Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 3529

Call confidentiality applies to FFIEC 031/041.

Data Description:

For each interest rate, foreign exchange rate, or other off-balance sheet commodity or equity contract on which a required payment by the entity's counterparty is past due 30 through 89 days as of the report date, the replacement cost, i.e., the mark-to-market value, of the contract only if it is positive, is reported. These positive replacement costs should be reported in this item regardless of whether they have been reported as assets on the balance sheet (Schedule RC, for the FFIEC 031-032 reports and Schedule HC, for the FR Y-9C report). Does not include the replacement cost of those past due contracts with negative mark-to-market values.

The replacement cost of a contract is defined as the loss that would be incurred in the event of a counterpart default, as measured by the net cost of replacing the contract at current market rates. The replacement cost is to be measured in U.S. dollars, regardless of the currency or currencies specified in the contract, and should reflect changes in both interest rates and counterparty credit quality.

Positive replacement costs reported in this item for past due interest rate and foreign exchange rate contracts that are covered by the risk-based capital guidelines should also be included in the amounts reported in Schedule RC-R, for the FFIEC 031-032 reports and in Schedule HC-I, Part II, for the FR Y-9C report, memoranda item 8764.

NOTE:

For the FFIEC 041 report, this item is not applicable to banks that have less than $300 million in total assets.

Prior to 3/31/01, title was "Replacement Cost of Contracts With a Positive Replacement Cost Past Due 30 Through 89 Days".

Beginning 3/31/01, no longer reported as confidential for the Call Report. For RCFD (FFIEC 002), confidential 3/31/96 thru 3/31/01.

Beginning 3/31/96, reported on Schedule N (RCFD), for the FFIEC 002 report.

Reported on Schedule RC-N (RCFD and RCON), for the FFIEC 031, and 032 reports.

Reported on Schedule HC-N for the FR Y-9C (BHCK) report.

Prior to 3/31/01, reported on Schedule HC-H (BHCK), for the FR Y-9C report only by bank holding companies with total consolidated assets of $1 billion or more, or with $2 billion or more in par/notional amounts of interest rate, foreign exchange rate, and other commodity and equity contracts.

Also reported as confidential.

For series BHSP, the title is "Consolidated Foreign and Domestic Banking Deposits" and reflects the total consolidated foreign and domestic deposit reported by all of the bank holding company's subsidiary banks as reported on the bank's Call report.

BAGR Original Variable name: RCD1Q30 Formula:

RCD1Q30=IF DT ge 19940331 THEN RCD1Q30=RCFD3529/1000;