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Data Dictionary

Item Number R565

STRESSED CURRENT EXPOSURE - STRESSED NET CE FR SCENARIO (ADVERSE)

Call confidentiality applies to FFIEC 031/041.

Series	Start Date	End Date	Confidential?	Reporting Forms
CACSR565	2015-09-30	2019-09-30	Yes	FR Y-14Q

Data Description:

The full revaluation of Net CE for derivative exposures only under the FR stressed market environment - one value for each supervisory global market shock scenario. 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.

Last update: May 20, 2024