Data Dictionary
Item Number N507
DERIVATIVES AND OFF-BALANCE-SHEET ITEMS: COUNTERPARTY RISK EXPOSURES: COUNTERPARTY EXPOSURE OF SFTSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| AAAAN507 | 2016-09-30 | 9999-12-31 | No | FFIEC 101 |
| RISIN507 | 2020-06-30 | 9999-12-31 | No | FR Y-15 |
| RISKN507 | 2013-12-31 | 2013-12-31 | Yes | FR Y-15 |
| RISKN507 | 2014-12-31 | 9999-12-31 | No | FR Y-15 |
| RISON507 | 2020-06-30 | 9999-12-31 | No | FR Y-15 |
Data Description:
Report the counterparty exposure of SFTs. Counterparty exposure is determined as the gross value of cash provided and the gross fair value of securities provided to a counterparty for all transactions included within a qualifying master netting agreement, less the gross value of cash received and the gross fair value of securities received from the counterparty for those transactions (see the definition of "qualifying master netting agreement" in 12 CFR 225, Appendix F, section 2). The net value for each netting agreement is floored at zero. Where no qualifying master netting agreement is in place, the counterparty exposure value must be calculated on a transaction-by-transaction basis, with each SFT treated as its own netting set.