Data Dictionary
Item Number N511
TRADING AND AFS SECURITIES THAT MEET THE DEFINITION OF LEVEL 2 ASSETS, WITH HAIRCUTSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| RISIN511 | 2020-06-30 | 9999-12-31 | No | FR Y-15 |
| RISKN511 | 2013-12-31 | 2014-09-30 | Yes | FR Y-15 |
| RISKN511 | 2014-12-31 | 9999-12-31 | No | FR Y-15 |
| RISON511 | 2020-06-30 | 9999-12-31 | No | FR Y-15 |
Data Description:
Report the fair value, after applying haircuts, of all trading and AFS securities that qualify as Level 2 assets according to paragraphs 52 and 54 of the Basel III LCR (see Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools, available at www.bis.org/publ/bcbs238.pdf). Include qualifying securities even if they do not fulfill the LCR operational requirements outlined in paragraphs 31- 40. Level 2A, Level 2B RMBS, and Level 2B non-RMBS assets should be reported with haircuts of 15%, 25%, and 50%, respectively.