1. Home
  2. Reporting Forms
  3. MRDM

Micro Data Reference Manual

Zip

Data Dictionary

You Searched For: CACV

CACV is a Confidential Series

MDRM Item Start Date End Date Item Name Reporting Forms
CACV9017 2020-06-30 9999-12-31 LEGAL NAME FR Y-14Q
CACV9224 2015-09-30 9999-12-31 LEGAL ENTITY IDENTIFIER FR Y-14Q
CACVH346 2015-03-31 9999-12-31 SUBMISSION TYPE FR Y-14Q
CACVJD56 2018-03-31 9999-12-31 New Notional During Quarter FR Y-14Q
CACVJD57 2018-03-31 9999-12-31 Weighted Average Maturity FR Y-14Q
CACVJD58 2018-03-31 9999-12-31 Position MTM FR Y-14Q
CACVJD59 2018-03-31 9999-12-31 Total Net Collateral FR Y-14Q
CACVJF39 2018-03-31 9999-12-31 Total Notional FR Y-14Q
CACVM899 2013-09-30 9999-12-31 RANK FR Y-14Q
CACVM900 2013-09-30 9999-12-31 COUNTERPARTY IDENTIFIERS - COUNTERPARTY NAME FR Y-14Q
CACVM901 2013-09-30 9999-12-31 Counterparty Information: Unique Identifier FR Y-14Q
CACVM902 2013-09-30 9999-12-31 COUNTERPARTY IDENTIFIERS - NETTING SET ID OPTIONAL FR Y-14Q
CACVM903 2013-09-30 9999-12-31 COUNTERPARTY IDENTIFIERS - SUB-NETTING SET ID OPTIONAL FR Y-14Q
CACVM904 2013-09-30 9999-12-31 COUNTERPARTY IDENTIFIERS - INDUSTRY FR Y-14Q
CACVM905 2013-09-30 9999-12-31 COUNTERPARTY IDENTIFIERS - COUNTRY FR Y-14Q
CACVM906 2013-09-30 9999-12-31 CREDIT QUALITY DATA - INTERNAL RATING FR Y-14Q
CACVM907 2013-09-30 9999-12-31 CREDIT QUALITY DATA - EXTERNAL RATING FR Y-14Q
CACVM908 2013-09-30 9999-12-31 EXPOSURE DATA - GROSS CE FR Y-14Q
CACVM909 2013-09-30 9999-12-31 EXPOSURE DATA - STRESSED GROSS CE FR SCENARIO SEVERELY ADVERSE FR Y-14Q
CACVM910 2013-09-30 2019-09-30 EXPOSURE DATA - STRESSED GROSS CE FR SCENARIO ADVERSE FR Y-14Q
CACVM911 2013-09-30 9999-12-31 EXPOSURE DATA - STRESSED GROSS CE BHC SCENARIO FR Y-14Q
CACVM912 2013-09-30 9999-12-31 EXPOSURE DATA - NET CE FR Y-14Q
CACVM913 2013-09-30 9999-12-31 EXPOSURE DATA - STRESSED NET CE FR SCENARIO SEVERELY ADVERSE FR Y-14Q
CACVM914 2013-09-30 2019-09-30 EXPOSURE DATA - STRESSED NET CE FR SCENARIO ADVERSE FR Y-14Q
CACVM915 2013-09-30 9999-12-31 EXPOSURE DATA - STRESSED NET CE BHC SCENARIO FR Y-14Q
CACVM916 2013-09-30 9999-12-31 CVA DATA - CVA FR Y-14Q
CACVM917 2013-09-30 9999-12-31 CVA DATA - STRESSED CVA FR SCENARIO AND FR SPECIFICATION SEVERELY ADVERSE FR Y-14Q
CACVM918 2013-09-30 2019-09-30 CVA DATA - STRESSED CVA FR SCENARIO AND FR SPECIFICATION ADVERSE FR Y-14Q
CACVM919 2015-09-30 9999-12-31 GROSS CE EXCLUDING CCPS FR Y-14Q
CACVM920 2015-09-30 9999-12-31 GROSS CE TO CCPS FR Y-14Q
CACVM921 2013-09-30 9999-12-31 CVA DATA - STRESSED CVA BHC SCENARIO AND BHC SPECIFICATION FR Y-14Q
CACVM922 2013-09-30 9999-12-31 CREDIT MITIGANTS - CSA IN PLACE? FR Y-14Q
CACVM923 2013-09-30 9999-12-31 CREDIT MITIGANTS - % GROSS CE WITH CSAS FR Y-14Q
CACVM924 2013-09-30 9999-12-31 CREDIT MITIGANTS - DOWNGRADE TRIGGER MODELED? FR Y-14Q
CACVM925 2013-09-30 9999-12-31 CREDIT HEDGES - SINGLE NAME CREDIT HEDGES FR Y-14Q
CACVM926 2015-09-30 9999-12-31 SUB SCHEDULE ID FR Y-14Q
CACVR620 2013-09-30 9999-12-31 INDUSTRY CODE FR Y-14Q

Glossary File:
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.
CLCO - Obligor
CLCG - Guarantor
CLCE - Entity
Back to Top
Last update: May 20, 2024