Data Dictionary
Item Number 3808
INTEREST RATE CONTRACTS - REPLACEMENT COST (MARKET VALUE)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BAGR3808 | 1990-03-31 | 1994-12-31 | No | |
| BHCK3808 | 1990-09-30 | 1990-12-31 | Yes | FR Y-9C |
| BHCK3808 | 1991-03-31 | 1994-12-31 | No | FR Y-9C |
| RCFD3808 | 1990-03-31 | 1990-09-30 | Yes | Multiple Forms |
| RCFD3808 | 1990-12-31 | 1994-12-31 | No | Multiple Forms |
| RCON3808 | 1990-03-31 | 1990-09-30 | Yes | Multiple Forms |
| RCON3808 | 1990-12-31 | 1994-12-31 | No | Multiple Forms |
Data Description:
Includes the replacement cost for all interest rate contracts that have positive mark-to-market values (that is, the current exposure). Also includes the replacement cost for basis swaps. The replacement cost 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 measured in dollars, regardless of the currency or currencies specified in the contract, and reflects changes in both interest rates and counterpart credit quality.
Excludes exchange-traded contracts that requires daily payment of variation margin and written option contracts that, in substance, acts as financial guarantees. Also excludes commodity contracts. Such contracts are reported in item 3811.
NOTE:
For series RCFD & RCON, confidential for March, June, and September of the 1990 reporting period.
Also completed by banks that reported a zero in item 6056 and by banks with total assets of $1 billion or more.
For the FR Y-9C report, reported only by the top-tier bank holding companies with consolidated assets of $150 million or more.
COMPARABILITY:
Beginning 12/31/94, for the FR Y-9C (BHCK) report, netting of contracts with qualifying bilateral netting arrangements is not permitted.
Prior to 6/30/91, for the FR Y-9C (BHCK) report, this schedule (Schedule HC-I) is reported as confidential. Also reported by bank holding companies with consolidated assets of $150 million or more but less than $1 billion.
BAGR Original Variable name: IRCRC Formula:
IRCRC=IF DT ge 19950331 THEN IRCRC=.; IF DT 19900331 and DT lt 19950331 THEN IRCRC=RCFD3808/1000;