Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8764

Call confidentiality applies to FFIEC 031/041.

Data Description:

Reported is a single current credit exposure amount for off-balance-sheet derivative contracts covered by the risk-based capital standards after considering applicable legally enforceable bilateral netting agreements. For purposes of this item, included is the current credit exposure for off-balance-sheet interest rate, foreign exchange, equity derivative, and commodity and other contracts. For descriptions of these contracts, refer to the instructions for Schedule RC-L, item 14. For banks that are subject to the market risk capital guidelines, exclude all covered positions subject to these guidelines, except for foreign exchange derivatives that are outside of the trading account and over-the-counter (OTC) derivatives. Foreign exchange derivatives that are outside of the trading account and all OTC derivatives continue to have a counterparty credit risk capital charge and, therefore, a current credit exposure amount.

For bank holding companies that are subject to the market risk capital guidelines, exclude all covered positions subject to these guidelines, except for foreign exchange derivatives that are outside of the trading account and all over-the-counter (OTC) derivatives. Foreign exchange derivatives that are outside of the trading account and all OTC derivatives continue to have a counterparty credit risk capital charge and, therefore, a current credit exposure amount.

Current credit exposure (sometimes referred to as the replacement cost) is the fair value of a contract when that fair value is positive. The current credit exposure is zero when the fair value is negative or zero. Current credit exposure should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the reporting entity and a counterparty. If such an agreement is in place, the fair values of all applicable off-balance-sheet derivative contracts with that counterparty that are included in the netting agreement are netted to a single amount subject to a minimum value of zero. Next, for all other contracts covered by the risk-based capital standards that have positive fair values, the total of the positive fair values is determined. Then reported in this item is the sum of (i) the net positive fair values of all applicable off-balance-sheet derivative contracts subject to legally enforceable bilateral netting agreements and (ii) the total positive fair values of all other contracts covered by the risk-based capital standards.

Consistent with the risk-based capital guidelines, if a bilateral netting agreement covers off-balance-sheet derivative contracts that are normally not covered by the risk-based capital standards (i.e., foreign exchange contracts with an original maturity of 14 calendar days or less and contracts traded on exchanges that requires daily payment of variation margin), the reporting entity may elect to consistently either include or exclude the fair values of all such derivative contracts when determining the net current credit exposure for that agreement.

The definition of a legally enforceable bilateral netting agreement for purposes of this item is the same as that set forth in the risk-based capital rules. These rules requires a written bilateral netting contract that creates a single legal obligation covering all included individual contracts and that does not contain a walkaway clause. The bilateral netting agreement must be supported by a written and reasoned legal opinion representing that an organization's claim or obligation, in the event of a legal challenge, including one resulting from default, insolvency, bankruptcy, or similar circumstances, would be found by the court and administrative authorities of all relevant jurisdictions to be the net sum of all positive and negative market values of contracts included in the bilateral netting contract. (Note: For the FR Y-9C report, see Instructions for Preparation of Reporting Form FR Y-9C, Schedule HC-I, or to the Federal Reserve's amended risk-based capital guidelines for a discussion of "netting of off-balance-sheet derivative contracts".)

NOTE:

Reported in Schedule RC-R for the FFIEC 031, 032, 033 and 034 reports.

Beginning 3/31/01, reported in Schedule HC-R for the FR Y-9 (BHCK) report.

Prior to 3/31/01, reported in Schedule HC-I for the FR Y-9C report. Also reported on a consolidated basis only by the top-tier bank holding company when the total consolidated assets of the company are $150 million or more.

Reported in the DB2 SURV01 table for "SURV".

For the UBPR series, the FDIC's Data Element name is H-NETCREXPO

BAGR Original Variable name: CCE Formula:

CCE=IF DT ge 20010331 THEN CCE = RCFD8764/1000;