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Data Dictionary

Item Number M916

CVA DATA - CVA

Call confidentiality applies to FFIEC 031/041.

Series	Start Date	End Date	Confidential?	Reporting Forms
CACLM916	2013-09-30	9999-12-31	Yes	FR Y-14Q
CACVM916	2013-09-30	9999-12-31	Yes	FR Y-14Q

Data Description:

Report the balance of all CVA gross of hedges for asset-side unilateral CVA. Report CVA as a positive value. CVA is an adjustment made to the market or fair value of derivatives receivables to take into account the credit risk of a counterparty. This is different from Net CVA which would be equivalent to CVA less debt valuation adjustment DVA. Provide an explanation for counterparties where this does not hold e.g. adjustments. By requiring unilateral CVA the default risk of the counterparty should not be conditioned on the survival of the reporting institution. Please note that CVA hedges should be reported on Schedule A Worksheet 5 Trading.

Last update: Jun 12, 2024