Data Dictionary
Item Number 6537
INTEREST ONLY STRIPS, FIXED-RATE RESIDUALS AND FLOATING-RATE RESIDUALS (PRINCIPAL AMOUNT OF UNDERLYING COLLATERAL) - UNDERLYING COLLATERAL RATES - WEIGHTED AVERAGE SPREAD (IN BASIS POINTS)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG56537 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66537 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76537 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86537 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6537 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the weighted average spread between the collateral and the bonds (see following example).
Example: Assume an institution has purchased two residuals of fixed-rate CMO issues. The first CMO issue has an underlying collateral pool with outstanding principal of $105 and a WAC of 10.50%. The first CMO issue, itself, has a WAC of 10%. The difference between the WAC of the collateral and the WAC of the first CMO issue is 50 basis points. The second CMO issue has an underlying collateral pool with outstanding principal of $205 and a WAC of 11.00%. The second CMO issue has a WAC of 10.40%. The difference between the WAC of the collateral and the WAC of the second CMO is 60 basis points.
Weighted Average Spread = $105 (50 b.p.) + $205 (60 b.p.) = $310 = 57 Basis Points
The weighted average spreads for fixed-rate and floating-rate residuals will change each quarter and is reported using the methodology as illustrated in the following examples:
Example: Assume the institution has a fixed-rate residual. The fixed-rate CMO is composed of two tranches and is collateralized by $100MM FNMA 10s.
Fixed-Rate Structure
Bond 1 Coupon 8.00% Amount $60.0MM Maturity 7/1/2006
Bond 2 Coupon 9.00% Amount $40.0MM Maturity 7/1/2016
At first, the fixed-rate residual receives 200 basis points on $60MM (1) and 100 basis points on $40MM (2), resulting in a weighted average spread of 160 basis points on $100MM. After half of the first tranche is paid down, the fixed-rate residual receives 200 basis points on $30MM (1) and 100 basis points on $40MM (2), resulting in a weighted average spread of 142.9 basis points on $70MM. When the entire first tranche is paid down, the fixed-rate residual receives 100 basis points on $40MM (2) and continues to receive 100 basis points on the remaining balance of this tranche until it is completely paid down.
Floating-Rate Structure
Bond 1 Coupon 7.00% Amount $30.0MM Maturity 7/1/2006
Bond 2-F (LIBOR +100bp) (Coupon Init 9%) Amount $30.0MM Maturity 7/1/2006
Bond 3 Coupon 9.00% Amount $40.0MM Maturity 7/1/2016
Example: Assume that the institution has a floating-rate residual and that the floating-rate CMO is composed of three tranches as structured above. Also assume that the initial rate on LIBOR was 8.00%, resulting in an initial floating-rate of 9.00%. The floating-rate CMO is collateralized by $100MM of FNMA 10s. The weighted average spread in basis points is computed using current LIBOR as demonstrated in the four examples below.
Assume that the floating-rate tranche pays down simultaneously with the first tranche. For every $1 of principal received on the mortgages, $.50 is used to pay down the first tranche and $.50 is used to pay down the second tranche. At first, the floating-rate residual receives 300 basis points on $30MM (1), 100 basis points on $30MM (2-F) and 100 basis points on $40MM (3), resulting in a weighted average spread of 160 basis points on $100MM.
Assume that at the end of the current quarter LIBOR has remained constant at 8.00% and that half of the first and second tranches have paid down. Therefore, the floating-rate residual receives 300 basis points on $15MM (1), 100 basis points on $15MM (2-F), and 100 basis points on $40MM (3), resulting in a weighted average spread of 142.9 basis points on $70MM.
Assume that at the end of the quarter LIBOR has increased to 9.00%, thus the floating rate tranche's coupon rate increases to 10.00%, and that half of the first and second tranches have paid down. Therefore, the floating rate residual now receives 300 basis points on $15MM (1), 0 basis points on $15MM (2-F), and 100 basis points on $40MM (3), resulting in a weighted average spread of 121.4 basis points on $70MM.
Assume that at the end of the quarter LIBOR has decreased to 7.00%, thus the floating rate tranche's coupon rate decreases to 8.00%, and that half of the first and second tranches have paid down. Therefore, the floating-rate residual receives 300 basis points on $15MM (1), 200 basis points on $15MM (2-F), and 100 basis points on $40MM (3), resulting in a weighted average spread of 164.3 basis points on $70MM.
NOTE:
Data reported under mnemonics SVG5 thru SVG6.