Data Dictionary
Item Number 3713
MORTGAGE DERIVATIVESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVGL3713 | 1989-03-31 | 1989-12-31 | Yes |
Data Description:
Includes the amortized cost (i.e., including unamortized premiums and discounts) of mortgage derivative instruments. Also includes (1) investments in tranches of CMOs, including CMOs that are collateralized by FNMA, FHLMC, or GNMA Pool Securities, (2) IO and PO strips of mortgage instruments, and (3) residuals of mortgage-backed securities.
CMOs are multi-class mortgage securities in which principal and interest payments of the underlying collateral are passed through in a nonproportionate manner to holders of the different classes (tranches) of the CMO. The classes may be characterized by different maturities, interest rates, and indexes, or may represent residual interest in the underlying collateral. The underlying collateral may be any combination of GNMAs, FHLMC-PCs, FNMA MBS; private pool securities, or mortgages. Reported are all classes of CMOs including residuals.
In a strip structure, a two-class security is formed from a pool of underlying collateral in which substantially all of the principal payments from the collateral go to the PO strip and substantially all of the interest payments go to the IO strip. The amount reported in this item is the monthly equivalent of the sum of items 0624, 3678, and 3679 reported quarterly.