Board of Governors of the Federal Reserve System

Data Dictionary

Item Number A534

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the notional amount (stated in U.S. dollars) of all credit derivatives on which the bank has extended credit protection to other parties.

Credit derivatives are off-balance sheet arrangements that allow one party (the "beneficiary") to transfer the credit risk of a "reference asset" to another party (the "guarantor"). Also includes the notional amounts of credit default swaps, total rate of return swaps, and other credit derivative instruments.

All transactions within the consolidated bank are reported on a net basis, i.e., intrabank transactions are not to be reported in this item. No other netting of contracts is permitted for purposes of this item. Therefore, (1) credit derivatives with third parties on which the reporting bank is the beneficiary against credit derivatives with third parties on which the reporting bank is the guarantor, or (2) contracts subject to bilateral netting agreements are not to be netted. The notional amount are not to be included in items 14 through 17 of this schedule (Schedule L). Excludes all items which are required to be reported as assets or liabilities on the balance sheet of the Report of Condition (Schedule RC).

NOTE:

Reported on the DB2 SURH01 table.

Reported on the DB2 SURV01 table.

Reported in Schedule RC-L - Off-Balance Sheet Items for the FFIEC 031, 032, 033 and 034 reports.

Reported in Schedule HC-F for the FR Y-9C report until 20051231.

Beginning 03/31/06, became a derived item and include items C968, C970, C972, and C974.

Beginning 09/30/2008, derived for the FFIEC 002.

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

BAGR Original Variable name: CREDDVBG Formula:

CREDDVBG=IF DT ge 19970331 THEN CREDDVBG=RCFDA534/1000;