Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 3806

Call confidentiality applies to FFIEC 031/041.

Data Description:

Reported is the difference between the fair value and the amortized cost of the bank's available-for-sale debt securities (the amortized cost of these debt securities are reported in items 5163, 3796, 5165, 3801, 3802, 3803, 3804, and 3805 of Schedule RC-R). Furthermore, to the extent that the amount of net deferred tax assets is carried on the balance sheet (Schedule RC) and is reported in item 2148 (of Schedule RC-F), the deferred tax effects of any unrealized holding gains and losses on available-for-sale debt securities are included. These deferred tax effects may be excluded from the net deferred tax asset amount reported as a 100 percent risk weight asset in item 3804 (of Schedule RC-R). If these deferred tax assets are excluded, they should be reported in this item and this reporting treatment must be followed consistently over time. For available-for-sale equity securities, if total cost exceeds total fair value, report the fair value of these equity securities in items 5165, 3801, 3802, 3803, 3804, and 3805 (items 5 through 7 of Schedule RC-R) and include no amount in this item. However, if total fair value exceeds total cost, the bank may include up to 45 percent of the pretax net unrealized holding gains as a component of Tier 2 capital. In this situation, report the cost of these equity securities in items 5 through 7, report the portion of the pretax net unrealized holding gains (up to 45 percent) included in Tier 2 capital in item 7.a, and include the remainder of the pretax net unrealized holding gains (55 percent or more) in this item.

Includes any portion of the bank's mortgage servicing assets, purchased credit card relationships, nonmortgage servicing assets, and net deferred tax assets that is disallowed for regulatory capital purposes as well as all other intangible assets (including servicing assets related to financial assets other than mortgages) and other assets that are required to be deducted from regulatory capital in accordance with the capital standards issued by the bank's primary federal regulatory agency.

Also includes the on-balance sheet asset values (or portions thereof) of off-balance sheet interest rate, foreign exchange, equity derivative, and commodity and other contracts that are treated for risk-based capital purposes as off-balance sheet items even though they may have on-balance sheet amounts included on Schedule RC (RCFD and RCON) or Schedule HC (BHCK). In addition, included are the on-balance sheet asset values related to (1) foreign exchange contracts with an original maturity of fourteen calendar days or less, (2) instruments traded on organized exchanges that require daily payment and receipt of variation margin (e.g., futures contracts), and (3) other interest rate, foreign exchange, equity derivative, and commodity and other contracts not covered under the risk-based capital guidelines, such as OTC written options. Purchased options that are traded on an organized exchange are included in the calculation of the risk-based capital ratio because such option contracts are not subject to a daily variation margin.

For those off-balance sheet interest rate, foreign exchange, equity derivative, and commodity and other contracts subject to risk-based capital, banks or consolidated holding companies should report the on-balance sheet asset values (or portions thereof) in this item to avoid a capital charge against the on-balance sheet amounts in addition to the capital charge against the credit equivalent amounts calculated under the risk-based capital guidelines.

The amount reported in this item for each off-balance sheet interest rate, foreign exchange, equity derivative, and commodity and other contract equals the lower of the contract's positive on-balance sheet asset amount included in Schedule RC (RCFD and RCON) or Schedule HC (BHCK) or its positive market value included in computing the credit equivalent amount of the transaction. (For purposes of this comparison, if the amount of any accrued receivable is included in the calculation of the credit equivalent amount of an off-balance sheet derivative contract, this amount should be treated as part of the contract's positive on-balance sheet asset amount.) If either amount is zero or negative, then reported for that contract in this item is the amount, if any, which has been included in the on-balance sheet asset amount reported for such contract on Schedule RC (RCFD and RCON) or Schedule HC (BHCK).

(NOTE: Any contract reported at market value on Schedule HC (FR Y-9C report) should not have an on-balance sheet amount in excess of its market value computed under risk-based capital. In the unusual case where the on-balance sheet asset value is greater than the computed market value used in the calculation of the contract's credit equivalent amount, the resulting difference is not to be reported in this item. Instead, the difference must remain as an on-balance sheet amount and be appropriately risk-weighted above. In addition, the credit equivalent amount of the contract is to be appropriately risk-weighted for inclusion in weighted risk assets.)

For example, a forward contract that is marked to market for reporting purposes will have its on-balance sheet market value, if positive, reported in this item and, as a result, this on-balance sheet asset amount is excluded from the risk-based capital ratio computation. The positive market value, however, is included in the credit equivalent amount of this off-balance sheet item for risk-based capital purposes.

If the on-balance sheet value of a purchased option exceeds the market value of the purchased option, then the excess is not included in this item; rather, the excess is included in the appropriate risk weight category in items 5163, 5165, 3801, 3802, and 3803 (in Schedule RC-R, items 4 through 6) on the FFIEC 031-034 reports (or in the appropriate risk weight category (BHC0, BHC2, BHC5 or BHC9) for Schedule HC-I on the FR Y-9C report). However, if the market value equals or exceeds the on-balance sheet asset value, the full on-balance sheet amount is included in this item.

Excludes any accrued receivables associated with off-balance sheet derivative contracts that are not included in the calculation of the credit equivalent amounts of these contracts and margin accounts related to derivative contracts. Margin accounts must be assigned to the 100 percent risk category while accrued receivables not reported in this item are included in the appropriate risk-weight category (BHC0, BHC2, BHC5 or BHC9 for the FR Y-9C report in Schedule HC-I, item 6563).

NOTE:

Beginning 3/31/1999, the definition was revised.

Reported on Schedule RC-R - Regulatory Capital for the FFIEC 031, 032, 033 and 034 reports.

For series RCFD & RCON, confidential for March, June, and September of the 1990 reporting period.

Also completed by banks that reported a zero in item 6056 and by banks with total assets of $1 billion or more.

Reported on Schedule HC-I for the FR Y-9C report.

Reported only by the top-tier bank holding companies with consolidated assets of $150 million or more.

For series BHCK reported by bank holding companies with consolidated assets of $150 million or more but less than $1 billion.