Data Dictionary
Item Number M919
GROSS CE EXCLUDING CCPSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACVM919 | 2015-09-30 | 9999-12-31 | Yes | FR Y-14Q |
Data Description:
Report Gross CE, which is defined as pre-collateral exposure after bilateral counterparty netting. Sometimes referred to as the replacement cost or current credit exposure, Gross CE is the fair value of a derivative contract when that fair value is positive. Gross CE is zero when the fair value is negative or zero. For purposes of this schedule, Gross CE to an individual counterparty should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the BHC and the counterparty. If such an agreement is in place, the fair values of all applicable derivative contracts with that counterparty that are included in the scope of the netting agreement are netted to a single amount, which may be positive, negative, or zero. Report Gross CE when the fair value is positive, report it as a zero when the fair value is negative or zero.