Data Dictionary
Item Number H005
LESS: EFFECTIVE NOTIONAL PRINCIPAL AMOUNT OFFSETS AND PFE ADJUSTMENTS FOR SOLD CREDIT PROTECTIONCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACTH005 | 2014-09-30 | 2017-06-30 | Yes | FR Y-14A |
| CQCDH005 | 2014-09-30 | 2019-09-30 | Yes | FR Y-14Q |
| CQLCH005 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14Q |
Data Description:
A banking organization may reduce the effective notional principal amount of sold credit protection by a reduction in the mark-to-fair value of the sold credit protection if the reduction is recognized in common equity tier 1 capital. A banking organization may further reduce the effective notional principal amount of sold credit protection by the effective notional principal amount of a credit derivative or similar instrument through which the banking organization has purchased credit protection from a third party (purchased credit protection) if the requirements of section 217.10 (c)(4)(ii)(D) of the proposal are satisfied. When a banking organization reduces the effective notional principal amount of sold credit protection by purchased credit protection in accordance with this section, the banking organization must reduce the effective notional principal amount of purchased credit protection by the amount of any increase in the mark-to-fair value of the purchased credit protection that is recognized in common equity tier 1 capital. If a banking organization purchases credit protection through a total return swap and records the net payments received as net income but does not record offsetting deterioration in the mark-to-fair value of the sold credit protection on the reference exposure (either through reductions in fair value or by additions to reserves) in common equity tier 1 capital, the banking organization may not reduce the effective notional principal amount of the sold credit protection. A banking organization may also adjust PFE for sold credit protection as described in section 217.10 (c)(4)(ii)(B) of the proposal, to avoid double-counting of the notional amounts of these exposures.