Data Dictionary
Item Number 6623
CREDIT EQUIVALENT AMOUNT OF OFF-BALANCE-SHEET DERIVATIVE CONTRACTSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BHC06623 | 1990-09-30 | 1990-12-31 | Yes | FR Y-9C |
| BHC06623 | 1991-03-31 | 1997-12-31 | No | FR Y-9C |
| BHC26623 | 1990-09-30 | 1990-12-31 | Yes | FR Y-9C |
| BHC26623 | 1991-03-31 | 1997-12-31 | No | FR Y-9C |
| BHC56623 | 1990-09-30 | 1990-12-31 | Yes | FR Y-9C |
| BHC56623 | 1991-03-31 | 1997-12-31 | No | FR Y-9C |
Data Description:
Includes the credit equivalent amount of interest rate, foreign exchange rate, equity and commodity contracts (i.e., off-balance-sheet derivative contracts) as defined in Schedule HC-I, excluding those contracts transacted in the bank holding company's securities affiliate.
The credit equivalent amount for off-balance-sheet derivative contracts 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 off-balance-sheet derivative 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 off-balance-sheet derivative contracts is estimated by multiplying the notional principal amount of a specific contract by the appropriate credit conversion factor that is based on the remaining maturity of the contract. The credit conversion factors for off-balance-sheet derivative contracts are included in the instructions to Schedule HC-J, Part II, Memorandum items 2(a) through 2(f). 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. (Refer to the discussion of "netting of off-balance-sheet derivative contracts" in the definition section of Schedule HC-I, 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 reported in this item is the sum of the current exposure reported in item A103, and the potential future credit exposure reported in Schedule HC-J, Part II, Memorandum items 2(a) through 2(f), Columns A, B, C, after applying the appropriate credit conversion factor.
Includes any contracts contracted by the bank holding company or its subsidiaries with the securities affiliate.
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-J and by bank holding companies with Section 20 Securities Affiliates for the FR Y-9C report. This schedule is completed in conjunction with Schedule HC-I.
COMPARABILITY:
Prior to 6/30/91, reported as confidential.