Data Dictionary
Item Number H009
COUNTERPARTY CREDIT RISK FOR ALL REPO-STYLE TRANSACTIONSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACTH009 | 2014-09-30 | 2017-06-30 | Yes | FR Y-14A |
| CQCDH009 | 2014-09-30 | 2019-09-30 | Yes | FR Y-14Q |
| CQLCH009 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14Q |
Data Description:
To determine the counterparty exposure for a repo-style transaction, including a transaction in which a banking organization acts as an agent for a customer and indemnifies the customer against loss, the banking organization would subtract the fair value of the instruments, gold, and cash received from a counterparty from the fair value of any instruments, gold and cash lent to the counterparty. If the resulting amount is greater than zero, it would be included in total leverage exposure. For repo-style transactions that are not subject to a qualifying master netting agreement or that are not cleared transactions, the counterparty exposure measure must be calculated on a transaction-by-transaction basis. However, if a qualifying master netting agreement is in place, or the transaction is a cleared transaction, the banking organization could net the total fair value of instruments, gold, and cash lent to a counterparty against the total fair value of instruments, gold and cash received from the counterparty for those transactions.