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Data Dictionary

Item Number M917

CVA DATA - STRESSED CVA FR SCENARIO AND FR SPECIFICATION SEVERELY ADVERSE

Call confidentiality applies to FFIEC 031/041.

Series	Start Date	End Date	Confidential?	Reporting Forms
CACLM917	2013-09-30	9999-12-31	Yes	FR Y-14Q
CACVM917	2013-09-30	9999-12-31	Yes	FR Y-14Q

Data Description:

The full revaluation of asset-side CVA under stressed conditions. Stressed CVA should incorporate the full revaluation of exposure probability of default PD and loss given default LGD under stressed conditions. Stressed CVA needs to be calculated for both the FR and BHC specifications under all the FR and BHC scenarios.

Last update: Jun 12, 2024