Data Dictionary
You Searched For: CACS
CACS is a Confidential Series
| MDRM Item | Start Date | End Date | Item Name | Reporting Forms |
|---|---|---|---|---|
| CACS9017 | 2015-09-30 | 9999-12-31 | LEGAL NAME | FR Y-14Q |
| CACS9224 | 2015-09-30 | 9999-12-31 | LEGAL ENTITY IDENTIFIER | FR Y-14Q |
| CACSJD60 | 2018-03-31 | 9999-12-31 | Rank Methodology | FR Y-14Q |
| CACSJD61 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Vanilla Interest Rate Derivatives, MtM | FR Y-14Q |
| CACSJD62 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Vanilla FX Derivatives, MtM | FR Y-14Q |
| CACSJD63 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Vanilla Commodity (Cash) Derivatives MtM | FR Y-14Q |
| CACSJD64 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Vanilla Credit Derivatives, MtM | FR Y-14Q |
| CACSJD65 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Vanilla Equity Derivatives, MtM | FR Y-14Q |
| CACSJD66 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Structured Interest Rate Derivatives, MtM | FR Y-14Q |
| CACSJD67 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Flow Exotic and Structured FX Derivatives, MtM | FR Y-14Q |
| CACSJD68 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Other Cash + Physical Commodity Derivatives MtM | FR Y-14Q |
| CACSJD69 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Other (single name) Credit Derivatives, MtM | FR Y-14Q |
| CACSJD70 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Structured (Multi-name) Credit Derivatives, MtM | FR Y-14Q |
| CACSJD71 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Exotic Equity Derivatives, MtM | FR Y-14Q |
| CACSJD72 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Hybrids MtM | FR Y-14Q |
| CACSJD73 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Structured Products (MBS, ABS) | FR Y-14Q |
| CACSJD74 | 2018-03-31 | 2019-09-30 | Stressed Exposure MtM by Asset category - Other MtM (provide details, breakdown) | FR Y-14Q |
| CACSJF40 | 2018-03-31 | 9999-12-31 | Net CE Derivatives | FR Y-14Q |
| CACSJF43 | 2018-03-31 | 9999-12-31 | Unstressed MtM Cash Collateral (Derivatives) - USD | FR Y-14Q |
| CACSJF44 | 2018-03-31 | 9999-12-31 | Unstressed MtM Cash Collateral (Derivatives) - EUR | FR Y-14Q |
| CACSJF45 | 2018-03-31 | 9999-12-31 | Unstressed MtM Cash Collateral (Derivatives) - GBP | FR Y-14Q |
| CACSJF46 | 2018-03-31 | 9999-12-31 | Unstressed MtM Cash Collateral (Derivatives) - JPY | FR Y-14Q |
| CACSJF47 | 2018-03-31 | 9999-12-31 | Unstressed MtM Cash Collateral (Derivatives) - Other | FR Y-14Q |
| CACSJF48 | 2018-03-31 | 9999-12-31 | Stressed (Severely Adverse) MtM Cash Collateral (Derivatives) - USD | FR Y-14Q |
| CACSJF49 | 2018-03-31 | 9999-12-31 | Stressed (Severely Adverse) MtM Cash Collateral (Derivatives) - EUR | FR Y-14Q |
| CACSJF50 | 2018-03-31 | 9999-12-31 | Stressed (Severely Adverse) MtM Cash Collateral (Derivatives) - GBP | FR Y-14Q |
| CACSJF51 | 2018-03-31 | 9999-12-31 | Stressed (Severely Adverse) MtM Cash Collateral (Derivatives) - JPY | FR Y-14Q |
| CACSJF52 | 2018-03-31 | 9999-12-31 | Stressed (Severely Adverse) MtM Cash Collateral (Derivatives) - Other | FR Y-14Q |
| CACSJF53 | 2018-03-31 | 2019-09-30 | Stressed (Adverse) MtM Cash Collateral (Derivatives) - USD | FR Y-14Q |
| CACSJF54 | 2018-03-31 | 2019-09-30 | Stressed (Adverse) MtM Cash Collateral (Derivatives) - EUR | FR Y-14Q |
| CACSJF55 | 2018-03-31 | 2019-09-30 | Stressed (Adverse) MtM Cash Collateral (Derivatives) - GBP | FR Y-14Q |
| CACSJF56 | 2018-03-31 | 2019-09-30 | Stressed (Adverse) MtM Cash Collateral (Derivatives) - JPY | FR Y-14Q |
| CACSJF57 | 2018-03-31 | 2019-09-30 | Stressed (Adverse) MtM Cash Collateral (Derivatives) - Other | FR Y-14Q |
| CACSM899 | 2015-09-30 | 9999-12-31 | RANK | FR Y-14Q |
| CACSM900 | 2015-09-30 | 9999-12-31 | COUNTERPARTY IDENTIFIERS - COUNTERPARTY NAME | FR Y-14Q |
| CACSM902 | 2015-09-30 | 9999-12-31 | COUNTERPARTY IDENTIFIERS - NETTING SET ID OPTIONAL | FR Y-14Q |
| CACSM904 | 2015-09-30 | 9999-12-31 | COUNTERPARTY IDENTIFIERS - INDUSTRY | FR Y-14Q |
| CACSM905 | 2015-09-30 | 9999-12-31 | COUNTERPARTY IDENTIFIERS - COUNTRY | FR Y-14Q |
| CACSM906 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY DATA - INTERNAL RATING | FR Y-14Q |
| CACSM926 | 2013-09-30 | 9999-12-31 | SUB SCHEDULE ID | FR Y-14Q |
| CACSR550 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - CSA TYPE | FR Y-14Q |
| CACSR551 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - INDEPENDENT AMOUNT (NON CCP) OR INITIAL MARGIN (CCP) | FR Y-14Q |
| CACSR552 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - NON-CASH COLLATERAL TYPE | FR Y-14Q |
| CACSR553 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - EXCESS VARIATION MARGIN (FOR CCPS) | FR Y-14Q |
| CACSR554 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - DEFAULT FUND (FOR CCPS) | FR Y-14Q |
| CACSR555 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - THRESHOLD CP | FR Y-14Q |
| CACSR556 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - THRESHOLD BHC | FR Y-14Q |
| CACSR557 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - MINIMUM TRANSFER AMOUNT CP | FR Y-14Q |
| CACSR558 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - MINIMUM TRANSFER AMOUNT BHC | FR Y-14Q |
| CACSR559 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - MARGINING FREQUENCY | FR Y-14Q |
| CACSR560 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - CSA CONTRACTUAL FEATURES (NON-VANILLA) | FR Y-14Q |
| CACSR561 | 2015-09-30 | 9999-12-31 | NETTING AGREEMENT DETAILS - WWR POSITION | FR Y-14Q |
| CACSR562 | 2015-09-30 | 9999-12-31 | STRESSED CURRENT EXPOSURE - TOTAL STRESSED NET CE FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR563 | 2015-09-30 | 9999-12-31 | STRESSED CURRENT EXPOSURE - TOTAL STRESSED NET CE FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR564 | 2015-09-30 | 9999-12-31 | STRESSED CURRENT EXPOSURE - STRESSED NET CE FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR565 | 2015-09-30 | 2019-09-30 | STRESSED CURRENT EXPOSURE - STRESSED NET CE FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR566 | 2015-09-30 | 9999-12-31 | EXPOSURE MTM VALUES - UNSTRESSED MTM EXPOSURE | FR Y-14Q |
| CACSR567 | 2015-09-30 | 9999-12-31 | EXPOSURE MTM VALUES - STRESSED EXPOSURE MTM FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR568 | 2015-09-30 | 2019-09-30 | EXPOSURE MTM VALUES - STRESSED EXPOSURE MTM FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR569 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - TOTAL UNSTRESSED MTM CASH COLLATERAL (NON CCPS) | FR Y-14Q |
| CACSR570 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - USD | FR Y-14Q |
| CACSR571 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - EUR | FR Y-14Q |
| CACSR572 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - GBP | FR Y-14Q |
| CACSR573 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - JPY | FR Y-14Q |
| CACSR574 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - CASH COLLATERAL (NON CCPS) OR VARIATION MARGIN (CCPS) MTM - OTHER | FR Y-14Q |
| CACSR575 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - TOTAL UNSTRESSED MTM COLLATERAL (NON CCPS) | FR Y-14Q |
| CACSR576 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - STRESSED CASH COLLATERAL MTM FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR577 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - STRESSED CASH COLLATERAL MTM FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR578 | 2015-09-30 | 9999-12-31 | COLLATERAL MTM VALUES - STRESSED TOTAL COLLATERAL MTM FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR579 | 2015-09-30 | 2019-09-30 | COLLATERAL MTM VALUES - STRESSED TOTAL COLLATERAL MTM FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR580 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS REFERENCE ENTITY TYPE | FR Y-14Q |
| CACSR581 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - 5Y CDS SPREAD (BP) | FR Y-14Q |
| CACSR582 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS RECOVERY | FR Y-14Q |
| CACSR583 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - WWR HEDGE? | FR Y-14Q |
| CACSR584 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS HEDGE NOTIONAL | FR Y-14Q |
| CACSR585 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS HEDGE CR01 | FR Y-14Q |
| CACSR586 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - 5Y CDS STRESSED SPREAD FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR587 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - 5Y CDS STRESSED SPREAD FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR588 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS HEDGE STRESSED CR01 FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR589 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - CDS HEDGE STRESSED CR01 FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR590 | 2015-09-30 | 9999-12-31 | CREDIT QUALITY AND CDS HEDGES - STRESSED CVA FR SCENARIO (SEVERELY ADVERSE) | FR Y-14Q |
| CACSR591 | 2015-09-30 | 2019-09-30 | CREDIT QUALITY AND CDS HEDGES - STRESSED CVA FR SCENARIO (ADVERSE) | FR Y-14Q |
| CACSR592 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA INTEREST RATE DERIVATIVES, MTM | FR Y-14Q |
| CACSR593 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA FX DERIVATIVES, MTM | FR Y-14Q |
| CACSR594 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA COMMODITY (CASH) DERIVATIVES MTM | FR Y-14Q |
| CACSR595 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR596 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA EQUITY DERIVATIVES, MTM | FR Y-14Q |
| CACSR597 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED INTEREST RATE DERIVATIVES, MTM | FR Y-14Q |
| CACSR598 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - FLOW EXOTIC AND STRUCTURED FX DERIVATIVES, MTM | FR Y-14Q |
| CACSR599 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER CASH + PHYSICAL COMMODITY DERIVATIVES MTM | FR Y-14Q |
| CACSR600 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER (SINGLE NAME) CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR601 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED (MULTI-NAME) CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR602 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - EXOTIC EQUITY DERIVATIVES, MTM | FR Y-14Q |
| CACSR603 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - HYBRIDS MTM | FR Y-14Q |
| CACSR604 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED PRODUCTS (MBS, ABS) | FR Y-14Q |
| CACSR605 | 2015-09-30 | 9999-12-31 | UNSTRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER MTM (PROVIDE DETAILS, BREAKDOWN) | FR Y-14Q |
| CACSR606 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA INTEREST RATE DERIVATIVES, MTM | FR Y-14Q |
| CACSR607 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA FX DERIVATIVES, MTM | FR Y-14Q |
| CACSR608 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA COMMODITY (CASH) DERIVATIVES MTM | FR Y-14Q |
| CACSR609 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR610 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - VANILLA EQUITY DERIVATIVES, MTM | FR Y-14Q |
| CACSR611 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED INTEREST RATE DERIVATIVES, MTM | FR Y-14Q |
| CACSR612 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - FLOW EXOTIC AND STRUCTURED FX DERIVATIVES, MTM | FR Y-14Q |
| CACSR613 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER CASH + PHYSICAL COMMODITY DERIVATIVES MTM | FR Y-14Q |
| CACSR614 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER (SINGLE NAME) CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR615 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED (MULTI-NAME) CREDIT DERIVATIVES, MTM | FR Y-14Q |
| CACSR616 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - EXOTIC EQUITY DERIVATIVES, MTM | FR Y-14Q |
| CACSR617 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - HYBRIDS MTM | FR Y-14Q |
| CACSR618 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - STRUCTURED PRODUCTS (MBS, ABS) | FR Y-14Q |
| CACSR619 | 2015-09-30 | 9999-12-31 | PARENT/CONSOLIDATED ENTITY CP ID | FR Y-14Q |
| CACSR620 | 2013-09-30 | 9999-12-31 | INDUSTRY CODE | FR Y-14Q |
| CACSR621 | 2013-09-30 | 9999-12-31 | INTERNAL ENTITY ID | FR Y-14Q |
| CACSR655 | 2015-09-30 | 9999-12-31 | STRESSED EXPOSURE MTM BY ASSET CATEGORY - OTHER MTM (PROVIDE DETAILS, BREAKDOWN) | FR Y-14Q |
| Glossary File: |
| CLCO - Obligor CLCG - Guarantor CLCE - Entity |
| This sub-schedule should be used to list and define the variables included in the BHC baseline and BHC stress scenarios, as well as, any additional BHC scenarios reported. - The sub-schedule provides space for the supervisory baseline scenario, supervisory adverse scenario, supervisory severely adverse scenario, BHC baseline scenario, and BHC stress scenario, as well as, space for an additional scenario. The sections for the BHC baseline and BHC stress scenarios must be completed. If no additional scenarios are provided, then this section of the sub-schedule may be left blank. If one or more additional scenarios are provided, then a section should be created for each additional scenario and labeled accordingly (Additional Scenario #1; Additional Scenario #2; etc.) - For each scenario, list the variables included in the scenario in the column titled "Variable Name." - Variable definitions should be provided in the column titled "Variable Definition." Variable definitions should include a description of the variable and the denomination and/or frequency of the variable (e.g., "Billions of 2005 dollars" or "in percent, average of monthly values"). - The forecasts and historical data for all the scenario variables are constructed on the same basis. Thus, if a variable is, over history, constructed as an average, its forecast should be interpreted as an average as well. For reference, below are the definitions (i.e. period-average or period-end) of the financial market variables in the scenario: o U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary market rate discount basis. o U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds. o U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds. o U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data. o U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones. o U.S. Market Volatility Index (VIX): Chicago Board Options Exchange converted to quarterly by using the maximum value in any quarter. - For convenience, the sub-schedule provides space for 10 variables per scenario, but any number of variables may be reported, depending on the variables actually used in the scenario. Extra lines may be created as needed. The same variables do not necessarily have to be included in each scenario. - Firms should include all economic and financial market variables that were important in projecting results, including those that affect only a subset of portfolios or positions. For example, if asset prices had a meaningful impact, the assumed level of the equity market and interest rates should be included, or if bankruptcy filings affect credit card loss estimates, then the assumed levels of these should be reported. - For additional variables generated for the supervisory adverse scenario or supervisory severely adverse scenario, BHCs should set the paths to be as consistent as possible with the paths of the variables already specified in the scenario. - Firms should also include any variables capturing regional or local economic or asset value conditions, such as regional unemployment rates or housing prices, if these were used in the projections. - Firms should include historical data, as well as projections, for any macroeconomic, regional, local, or financial market variables that are not generally available. Historical data for these variables can be included in a separate sub-schedule. |