Data Dictionary
Item Number 6519
INVESTMENT SECURITIES - PART II - ZERO COUPON SECURITIESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6519 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
For zero-coupon bonds and other deep discount securities, includes the book value in the appropriate maturity/repricing column (Lines H661 through H669).
Includes the bond equivalent yield used to discount the zero coupon security at the time of purchase (Lines H670 through H667) (item 7240).
Example: Assume an institution owns a 25-year, zero coupon bond with a par amount of $1,000, a bond equivalent yield of 10% and a book value of $92. This zero coupon security is reported by entering $92 in the More Than Twenty Years column (Line H668) and 10% in the same column (Line H677) (item 7240). If there is more than one investment for a maturity/repricing column, a weighted average portfolio rate is used.
Stripped Treasury securities and Z-tranche CMOs have similar interest rate risk characteristics.
Stripped Treasury securities are reported in the maturity/repricing column corresponding to their remaining term, with the exception of those maturing in 10 to 20 years, which are reported as follows. Stripped Treasury securities maturing in from 10 years to 15 years are reported in the More Than Five Years Through Ten Years column of the zero coupon securities subsection (Line H666). Includes all stripped Treasury securities maturing from 15 years to 20 years in the More Than Twenty Years column (Line H668). Includes the bond equivalent yield used to discount the stripped Treasury security at the time of purchase (Lines H675 or H677) (item 7240).
Includes the outstanding principal balances of the Z-tranches of CMO or REMIC issues in the More Than Ten Years Through Twenty Years Maturity/Repricing column of the zero coupon securities subsection (Line H667). The coupon rate at which the Z-tranche is accruing interest is reported on Line H676 (item 7240). See item 6152 for the definition of the Maturity/Repricing columns.
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.