Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 6576

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the credit equivalent amount of interest rate contracts (defined in the definition section of this schedule (Schedule HC-I)).

The credit equivalent amount of an interest rate contract is the sum of the mark-to-market value (positive values only) of each contract (that is, the current exposure) and an estimate of the potential future credit exposure over the remaining life of each contract. In determining the current exposure for interest rate contracts subject to qualifying bilateral netting arrangements pursuant to the amendment to the Federal Reserve's risk-based capital guidelines, the positive mark-to-market values may be offset by the negative mark-to-market values, subject to a minimum value of zero. The potential future credit exposure of an interest rate contract is estimated by multiplying the notional principal amount by the appropriate credit conversion factor that is based on the remaining maturity of the contract. The credit conversion factors for interest rate contracts are discussed in the instructions to Schedule HC-I, Part II, items 3809, 8766, and 8767. However, bank holding companies are permitted to recognize a reduction in the potential future credit exposure for transactions subject to qualifying bilateral netting arrangements by applying a formula that will produce an adjusted potential future credit exposure. (See Instructions for Preparation of Reporting Form FR Y-9C, Schedule HC-I for a discussion of "netting of off-balance-sheet derivative contracts" or to the Federal Reserve's amended risk-based capital guidelines for more detail about applying the formula for reducing the amount of the add-on for the potential future credit exposure.) The credit equivalent amount to be reported in this item is the sum of the portion of the current exposure relating to interest rate contracts reported in item 8764, and the potential future credit exposure relating to interest rate contracts reported in items 3809, 8766, and 8767, after applying the appropriate credit conversion factor.

Qualifying bilateral netting contracts that includes only interest rate contracts are reported in this item, and qualifying bilateral netting contracts that includes only exchange rate contracts are reported in "Credit Equivalent Amount Of Foreign Exchange Contracts (6608)".

The Federal Reserve has amended its risk-based capital guidelines to permit commodity-linked and equity-linked contracts and other contracts that are included in qualifying bilateral netting arrangements to be offset in the same manner as interest rate and foreign exchange rate contracts. Qualifying bilateral netting contracts that includes a mixture of contracts (i.e., interest rate, foreign exchange rate, commodity, equity or other contracts) may be reported in either this item or item 6608, or apportioned between these two items, in any reasonable manner that accommodates the current reporting systems in place at the reporting bank holding company, so long as the credit equivalent amounts reported in this item and item 6608 are not understated.

The mnemonic prefixes for the risk weight columns represents the following:

   BHC0   = (Column A) 0%

   BHC2   = (Column B) 20%

   BHC5   = (Column C) 50%

   BHC9   = (Column D) 100%

For an detailed description of the broad categories of transactions that are assigned to each risk weight category (columns A through D) established by the Risk-Based Guidelines, see the Instructions for Preparation of Reporting Form FR Y-9C Schedule HC-I. If a bank holding company has not established the systems to determine the risk weight(s) applicable for a transaction, it has the option of risk-weighting that transaction at 100%.

NOTE:

Reported in Schedule HC-I for the FR Y-9C report and only by the top-tier bank holding companies with consolidated assets of $150 million or more.

COMPARABILITY:

Prior to 6/30/91, this schedule (Schedule HC-I) is reported as confidential. Also reported by bank holding companies with consolidated assets of $150 million or more but less than $1 billion.