Data Dictionary
Item Number M877
CREDIT DERIVATIVES (BY REFERENCE ENTITY): GROSS-GROSS: TOTAL CREDIT DERIVATIVES SOLDCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CEXAM877 | 2013-12-31 | 9999-12-31 | No | FFIEC 009a |
| FCEXM877 | 2013-12-31 | 9999-12-31 | Yes | FFIEC 009 |
Data Description:
FFIEC009 (FCEX) - Report in Columns 3 through 6, by country of the underlying reference entity, the notional value of all outstanding credit derivatives sold and of those credit derivatives purchased that are not reported as a risk transfer in Schedule C, Parts 1 and II (see Section II.H.1). Credit protection purchased to hedge/offset credit protection sold, or for speculative purposes, should be excluded as a risk transfer from Schedule C, Parts I and II, and reported in Columns 3 and 5 of Schedule O, as appropriate.
1. Gross-Gross (Columns 3 and 4)
Report in Columns 3 and 4 the gross notional value of credit derivatives purchased and sold opposite the country of the underlying reference entity. Report in Column 4, by country of the ultimate obligor of the reference credit, all credit derivatives where the respondent is a protection seller (see Section II.H). For example, if a reporter is a guarantor providing credit risk protection to a U.K. bank for a claim on an Argentine bank, by means of a credit derivative, the reporter would report the notional amount in Column 4 in the row for Argentina.
FFIEC009a (CEXA) - Credit Derivatives (By Reference Entity) ---- Gross-Gross Report in Column 22, by country of the underlying reference asset, the notional value of total credit derivatives sold. The amounts are included on the FFIEC 009 report on Schedule O, Column 4.