Data Dictionary
Item Number 6520
INVESTMENT SECURITIES - PART II - CMO AND REMIC TRANCHESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6520 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
CMO and REMIC tranches are highly dependent upon the characteristics of the underlying collateral and of the economic structure of the CMO or REMIC issue. CMO and REMIC tranches are reported by type of tranche, not maturity/repricing period.
CMO and REMIC assets are classified according to the tranche categories listed below. CMO or REMIC structures that may not exactly fit these categories are included in the category that most closely approximates the interest rate risk characteristics of the asset.
Zero coupon tranches (Z-tranches) are reported on Line H676 (item 7240). CMO issues with only I/O and P/O tranches are reported in the I/O section and P/O section, respectively. (See page H-43 of the instructions.)
The CMO categories are defined as follows:
1. Floating-Rate CMO or REMIC Tranches - The outstanding principal balances as of the end of the reporting period of all floating-rate CMO or REMIC tranches, except super-floaters and inverse floaters, is reported on Line H699 in the 3 Months or Less column, regardless of their adjustment period. The coupon rate on the floating-rate CMO or REMIC tranche as of the end of the reporting period is reported on Line H708 (item 7241) in the same column.
2. Super-Floater CMO or REMIC Tranches - The outstanding principal balance as of the end of the reporting period of all super-floater CMO or REMIC tranches is reported on Line H700 in the More Than 3 Months through 6 Months column, regardless of the adjustment frequency.
The index rate on the super-floater CMO or REMIC tranche as of the end of the reporting period is reported on Line H709 in the same column. For example, if the super-floater index formula was (3 x LIBOR - 12%) and current LIBOR was 9%, the index rate of 15% would be reported on Line H709 (item 7241).
3. Inverse-Floater CMO or REMIC Tranches - The outstanding principal balance as of the end of the reporting period of all inverse-floater CMO or REMIC tranches is reported on Line H701 in the More Than 6 Months through 1 Year column, regardless of the adjustment frequency. The index rate on the inverse-floater CMO or REMIC tranche as of the end of the reporting period is reported on Line H710 in the same column. For example, if the inverse-floater index formula was (-3 x LIBOR + 36%) and current LIBOR was 10%, the index rate of 6% would be reported on Line H710 (item 7241).
4. Short-Term Fixed-Rate Tranches and Short-Term PACS and TACS - The outstanding principal balance as of the end of the reporting period of all short-term fixed-rate tranches and short-term PACS or TACS of CMO or REMIC issues is reported on Line H702 in the More Than 1 Year through 3 Years column. Also the outstanding principal balance of all short-term fixed-rate TACS is reported on Line H702.
A short-term tranche is defined as a tranche that has an expected final maturity of 5 years or less using reasonable prepayment assumptions. For example, if a recently priced fixed-rate or PAC tranche had an expected maturity of five years using the pricing prepayment assumption, then the outstanding principal balance would be reported on Line H702. The coupon rate of the fixed-rate or PAC or TAC tranche is reported on Line H711 (item 7241).
5. Short-Term PAC or TAC Support Tranches - The outstanding principal balance as of the end of the reporting period of all short-term PAC or TAC support tranches of CMO or REMIC issues is reported on Line H703 in the More Than 3 Years through 5 Years column.
A short-term PAC or TAC support tranche is defined as a tranche that has an expected maturity of 5 years or less using reasonable prepayment assumptions and is a tranche that is a part of a CMO structure that contains at least one PAC or TAC tranche. E.g., if a recently priced PAC or TAC support tranche had an expected final maturity of five years using the pricing prepayment assumption, then the outstanding principal balance is reported on Line H703. The coupon rate of the fixed-rate or PAC or TAC support tranche is reported on Line H712 (item 7241).
6. Long-Term Fixed-Rate Tranches and Long-Term PACS or TACS - The outstanding principal balance as of the end of the reporting period of all long-term fixed-rate tranches and long-term PAC or TAC of CMO or REMIC tranches is reported on Line H704 in the More Than 5 Years through 10 Years column.
7. Long-Term PAC or TAC Support Tranches - The outstanding principal balance as of the end of the reporting period of all long-term PAC or TAC support tranches, except Super P/Os, of CMO or REMIC issues is reported on Line H705 in the More Than 10 Years through 20 Years column.
8. Super P/Os - The outstanding principal balance as of the end of the reporting period of all special long-term PAC support tranches, known as Super P/Os, of CMO or REMIC issues is reported on Line H706 in the More Than 20 Years column.
A long-term tranche is defined as a tranche that has an expected maturity of greater than 5 years using reasonable prepayment assumptions. For example, if a recently priced fixed-rate or PAC tranche had an expected final maturity of 7 years using the pricing prepayment assumption, then the outstanding principal balance is reported on Line H704. The coupon rate on the fixed-rate or PAC or TAC tranche is reported on Line H713 (item 7241).
A long-term PAC support tranche is defined as a tranche that has an expected final maturity of greater than 5 years using reasonable prepayment assumptions and is a tranche that is a part of a CMO structure that contains at least one PAC or TAC tranche. If a recently priced PAC support tranche had an expected final maturity of ten years using the pricing prepayment assumption then the outstanding principal balance would be reported on Line H703 in the More Than 3 Years through 5 Years column. The coupon rate on the fixed-rate or PAC tranche is reported on Line H714 (item 7241).
If a recently priced PAC support tranche was priced at a deep discount, e.g., a price of 38, and had an expected final maturity of 20 years using the pricing prepayment assumption then the outstanding principal balance would be reported on Line H706. The coupon rate on the Super P/O tranche, usually 0%, is reported on Line H715 (item 7241).
See item 6152 for the definition of the Maturity/Repricing columns.
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.