Data Dictionary
Item Number 6516
IMPACT OF OFF-BALANCE SHEET ACTIVITY (ASSETS) - SWAPS (RECEIVE FIXED)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6516 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
For interest rate swaps where the institution pays the variable-rate and receives the fixed-rate, the notional dollar amount of the swap is reported on Lines H613 through H629.
If the institution has an interest rate swap that does not have a forward commitment feature, the institution reports the outstanding balance as outlined in step 1.
1. The institution reports the outstanding balance of the notional amount of the swap as a negative dollar amount in the maturity/repricing column that corresponds to the repricing date of the variable-rate side (generally, the Three Months or Less maturity/repricing column, Line H613). If the interest rate swap is a non-amortizing swap, the institution reports the notional amount as a positive dollar amount in the longer-term maturity/repricing column that corresponds to the agreement's expiration date.
If the interest rate swap is an amortizing swap the institution adjusts the outstanding notional balance each quarter to reflect the terms of the agreement. The
institution reports the adjusted amount, as a positive, in the maturity/repricing column that corresponds to the agreement's expiration date.
The institution reports the variable interest rate to be paid in the maturity/repricing column that corresponds to the repricing date of the variable-rate swap (generally, the Three Months or Less maturity/repricing column, Line H622). The institution reports the fixed interest rate to be received in the maturity/repricing column that corresponds to the agreement's expiration date.
Synthetic mortgage swaps are also reported on these lines. Synthetic mortgage swaps are essentially composed of an amortizing interest rate swap and a forward commitment to purchase mortgage backed securities. Therefore, the institution reports the outstanding balance of the synthetic mortgage swap using the additional step, that addresses the forward commitment feature, outlined below:
2. The institution estimates the adjusted notional amount of the synthetic mortgage swap at the agreement's expiration date using reasonable prepayments. The institution reports this adjusted dollar amount as a negative in the maturity/repricing column that describes the time from the reporting date to the expected or potential commitment date. The institution reports the adjusted notional amount, as a positive amount, in the applicable maturity/repricing columns (generally, the More Than 20 Years column).
The institution reports its weighted average cost of funds in the maturity/repricing column that corresponds to the expected funding date of the commitment. The institution reports the fixed interest rate to be received in the maturity/repricing column that corresponds to the applicable maturity/repricing column, (generally, the More Than 20 Years column).
Example: An institution entered into a $100 synthetic mortgage swap agreement that has a commitment period of five years. The agreement is structured so that the institution will pay three-month LIBOR and receive the cash flows of a GNMA 10. Additionally, the institution estimates that the notional amount of the interest rate swap will be $80 at the agreement's expiration date, using reasonable prepayment assumptions.
The interest rate swap component is reported as follows:
(a) Reported is -$100 on Line H613 (3 Months or Less) and +$100 on Line H617 (More Than 3 Years Through 5 Years).
(b) Reported is the coupon rate of the three-month LIBOR on Line H622 (item 7233) (3 Months or Less) and the reporting institution's weighted average cost of funds on Line H626 (item 7238) (More Than 3 Years Through 5 Years).
The commitment component is reported as follows:
(a) Reported is -$80 on Line H617 (More Than 3 Years Through 5 Years) and +$80 in the applicable maturity/repricing column (generally Line H620 (More Than 20 Years)).
(b) Reported is the institution's weighted average cost of funds on Line H626 (item 7238) (More Than 3 Years Through 5 Years) and 10% in the same column in which the positive commitment component amount was reported (generally on Line H629 (item 7238) (More Than 20 Years)).
The net effect of this transaction is as follows:
(a) Reported is -$100 on Line H613 (3 Months or Less), +$20 on Line H617 (More Than 3 Years Through 5 Years), and +$80 on Line H620 (More Than 20 Years).
(b) Reported is the coupon rate of the three-month LIBOR on Line H622 (item 7238) (3 Months or Less), the institution's weighted average cost of funds on Line H626 (item 7238) (More Than 3 Years Through 5 Years), and 10% on Line H629 (item 7238) (More Than 20 Years).
The total impact of all off-balance-sheet activities/transactions for all maturity/repricing columns combined, must be zero and reported in the Total column (Line H621). (Note: H613 + H614 + H615 + H616 + H617 + H618 + H619 + H620 = H621 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.