Data Dictionary
Item Number R060
UNSTRESSED VAR WITH MULTIPLIERSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACAR060 | 2014-09-30 | 2017-06-30 | Yes | FR Y-14A |
| CQACR060 | 2013-09-30 | 2014-06-30 | Yes | FR Y-14Q |
| CQCAR060 | 2014-06-30 | 2019-09-30 | Yes | FR Y-14Q |
| CQCCR060 | 2014-06-30 | 2019-09-30 | Yes | FR Y-14Q |
Data Description:
Stand-alone 10-day value-at-risk (VaR) calculated on the set of credit valuation adjustments (CVAs) for all Over- the-counter (OTC) derivatives counterparties together with eligible credit valuation adjustment (CVA) hedges. The reported value-at-risk should consist of both general and specific credit spread risks and is restricted to changes in the counterparties credit spreads. The bank must multiply the reported value-at-risk by three times, consistent with the approach used in calculating market risk capital charge (three-time multiplier). The 1.06 scaling factor does not apply. BHC should report 0 if it does not use the advanced credit value adjustment (CVA) approach.