Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 5865

Call confidentiality applies to FFIEC 031/041.

Data Description:

Off-balance-sheet (OBS) contracts are divided into the following ten general types of contracts for reporting on Schedule CMR:

1. Optional commitments to originate mortgages;

2. Firm commitments to purchase, sell, or originate mortgages;

3. Optional commitments to purchase or sell mortgages;

4. Commitments to purchase or sell non-mortgage financial assets and liabilities;

5. Interest-rate swaps;

6. Interest-rate caps;

7. Interest-rate floors;

8. Futures;

9. Options on futures;

10. Construction loans in process.

All OBS contract positions must be identified by a four digit contract code. The first two digits of the contract code designate the general type of contract. The last two digits of the code designate the specific type of OBS contract within the general type.

1. Report the contract code for the position in Column 1 for optional commitments to originate mortgages as follows:

1002 1-month COFI ARMs

1004 6-month or 1-year COFI ARMs

1006 6-month or 1-year Treasury ARMs

1008 3-year or 5-year Treasury ARMs

1010 5-year or 7-year Balloon or 2-step mortgages

1012 10-year, 15-year, or 20-year FRMs

1014 25-year or 30-year FRMs

1016 All other mortgages

2. Report the contract code for the position in Column 1 for firm commitments to purchase, sell, or originate mortgages as follows:

Mortgage Loans

2002 Purchase or originate 1-month COFI ARM loans

2004 Purchase or originate 6-month or 1-year COFI ARM loans

2006 Purchase or originate 6-month or 1-year Treasury ARM loans

2008 Purchase or originate 3-year or 5-year Treasury ARM loans

2010 Purchase or originate 5-year or 7-year Balloon or 2-step mortgage loans

2012 Purchase or originate 10-year, 15-year, or 20-year FRM loans

2014 Purchase or originate 25-year or 30-year FRM loans

2016 Purchase or originate all other mortgages

2022 Sell 1-month COFI ARM loans

2024 Sell 6-month or 1-year COFI ARM loans

2026 Sell 6-month or 1-year Treasury ARM loans

2028 Sell 3-year or 5-year Treasury ARM loans

2030 Sell 5-year or 7-year Balloon or 2-step mortgage loans

2032 Sell 10-year, 15-year, or 20-year FRM loans

2034 Sell 25-year or 30-year FRM loans

2036 Sell all other mortgage loans

MBSs

2042 Purchase 1-month COFI ARM MBS

2044 Purchase 6-month or 1-year COFI ARM MBS

2046 Purchase 6-month or 1-year Treasury ARM MBS

2048 Purchase 3-year or 5-year Treasury ARM MBS

2050 Purchase 5-year or 7-year Balloon or 2-step MBS

2052 Purchase 10-year, 15-year, or 20-year FRM MBS

2054 Purchase 25-year or 30-year FRM MBS

2056 Purchase all other MBS

2062 Sell 1-month COFI ARM MBS

2064 Sell 6-month or 1-year COFI ARM MBS

2066 Sell 6-month or 1-year Treasury ARM MBS

2068 Sell 3-year or 5-year Treasury ARM MBS

2070 Sell 5-year or 7-year Balloon or 2-step MBS

2072 Sell 10-year, 15-year, or 20-year FRM MBS

2074 Sell 25-year or 30-year FRM MBS

2076 Sell all other MBS

If the commitment is transacted on a "servicing released" basis (i.e., the seller is "releasing" the servicing to the purchaser of the loans, so that the purchaser will be responsible for the servicing of the loans), replace the first two digits of the contract code with "21."

3. Report the contract code for the position in Column 1 for optional commitments to purchase or sell mortgages as follows:

Long Options To Purchase Mortgages And MBSs

3002 Long the option to purchase 1-month COFI ARMs

3004 Long the option to purchase 6-month or 1-year COFI ARMs

3006 Long the option to purchase 6-month or 1-year Treasury ARMs

3008 Long the option to purchase 3-year or 5-year Treasury ARMs

3010 Long the option to purchase 5-year or 7-year Balloon or 2-step mortgages

3012 Long the option to purchase 10-year, 15-year, or 20-year FRMs

3014 Long the option to purchase 25-year or 30-year FRMs

3016 Long the option to purchase all other mortgages

Long Options to Sell Mortgages And MBSs

3022 Long the option to sell 1-month COFI ARMs

3024 Long the option to sell 6-month or 1-year COFI ARMs

3026 Long the option to sell 6-month or 1-year Treasury ARMs

3028 Long the option to sell 3-year or 5-year Treasury ARMs

3030 Long the option to sell 5-year or 7-year Balloon or 2-step mortgages

3032 Long the option to sell 10-year, 15-year, or 20-year FRMs

3034 Long the option to sell 25-year or 30-year FRMs

3036 Long the option to sell all other mortgages

Short Options To Purchase Mortgages And MBSs

3042 Short the option to purchase 1-month COFI ARMs

3044 Short the option to purchase 6-month or 1-year COFI ARMs

3046 Short the option to purchase 6-month or 1-year Treasury ARMs

3048 Short the option to purchase 3-year or 5-year Treasury ARMs

3050 Short the option to purchase 5-year or 7-year Balloon or 2-step mortgages

3052 Short the option to purchase 10-year, 15-year, or 20-year FRMs

3054 Short the option to purchase 25-year or 20-year FRMs

3056 Short the option to purchase all other mortgages

Short Options To Sell Mortgages And MBSs

3062 Short the option to sell 1-month COFI ARMs

3064 Short the option to sell 6-month or 1-year CORI ARMs

3066 Short the option to sell 6-month or 1-year Treasury ARMs

3068 Short the option to sell 3-year or 5-year Treasury ARMs

3070 Short the option to sell 5-year or 7-year Balloon or 2-step mortgages

3072 Short the option to sell 10-year, 15-year, or 20-year FRMs

3074 Short the option to sell 25-year or 30-year FRMs

3076 Short the option to sell all other mortgages

4. Report the contract code for the position in Column 1 for commitments to purchase or sell non-mortgage financial assets and liabilities as follows:

4002 Purchase non-mortgage financial assets

4004 Purchase core deposits

4006 Purchase all other liabilities

4022 Sell non-mortgage financial assets

4024 Sell core deposits

4026 Sell all other liabilities

5. Report the contract code for the position in Column 1 for interest-rate swaps as follows:

The codes for swaps are divided into three groups: fixed-for floating swaps, basis swaps, and mortgage swaps. No codes are listed for LIBOR-for-COFI basis swaps because the value of this type of swap does not change substantially when the yield curve changes in a parallel fashion. If the institution holds a type of interest-rate swap that is not contained in this list, the contract should be reported in items 5948 thru 5956.

Fixed-for-Floating Swaps

5002 Pay fixed, receive 1-month LIBOR

5004 Pay fixed, receive 3-month LIBOR

5006 Pay fixed, receive 6-month LIBOR

5008 Pay fixed, receive COFI

5010 Pay fixed, receive 3-month Treasury

5012 Pay fixed, receive 1-year Treasury

5014 Pay fixed, receive 3-year Treasury

5016 Pay fixed, receive 5-year Treasury

5018 Pay fixed, receive 7-year Treasury

5020 Pay fixed, receive 10-year Treasury

5022 Pay fixed, receive the prime rate

5024 Pay 1-month LIBOR, receive fixed

5026 Pay 3-month LIBOR, receive fixed

5028 Pay 6-month LIBOR, receive fixed

5030 Pay COFI, receive fixed

5032 Pay 3-month Treasury, receive fixed

5034 Pay 1-year Treasury, receive fixed

5036 Pay 3-year Treasury, receive fixed

5038 Pay 5-year Treasury, receive fixed

5040 Pay 7-year Treasury, receive fixed

5042 Pay 10-year Treasury, receive fixed

5044 Pay the prime rate, receive fixed

Basis Swaps

5052 Pay COFI, receive 1-month LIBOR

5054 Pay COFI, receive 3-month LIBOR

5056 Pay COFI, receive 6-month LIBOR

5058 Pay COFI, receive 3-month Treasury

5062 Pay 1-month LIBOR, receive COFI

5064 Pay 3-month LIBOR, receive COFI

5066 Pay 6-month LIBOR, receive COFI

5068 Pay 3-month Treasury, receive COFI

Mortgage Swaps

5572 Pay 1-month LIBOR, receive MBS coupon

5574 Pay 3-month LIBOR, receive MBS coupon

5576 Pay 6-month LIBOR, receive MBS coupon

5582 Pay MBS coupon, receive 1-month LIBOR

5584 Pay MBS coupon, receive 3-month LIBOR

5586 Pay MBS coupon, receive 6-month LIBOR

6. Report the contract code for the position in Column 1 for interest-rate caps as follows:

6002 Long a cap on 1-month LIBOR

6004 Long a cap on 3-month LIBOR

6006 Long a cap on 6-month LIBOR

6008 Long a cap on the 3-month Treasury

6010 Long a cap on the 1-year Treasury

6012 Long a cap on the 3-year Treasury

6014 Long a cap on the 5-year Treasury

6016 Long a cap on the 7-year Treasury

6018 Long a cap on the 10-year Treasury

6020 Long a cap on COFI

6022 Long a cap on the prime rate

6032 Short a cap on 1-month LIBOR

6034 Short a cap on 3-month LIBOR

6036 Short a cap on 6-month LIBOR

6038 Short a cap on the 3-month Treasury

6040 Short a cap on the 1-year Treasury

6042 Short a cap on the 3-year Treasury

6044 Short a cap on the 5-year Treasury

6046 Short a cap on the 7-year Treasury

6048 Short a cap on the 10-year Treasury

6050 Short a cap on COFI

6052 Short a cap on the prime time

If the institution holds a cap on which the notional amount is amortizing (an "amortizing cap"), the contract should be reported in items 5948 through 5956.

7. Report the contract code for the position in Column 1 for interest-rate floors as follows:

7002 Long a floor on 1-month LIBOR

7004 Long a floor on 3-month LIBOR

7006 Long a floor on 6-month LIBOR

7008 Long a floor on the 3-month Treasury

7010 Long a floor on the 1-year Treasury

7012 Long a floor on the 3-year Treasury

7014 Long a floor on the 5-year Treasury

7016 Long a floor on the 7-year Treasury

7018 Long a floor on the 10-year Treasury

7020 Long a floor on COFI

7022 Long a floor on the prime rate

7032 Short a floor on 1-month LIBOR

7034 Short a floor on 3-month LIBOR

7036 Short a floor on 6-month LIBOR

7038 Short a floor on 3-month Treasury

7040 Short a floor on the 1-year Treasury

7042 Short a floor on the 3-year Treasury

7044 Short a floor on the 5-year Treasury

7046 Short a floor on the 7-year Treasury

7048 Short a floor on the 10-year Treasury

7050 Short a floor on COFI

7052 Short a floor on the prime rate

If the institution holds a floor on which the notional amount is amortizing (an "amortizing floor"), the contract should be reported in items 5948 through 5956.

8. Report the contract code for the position in Column 1 for futures as follows:

8002 Long 30-day interest rate

8004 Long 3-month Treasury bill

8006 Long 2-year Treasury note

8008 Long 5-year Treasury note

8010 Long 10-year Treasury note

8012 Long Treasury bond

8014 Long 1-month LIBOR

8016 Long 3-month Eurodollar

8018 Long 3-year Swap

8020 Long 5-year Swap

8022 Long MBS futures

8032 Short 30-day interest rate

8034 Short 3-month Treasury bill

8036 Short 2-year Treasury note

8038 Short 5-year Treasury note

8040 Short 10-year Treasury note

8042 Short Treasury bond

8044 Short 1-month LIBOR

8046 Short 3-month Eurodollar

8048 Short 3-year Swap

8050 Short 5-year Swap

8052 Short MBS futures

9. Report the contract code for the position in Column 1 for options on futures as follows:

Long Call Options

9002 Long call, 30-day interest rate futures

9004 Long call, 3-month Treasury bill futures

9006 Long call, 2-year Treasury note futures

9008 Long call, 5-year Treasury note futures

9010 Long call, 10-year Treasury note futures

9012 Long call, Treasury bond futures

9014 Long call, 1-month LIBOR futures

9016 Long call, 3-month Eurodollar futures

Long Put Options

9026 Long put, 30-day interest rate futures

9028 Long put, 3-month Treasury bill futures

9030 Long put, 2-year Treasury note futures

9032 Long put, 5-year Treasury note futures

9034 Long put, 10-year Treasury note futures

9036 Long put, Treasury bond futures

9038 Long put, 1-month LIBOR futures

9040 Long put, 3-month Eurodollar futures

Short Call Options

9050 Short call, 30-day interest rate futures

9052 Short call, 3-month Treasury bill futures

9054 Short call, 2-year Treasury note futures

9056 Short call, 5-year Treasury note futures

9058 Short call, 10-year Treasury note futures

9060 Short call, Treasury bond futures

9062 Short call, 1-month LIBOR futures

9064 Short call, 3-month Eurodollar futures

Short Put Options

9074 Short put, 30-day interest rate futures

9076 Short put, 3-month Treasury bill futures

9078 Short put, 2-year Treasury note futures

9080 Short put, 5-year Treasury note futures

9082 Short put, 10-year Treasury note futures

9084 Short put, Treasury bond futures

9086 Short put, 1-month LIBOR futures

9088 Short put, 3-month Eurodollar futures

10. Report the contract code for the position in Column 1 for construction loans in process as follows:

Construction LIP

9502 Construction LIP

NOTE:

This item is reported as confidential.