Data Dictionary
Item Number C970
CREDIT DERIVATIVES: NOTIONAL AMOUNTS-TOTAL RETURN SWAPS-GUARANTORCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BHCKC970 | 2006-03-31 | 9999-12-31 | No | FR Y-9C |
| RCFDC970 | 2006-03-31 | 9999-12-31 | No | FFIEC 031 |
| RCONC970 | 2006-03-31 | 9999-12-31 | No | FFIEC 041 |
| UBPRC970 | 2006-03-31 | 9999-12-31 | No |
Data Description:
Report the notional amount of all total return swaps for which the bank is the protection seller. A total return swap transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection purchaser (beneficiary) receives a floating rate of interest and any depreciation on the reference asset from the protection seller. The protection seller (guarantor) has the opposite profile. The protection seller receives cash flows on the reference asset, plus any appreciation, and it pays any depreciation to the protection purchaser, plus a floating interest rate. A total return swap may terminate upon a default of the reference asset.
NOTE:
Reported on Schedule RC-L for the FFIEC 031 & FFIEC 041 reports.
Beginning in September 2008 reported on FFIEC 002.
For the UBPR series, the FDIC's Data Element name is H-CALLC970.
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).