Data Dictionary
Item Number C968
CREDIT DERIVATIVES: NOTIONAL AMOUNTS-CREDIT DEFAULT SWAPS-GUARANTORCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BHCKC968 | 2006-03-31 | 9999-12-31 | No | FR Y-9C |
| RCFDC968 | 2006-03-31 | 9999-12-31 | No | FFIEC 031 |
| RCONC968 | 2006-03-31 | 9999-12-31 | No | FFIEC 041 |
| UBPRC968 | 2001-03-31 | 9999-12-31 | No |
Data Description:
Report the notional amount of all credit default swaps for which the bank is the protection seller. A credit default swap is a contract in which a protection seller or guarantor (risk taker), for a fee, agrees to reimburse a protection purchaser or beneficiary (risk hedger) for any losses that occur due to a credit event on a particular entity, called the "reference entity." If there is no credit default event (as defined by the derivative contract), then the protection seller makes no payments to the protection purchaser and receives only the contractually specified fee. Under standard industry definitions, a credit event is normally defined to include bankruptcy, failure to pay, and restructuring. Other potential credit events include obligation acceleration, obligation default, and repudiation/moratorium
NOTE:
Reported on Schedule RC-L for the FFIEC 031 & FFIEC 041 reports.
Beginning in September 2008 reported on FFIEC 002.
UBPR DERIVATION -- IF UBPRC752 = '31' AND UBPR9999 >= '2006-03-31' THEN RCFDC968 ELSE IF UBPRC752 = '41' AND UBPR9999 >= '2006-03-31' THEN RCONC968 END IF END IF
This variable is used by the FDIC and OCC in the process to generate the UBPR in the Central Data Repository (CDR). The Board does NOT store this MDRM within the UBPR series tables in the Board's Financial Data Repository (FDR).