Data Dictionary
Item Number A167
CREDIT EQUIVALENT AMOUNT OF OFF-BALANCE-SHEET DERIVATIVE CONTRACTSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BAGRA167 | 2001-03-31 | 9999-12-31 | No | |
| BHC0A167 | 1996-03-31 | 2014-12-31 | No | FR Y-9C |
| BHC2A167 | 1996-03-31 | 2014-12-31 | No | FR Y-9C |
| BHC5A167 | 1996-03-31 | 2014-12-31 | No | FR Y-9C |
| BHCEA167 | 2001-03-31 | 2014-12-31 | No | FR Y-9C |
| CASFA167 | 2013-09-30 | 2015-12-31 | Yes | FR Y-14A |
| CBPFA167 | 2015-12-31 | 2015-12-31 | Yes | FR Y-14A |
| CPSFA167 | 2013-09-30 | 2015-12-31 | Yes | FR Y-14A |
| RCFDA167 | 2001-03-31 | 2014-12-31 | No | FFIEC 031 |
| RCONA167 | 2001-03-31 | 2014-12-31 | No | FFIEC 041 |
Data Description:
The credit equivalent amount of off-balance-sheet derivative contracts is the sum of the mark-to-market value (positive values only) of each contract (that is, the current exposure) and an estimate of the potential future credit exposure over the remaining life of each contract. When determining the current exposure for off-balance-sheet contracts subject to qualifying bilateral netting arrangements pursuant to the Federal Reserve's risk-based capital guidelines, the positive mark-to-market values, subject to a minimum value of zero. The potential future credit exposure of an off-balance-sheet derivative contract is estimated by multiplying the notional principal amount by the appropriate credit conversion factor that is based on the remaining maturity of the contract. The credit conversion factors for off-balance-sheet derivative contracts are discussed in the instructions to Schedule HC-I, Part II, Memorandum items 2(a) through 2(f). However, bank holding companies are permitted to recognize a reduction in the potential future credit exposure for transactions subject to qualifying bilateral netting arrangements by applying a formula that will produce an adjusted potential future credit exposure. For more detail about applying the formula for reducing the amount of the add-on for the potential future credit exposure, refer to the discussion of "netting of off-balance-sheet derivative contracts" in the definition section of Instructions for Preparation of Reporting Form FR Y-9C Schedule HC-I, or to the Federal Reserve's amended risk-based capital guidelines. The credit equivalent amount reported in this item is the sum of the current exposure of off-balance-sheet derivative contracts reported in Schedule HC-I, Part II, Memorandum item 1 (8764), and the potential future credit exposure of off-balance-sheet derivative contracts reported in Schedule HC-I, Part II, Memorandum items 2(a) through 2(f), Columns A, B, C, after applying the appropriate credit conversion factor.
COMPARABILITY:
Beginning 3/31/01, for series RCFD and RCON, report in column B the credit equivalent amount of derivative contracts covered by the risk-based capital guidelines. Under these guidelines, the maximum risk weight to be applied to the credit equivalent amount of any derivative contract is 50 percent.
NOTE:
Reported on Schedule RC-R Regulatory Capital for the FFIEC 031 and 041 reports.
Reported on Schedule HC-R for the FR Y-9C (BHCK) report.
Prior to 3/31/01, reported on Schedule HC-I, Part II, by the top-tier bank holding companies with consolidated assets of $150 million or more for the FR Y-9C report.
BAGR Original Variable name: DCONCEA Formula:
DCONCEA=IF DT ge 20010331 THEN DCONCEA = RCFDA167/1000;