Data Dictionary
Item Number S626
OVER-THE-COUNTER DERIVATIVESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACGS626 | 2014-09-30 | 2017-06-30 | Yes | FR Y-14A |
| CASSS626 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14A |
| CBPPS626 | 2015-12-31 | 9999-12-31 | Yes | FR Y-14A |
| CPSSS626 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14A |
| CQCGS626 | 2014-09-30 | 2019-09-30 | Yes | FR Y-14Q |
Data Description:
Report the credit equivalent amount of over-the-counter derivative contracts covered by the regulatory capital rules. Include over-the-counter credit derivative contracts held for trading purposes and subject to the market risk capital rules. Do not include centrally cleared derivative contracts. The credit equivalent amount of an over-the-counter derivative contract is the sum of its current credit exposure plus the potential future exposure over the remaining life of the derivative contract (regardless of its current credit exposure, if any). The current credit exposure of a derivative contract is (1) the fair value of the contract when that fair value is positive and (2) zero when the fair value of the contract is negative or zero. The potential future credit exposure of a contract, which is based on the type of contract and the contracts remaining maturity, is determined by multiplying the notional principal amount of the contract by the appropriate credit conversion factor from the following chart.