Data Dictionary
Item Number R562
STRESSED CURRENT EXPOSURE - TOTAL STRESSED NET CE FR SCENARIO (SEVERELY ADVERSE)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACSR562 | 2015-09-30 | 9999-12-31 | Yes | FR Y-14Q |
Data Description:
The full revaluation of Net CE for both derivative and SFT exposures to the legal entity under the FR stressed market environment - one value for each supervisory global market shock scenario. This amount should only be reported once per legal entity. The global market shock should be applied to all assets, including collateral, prior to application of the max function. For a single netting agreement, this is calculated as the greater of zero and the difference between the aggregate stressed mark-to-market value of securities or cash posted to the counterparty legal entity and the aggregate stressed mark-to-market value of securities or cash received from that counterparty legal entity. This item is intended to capture all exposures (both SFTs and derivatives) to a consolidated counterparty and reported at the legal-entity level. If there are also SFT exposures to a consolidated counterparty reported on this sub-schedule, the SFT amounts must also be reported for each legal entity to which there are SFT exposures and included in the Total Net Stressed CE item, even though the SFT exposures are not included in any derivative agreement with that legal entity. If there are both derivative and SFT exposures to a given legal entity, only the agreement details associated with the derivative exposures should be reported. Please note that any exposure type (SFTs or derivatives) to the consolidated counterparty must be reported. So if there are only SFT exposures to a legal entity, that legal entity must be reported and the associated stressed SFT Net CE amount would be reported in the Total Net Stressed CE item and 0 would be reported in the Net Stressed CE item; the agreement details would be left blank.