Data Dictionary
Item Number 6529
INTEREST ONLY STRIPS, FIXED-RATE RESIDUALS AND FLOATING-RATE RESIDUALS (PRINCIPAL AMOUNT OF UNDERLYING COLLATERAL) - UNDERLYING COLLATERAL RATES - COUPON RATES LESS THAN 8.00%Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG56529 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66529 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76529 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86529 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6529 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Interest Only Strips - Includes the proportionate interest in the outstanding principal of the underlying collateral of the Interest Only Strips, not the book value with a remaining maturity from more than 10-20 years and more than 20 years (Lines H751 through H786) with the coupon rates of the underlying collateral and the contractual maturity of the underlying mortgages of less than 8.00%.
Fixed-rate And Floating-rate Residuals - Both fixed-rate and floating-rate residuals are primarily composed of the difference between the interest cash flows received on the mortgages collateralizing the CMO and the required CMO bond interest payments.
The cash flows from fixed and floating rate residuals, like mortgage servicing and interest-only strips, are generally comprised of interest cash flows from mortgages. The difference between interest-only strips and residuals is that interest-only strips receives a constant basis point spread of interest cash flows while a residual receives a basis point spread of interest cash flows that can change over time as various CMO tranches are paid off (see item 6537).
Residuals of fixed-rate CMO and REMIC bond issues and Interest Only Strips have similar interest rate risk characteristics. For fixed-rate residuals, the institution reports its proportionate interest in the principal balance of the collateral underlying the CMO and REMIC bonds in the column entitled "Fixed-Rate Residuals", according to the weighted average coupon (WAC) of the underlying collateral. For example, if a thrift purchased 50% of the fixed-rate residual from a CMO issue collateralized by $100 million in FNMA 9 1/2s, with underlying collateral of 10.50%, then the thrift reports $50 million on Line H772 in the More Than 5 Years through 10 Years column.
For floating-rate residuals, the institution reports the proportionate interest in the principal balance of the collateral underlying the CMO and REMIC bonds in the column entitled "Floating-Rate Residuals", according to the WAC of the underlying collateral in the More Than 3 Years through 5 Years column.
NOTE:
Data reported under mnemonics SVG5 thru SVG8.