Data Dictionary
Item Number 6514
IMPACT OF OFF-BALANCE SHEET ACTIVITY (ASSETS) - OPTIONS AND OPTIONAL COMMITMENTS TO ORIGINATE OR PURCHASECall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6514 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the contract yield of the underlying instrument (i.e. 10.50% in the aforementioned example), excluding any fees received. It is recognized that there are different methodologies for computing the contract yield. The cash flow yield methodology for consistency is used.
The total impact of all off-balance-sheet options activities/transactions for all maturity/repricing columns combined, must be zero and reported in the Total column, (Line H555). (Note: H547 + H548 + H549 + H550 + H551 + H552 + H553 + H554 = H555 = 0).
Includes the outstanding balance of all optional commitments to originate fixed-rate or adjustable-rate mortgage loans. (An optional commitment allows the consumer not to exercise the option to take the mortgage while a firm commitment indicates that the mortgage must be taken by the consumer.) Loans designated by the institution as loans in process are reported in this section and are reported in "Futures And Future Commitments To Originate Or Purchase (6515), (7237)" (Lines H581 through H597). Each institution reports the expected dollar amount of loans that will actually be funded based upon historical experience and/or reasonable estimates.
A percentage adjustment should be made based on the institution's fall-out rate experience. For example, assume an institution experiences a fall-out rate of 20%. In that situation, only 80% of the commitments should be included. This net amount represents the commitments expected to be funded. Expected commitments to originate are shown by entering a positive dollar amount in the appropriate maturity/repricing column(s) in this item (Lines H547 through H555) that corresponds to the term of the commitment plus the contract maturity of the loans or financial instruments underlying the agreement. Includes the rate at which the loan is to be originated in the corresponding Lines H573 through H580 (item 7236).
Includes the dollar amount of the commitments expected to be originated as a negative dollar amount in either the Three Months or Less column or in the maturity/repricing column (Lines H547 through H555) that corresponds to the weighted average term of the institution's existing liabilities. If the institution reports the dollar amount in the Three Months or Less maturity column, the institution reports the 90-day Treasury bill rate, otherwise the institution's weighted average cost of funds is reported in the appropriate column of Lines H573 through H580 (item 7236). Also includes all short puts, in other words optional (standby) commitments to purchase, at a fixed interest rate, mortgage loans, securities, or other interest-rate-sensitive instruments. If the institution is short the option to sell, the holder of the option may require the institution to purchase the security.
Commitments to purchase are reported by entering a positive dollar amount in the maturity/repricing column that corresponds to the term of the commitments plus the contractual maturity of the loans or financial instruments underlying the agreement. The dollar amount of the commitments is reported as a negative in the maturity/repricing column in which the purchase has occurred. A percentage adjustment to the dollar amount is made to reflect whether the option is in-the-money or out-of-the money. The percentage is based on the number of basis points the commitment is out-of-the-money and the length of the commitment. It is obtained from the cap table on p. H-56 of the instructions.
Example: Assume that the institution was standing by, for 90 days, to purchase GNMA mortgage-backed securities with a coupon rate of 10%, priced at 98. At an assumed prepayment rate of 6% annually, the yield would be 10.50%. If the prevailing market yield for this mortgage-backed security was 9.55%, based upon cash flow yield methodology and reasonable prepayment assumptions, the commitment is 95 basis points out-of-the-money. (See the cap table, p. H-56 of the instructions.) For this example, the table indicates a percentage rate of 19. Therefore, for every $100 of mortgages with this option, $19 would be reported. If the contract yield is equal to or less than prevailing market interest rates, the entire dollar amount of the agreement is reported.
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.