Data Dictionary
Item Number S627
CENTRALLY CLEARED DERIVATIVESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| CACGS627 | 2014-09-30 | 2017-06-30 | Yes | FR Y-14A |
| CASSS627 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14A |
| CBPPS627 | 2015-12-31 | 9999-12-31 | Yes | FR Y-14A |
| CPSSS627 | 2014-09-30 | 9999-12-31 | Yes | FR Y-14A |
| CQCGS627 | 2014-09-30 | 2019-09-30 | Yes | FR Y-14Q |
Data Description:
Report the credit equivalent amount of centrally cleared derivative contracts covered by the regulatory capital rules. Include centrally cleared credit derivative contracts held for trading purposes and subject to the market risk capital rules. Do not include over-the-counter derivative contracts. The credit equivalent amount of a centrally cleared derivative contract is the sum of its current credit exposure plus the potential future exposure over the remaining life of the derivative contract, plus the fair value of collateral posted by the clearing member client bank and held by the central counterparty or a clearing member in a manner that is not bankruptcy remote. 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.