Data Dictionary
You Searched For: CQAC
CQAC is a Confidential Series
| MDRM Item | Start Date | End Date | Item Name | Reporting Forms |
|---|---|---|---|---|
| CQACA223 | 2013-09-30 | 2014-06-30 | RISK-WEIGHTED ASSETS (NET OF ALLOWANCES AND OTHER DEDUCTIONS) | FR Y-14Q |
| CQACJ152 | 2014-09-30 | 2019-09-30 | EXCESS ELIGIBLE CREDIT RESERVES NOT INCLUDED IN TIER 2 CAPITAL | FR Y-14Q |
| CQACJ154 | 2014-09-30 | 2019-09-30 | OPERATIONAL RISK | FR Y-14Q |
| CQACJ198 | 2014-06-30 | 2019-09-30 | ASSETS SUBJECT TO THE GENERAL RISK-BASED CAPITAL (RBC) REQUIREMENTS | FR Y-14Q |
| CQACN786 | 2013-09-30 | 2014-06-30 | RWA PER STANDARDIZED APPROACH | FR Y-14Q |
| CQACN807 | 2013-09-30 | 2014-06-30 | SECURITIZATION EXPOSURES | FR Y-14Q |
| CQACN808 | 2013-09-30 | 2014-06-30 | EQUITY EXPOSURES | FR Y-14Q |
| CQACN809 | 2013-09-30 | 2014-06-30 | OTHER CREDIT RISK | FR Y-14Q |
| CQACN810 | 2014-09-30 | 2019-09-30 | MARKET RWA | FR Y-14Q |
| CQACN815 | 2013-09-30 | 2014-06-30 | NON-MODELED SECURITIZATION | FR Y-14Q |
| CQACN816 | 2013-09-30 | 2014-06-30 | NON-MODELED SECURITIZATION - NET LONG | FR Y-14Q |
| CQACN817 | 2013-09-30 | 2014-06-30 | NON-MODELED SECURITIZATION - NET SHORT | FR Y-14Q |
| CQACN818 | 2014-09-30 | 2019-09-30 | SPECIFIC RISK ADD-ON (EXCLUDING SECURITIZATION AND CORRELATION) | FR Y-14Q |
| CQACN819 | 2014-09-30 | 9999-12-31 | SPECIFIC RISK ADD-ON - SOVEREIGN DEBT POSITIONS | FR Y-14Q |
| CQACN820 | 2014-09-30 | 9999-12-31 | SPECIFIC RISK ADD-ON - GOVERNMENT SPONSORED ENTITY DEBT POSITIONS | FR Y-14Q |
| CQACN821 | 2014-09-30 | 9999-12-31 | SPECIFIC RISK ADD-ON - DEPOSITORY INSTITUTION, FOREIGN BANK, AND CREDIT UNION DEBT POSITIONS | FR Y-14Q |
| CQACN822 | 2014-09-30 | 9999-12-31 | SPECIFIC RISK ADD-ON - PUBLIC SECTOR ENTITY DEBT POSITIONS | FR Y-14Q |
| CQACN823 | 2014-09-30 | 9999-12-31 | SPECIFIC RISK ADD-ON - CORPORATE DEBT POSITIONS | FR Y-14Q |
| CQACN824 | 2014-09-30 | 2019-09-30 | SPECIFIC RISK ADD-ON - EQUITY | FR Y-14Q |
| CQACN826 | 2014-06-30 | 2019-09-30 | OTHER RWA | FR Y-14Q |
| CQACN835 | 2014-09-30 | 2019-09-30 | ADVANCED APPROACHES CREDIT RWA | FR Y-14Q |
| CQACN836 | 2014-09-30 | 2019-09-30 | WHOLESALE EXPOSURES | FR Y-14Q |
| CQACN838 | 2014-09-30 | 2019-09-30 | CORPORATE - RWA | FR Y-14Q |
| CQACN840 | 2014-09-30 | 2019-09-30 | BANK - RWA | FR Y-14Q |
| CQACN842 | 2014-09-30 | 2019-09-30 | SOVEREIGN - RWA | FR Y-14Q |
| CQACN844 | 2014-09-30 | 2019-09-30 | IPRE - RWA | FR Y-14Q |
| CQACN846 | 2014-09-30 | 2019-09-30 | HVCRE - RWA | FR Y-14Q |
| CQACN847 | 2014-09-30 | 2019-09-30 | COUNTERPARTY CREDIT RISK | FR Y-14Q |
| CQACN848 | 2014-09-30 | 2019-09-30 | RWA OF ELIGIBLE MARGIN LOANS, REPOSTYLE TRANSACTIONS AND OTC DERIVATIVES WITH CROSSPRODUCT NETTING - EAD ADJUSTMENT METHOD | FR Y-14Q |
| CQACN849 | 2014-09-30 | 2019-09-30 | RWA OF ELIGIBLE MARGIN LOANS, REPOSTYLE TRANSACTIONS AND OTC DERIVATIVES WITH CROSSPRODUCT NETTING - COLLATERAL REFLECTED IN LGD | FR Y-14Q |
| CQACN850 | 2014-09-30 | 2019-09-30 | RWA OF ELIGIBLE MARGIN LOANS, REPOSTYLE TRANSACTIONS - NO CROSS-PRODUCT NETTING - EAD ADJUSTMENT METHOD | FR Y-14Q |
| CQACN851 | 2014-09-30 | 2019-09-30 | RWA OF ELIGIBLE MARGIN LOANS, REPOSTYLE TRANSACTIONS - NO CROSS-PRODUCT NETTING - COLLATERAL REFLECTED IN LGD | FR Y-14Q |
| CQACN852 | 2014-09-30 | 2019-09-30 | RWA OF OTC DERIVATIVES - NO CROSS-PRODUCT NETTING - EAD ADJUSTMENT METHOD | FR Y-14Q |
| CQACN853 | 2014-09-30 | 2019-09-30 | RWA OF OTC DERIVATIVES - NO CROSSPRODUCT NETTING - COLLATERAL REFLECTED IN LGD | FR Y-14Q |
| CQACN854 | 2014-09-30 | 2019-09-30 | RETAIL EXPOSURES | FR Y-14Q |
| CQACN856 | 2014-09-30 | 2019-09-30 | RESIDENTIAL MORTGAGE - CLOSED-END FIRST LIEN EXPOSURES - RWA | FR Y-14Q |
| CQACN858 | 2014-09-30 | 2019-09-30 | RESIDENTIAL MORTGAGE - CLOSED-END JUNIOR LIEN EXPOSURES - RWA | FR Y-14Q |
| CQACN860 | 2014-09-30 | 2019-09-30 | RESIDENTIAL MORTGAGE - REVOLVING EXPOSURES - RWA | FR Y-14Q |
| CQACN862 | 2014-09-30 | 2019-09-30 | QUALIFYING REVOLVING EXPOSURES - RWA | FR Y-14Q |
| CQACN864 | 2014-09-30 | 2019-09-30 | OTHER RETAIL EXPOSURES - RWA | FR Y-14Q |
| CQACN867 | 2014-09-30 | 2019-09-30 | SECURITIZATION EXPOSURES (REVISED REGULATORY CAPITAL RULE, JULY 2013) | FR Y-14Q |
| CQACN869 | 2014-09-30 | 2019-09-30 | SUBJECT TO SUPERVISORY FORMULA APPROACH (SFA) - RWA | FR Y-14Q |
| CQACN871 | 2014-09-30 | 2019-09-30 | SUBJECT TO SIMPLIFIED SUPERVISORY FORMULA APPROACH (SSFA) - RWA | FR Y-14Q |
| CQACN873 | 2014-09-30 | 2019-09-30 | SUBJECT TO 1,250 PERCENT RISK-WEIGHT - RWA | FR Y-14Q |
| CQACN874 | 2014-09-30 | 2019-09-30 | CLEARED TRANSACTIONS (REVISED REGULATORY CAPITAL RULE, JULY 2013) | FR Y-14Q |
| CQACN876 | 2014-09-30 | 2019-09-30 | DERIVATIVE CONTRACTS AND NETTING SETS TO DERIVATIVES - RWA | FR Y-14Q |
| CQACN878 | 2014-09-30 | 2019-09-30 | REPO-STYLE TRANSACTIONS - RWA | FR Y-14Q |
| CQACN880 | 2014-09-30 | 2019-09-30 | DEFAULT FUND CONTRIBUTIONS - RWA | FR Y-14Q |
| CQACN881 | 2014-09-30 | 2019-09-30 | EQUITY EXPOSURES RWA | FR Y-14Q |
| CQACN883 | 2014-09-30 | 2019-09-30 | OTHER ASSETS - RWA | FR Y-14Q |
| CQACP206 | 2013-09-30 | 2014-06-30 | VALUE AT RISK (VAR) WITH MULTIPLIERS | FR Y-14Q |
| CQACP207 | 2013-09-30 | 2014-06-30 | STRESSED VALUE-AT-RISK (VAR) WITH MULTIPLIERS | FR Y-14Q |
| CQACP208 | 2013-09-30 | 2014-06-30 | INCREMENTAL RISK CAPITAL CHARGE (IRC) | FR Y-14Q |
| CQACP209 | 2013-09-30 | 2014-06-30 | CORRELATION TRADING | FR Y-14Q |
| CQACP210 | 2013-09-30 | 2014-06-30 | CORRELATION TRADING: COMPREHENSIVE RISK MEASUREMENT (CRM), BEFORE APPLICATION OF SURCHARGE | FR Y-14Q |
| CQACP211 | 2013-09-30 | 2014-06-30 | CORRELATION TRADING: STANDARDIZED MEASUREMENT METHOD (100%) FOR EXPOSURES SUBJECT TO COMPREHENSIVE RISK MEASUREMENT (CRM) | FR Y-14Q |
| CQACP212 | 2013-09-30 | 2014-06-30 | CORRELATION TRADING: STANDARDIZED MEASUREMENT METHOD (100%) FOR EXPOSURES SUBJECT TO COMPREHENSIVE RISK MEASUREMENT (CRM) - NET LONG | FR Y-14Q |
| CQACP213 | 2013-09-30 | 2014-06-30 | CORRELATION TRADING; STANDARDIZED MEASUREMENT METHOD (100%) FOR EXPOSURES SUBJECT TO COMPREHENSIVE RISK MEASUREMENT (CRM) - NET SHORT | FR Y-14Q |
| CQACP214 | 2013-09-30 | 2014-06-30 | OTHER MARKET RISK | FR Y-14Q |
| CQACR045 | 2013-09-30 | 2014-06-30 | CORPORATE CREDIT RISK | FR Y-14Q |
| CQACR046 | 2013-09-30 | 2014-06-30 | CORPORATE COUNTERPARTY CREDIT RISK EXPOSURES (NOT INCLUDING CVA CHARGES OR CHARGES TO CCPS) | FR Y-14Q |
| CQACR047 | 2013-09-30 | 2014-06-30 | OTHER CORPORATE EXPOSURES | FR Y-14Q |
| CQACR048 | 2013-09-30 | 2014-06-30 | SOVEREIGN CREDIT RISK | FR Y-14Q |
| CQACR049 | 2013-09-30 | 2014-06-30 | SOVEREIGN COUNTERPARTY CREDIT RISK EXPOSURES (NOT INCLUDING CVA CHARGES OR CHARGES TO CCPS) | FR Y-14Q |
| CQACR050 | 2013-09-30 | 2014-06-30 | OTHER SOVEREIGN EXPOSURES | FR Y-14Q |
| CQACR051 | 2013-09-30 | 2014-06-30 | BANK CREDIT RISK | FR Y-14Q |
| CQACR052 | 2013-09-30 | 2014-06-30 | BANK COUNTERPARTY CREDIT RISK EXPOSURES (NOT INCLUDING CVA CHARGES OR CHARGES TO CCPS) | FR Y-14Q |
| CQACR053 | 2013-09-30 | 2014-06-30 | OTHER BANK EXPOSURES | FR Y-14Q |
| CQACR054 | 2013-09-30 | 2014-06-30 | RETAIL CREDIT RISK | FR Y-14Q |
| CQACR055 | 2013-09-30 | 2014-06-30 | RETAIL COUNTERPARTY CREDIT RISK EXPOSURES (NOT INCLUDING CVA CHARGES OR CHARGES TO CCPS) | FR Y-14Q |
| CQACR056 | 2013-09-30 | 2014-06-30 | OTHER RETAIL EXPOSURES | FR Y-14Q |
| CQACR057 | 2013-09-30 | 2014-06-30 | TRADING BOOK COUNTERPARTY CREDIT RISK EXPOSURES (IF NOT INCLUDED IN ABOVE) | FR Y-14Q |
| CQACR058 | 2013-09-30 | 2014-06-30 | CVA CAPITAL CHARGE (RISK-WEIGHTED ASSET EQUIVALENT) | FR Y-14Q |
| CQACR059 | 2013-09-30 | 2014-06-30 | ADVANCED CVA APPROACH | FR Y-14Q |
| CQACR060 | 2013-09-30 | 2014-06-30 | UNSTRESSED VAR WITH MULTIPLIERS | FR Y-14Q |
| CQACR061 | 2013-09-30 | 2014-06-30 | STRESSED VAR WITH MULTIPLIERS | FR Y-14Q |
| CQACR062 | 2013-09-30 | 2014-06-30 | SIMPLE CVA APPROACH | FR Y-14Q |
| CQACR063 | 2013-09-30 | 2014-06-30 | OTHER CAPITAL REQUIREMENTS | FR Y-14Q |
| CQACS305 | 2016-06-30 | 2019-09-30 | SPECIFIC RISK ADD-ONS: DEBT POSITIONS | 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. |