Data Dictionary
Item Number 6512
IMPACT OF HEDGING ACTIVITY (ASSETS) - OPTIONSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6512 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the dollar amount (par) of the hedge as a negative number on the appropriate line in the maturity/repricing column corresponding to the maturity/repricing characteristics of the financial instrument underlying the hedging contract (e.g., Treasury note contracts are reported in the More Than Five Years Through Ten Years maturity/repricing column and Treasury bond contracts in the More Than Twenty Years maturity/repricing column). Eurodollar contracts are reported in the Three Months Through Six Months maturity/repricing column. Also includes the dollar amount (par) of the hedging vehicle in the Three Months or Less maturity/repricing column as a positive number.
Includes all open long-put options contracts having a strike price at or in-the-money as of the reporting date. For open long-put options contracts having a strike price out-of-the-money, use the caps table (see the instructions on p. H-56). Also includes the bond equivalent yields (BEY) associated with the hedging activities/transactions in item 7234. For example, reported is the bond equivalent yield (BEY) (or a discount yield if a Eurodollar contract) in the maturity/repricing column corresponding to the maturity/repricing characteristics of the financial instrument underlying the hedging contract. The portfolio rate is based on the underlying financial instrument of the hedging vehicle at the time the hedge was established. Also reported is the bond equivalent yield (BEY) for a 90-day Treasury bill at the reporting date. The BEY based upon the exercise price is reported. If the institution has more than one hedge position with different BEYs, the weighted average BEYS of these hedge positions is used.
Example: Assume the institution purchased ten put options with an exercise price of 80 (BEY at 10.40%) on Treasury bond futures contracts when the underlying futures contracts were at a price of 80, i.e., exactly at-the-money. The purchase was intended to synthetically shorten an asset with a remaining maturity of more than 20 years. The -$1,000,000 (assuming 10 contracts times the par value of the Treasury bond futures contracts, $100,000) is reported on Line H502 and the 10.40% is reported on Line H511. The institution reports $1,000,000 in the Less Than Three Months maturity/repricing column (Line H495) and reports the BEY of a 90-day Treasury bill at the reporting date on Line H504.
The total impact of all options hedging activities/transactions for all maturity/repricing columns combined, must be zero and reported in the Total column (Line H503). (Note: H495+H496+H497+H498+H499+H500+H501+H502 = H503 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.