreign banks are reported in the country of the head office. (Refer also to instructions for memorandum Column 5, which treats claims on bank branches differently.)

NOTE:

Reported on Schedule 2 for the FFIEC 009 report.

NOTE:

Prior to 3/31/2006, title was "Revaluation Gains on Foreign Exchange and Derivative Products on Banks" and included the amounts of revaluation gains on foreign exchange and derivative products on banks.

Reported on Schedule 2 for the FFIEC 009 report.

Also reported as confidential.