Data Dictionary
Item Number G597
NOTIONAL PRINCIPAL AMOUNTS OF DERIVATIVE CONTRACTS: CREDIT DERIVATIVE CONTRACTS, PURCHASED CREDIT PROTECTION THAT (A) IS A COVERED POSITION UNDER THE MARKET RISK RULE OR (B) IS NOT A COVERED POSITION UNDER THE MARKET RISK RULE AND IS NOT RECOGNIZED AS A GUARANTEE FOR RISK-BASED CAPITAL PURPOSES: INVESTMENT GRADE - WITH REMAINING MATURITY OF ONE YEAR OR LESS.Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| BAGRG597 | 2009-06-30 | 9999-12-31 | No | |
| BHCKG597 | 2009-06-30 | 2014-12-31 | No | FR Y-9C |
| RCFDG597 | 2009-06-30 | 2014-12-31 | No | FFIEC 031 |
| RCONG597 | 2009-06-30 | 2014-12-31 | No | FFIEC 041 |
Data Description:
Report the remaining maturities of those credit derivative contracts, where the bank is the protection purchaser (beneficiary) and the credit derivative contract is either (a) defined as a covered position under the market risk rule or (b) not defined as a covered position under the market risk rule and is not recognized as a guarantee for risk-based capital purposes, where the underlying reference asset is rated investment grade or, if not rated, is the equivalent of investment grade under the bank's internal credit rating system. Banks should report the full gross notional amount of all such credit derivative contracts.
FFIEC 031 Schedule RC-R LineItem memo 2.g.(1) col. A.
FFIEC 041 Schedule RC-R LineItem memo 2.g.(1) col. A.
BAGR Original Variable name: INVLT1YR Formula:
INVLT1YR=IF DT ge 20090630 Then INVLT1YR = RCFDG597/1000;