Data Dictionary
Item Number 6546
IMPACT OF HEDGING ACTIVITY (LIABILITIES) - OPTIONSCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6546 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the dollar amounts of open long put option contracts having a strike (exercise) price that is at or in-the-money as of the report date in Lines H881 through H889. For open long put option contracts having a strike price that is out-of-the-money, the caps table is used (see p. H-56 of Section H of the instructions).
Includes the BEYs on Lines H890 through H897 (item 7249) associated with the hedging activities/transactions. The method for calculating and reporting BEYs is described as follows:
1. b) Includes the bond equivalent yield (BEY) (or the discount yield if a Eurodollar contract) in the maturity/repricing column corresponding to the maturity/repricing characteristics of the underlying financial instrument of the hedging contract. The BEY is based on the underlying instrument of the hedging vehicle at the time the hedge was established.
2. b) Includes the bond equivalent yield (BEY) for a 90-day Treasury bill at the reporting date.
Includes the BEY based upon the exercise price. If the institution has more than one hedge position with different BEYS, the weighted average BEYS of these hedge positions is used.
Includes the dollar amount of all long positions in interest rate caps on Lines H881 through H889. Short positions are reported in the Off-Balance-Sheet Activity (Liabilities) section in the Options subsection (Lines H932 through H948 (items 6549 and 7252)).
The dollar amount of long positions to be reported on Lines H881 through H890 is determined as follows:
- If, at the end of the quarter, the cap index rate for any maturity is within 50 basis points of the pre-specified contractual cap rate, 100 percent of the notional principal of the cap for the hedge is included; or
- If, at the end of the quarter, the current market index rate is more than 50 basis points below the pre-specified contractual cap rate, the institution should use the current cap table to find the percentage of the cap's notional value to be considered as a hedge.
- The current market index rate, for purposes of interest rate caps only, is measured as the average market index rate during the last five business days of the quarter.
An example of an cap table is illustrated on p. H-56 of Section H of the instructions. This illustrative table is not to be used. Institutions should obtain the table covering the current quarter for which a report is being submitted by contacting the ICR coordinator at the appropriate FHLBank.
"Swaptions"
For purposes of Section H reporting, a long call position in a swaption is defined as the right, but not the obligation, to enter into a swap to pay fixed and receive LIBOR at some future date. Includes the dollar amount of all long call positions in swaptions on Lines H881 through H889. Short positions are reported in the Off-Balance-Sheet Activity (Liabilities) section in the Options subsection (Lines H932 through H948 (items 6549 and 7252)).
The dollar amount of long call positions in swaptions to be reported on Lines H881 through H890 is determined as follows:
- If, at the end of the quarter, the fixed (pay) rate specified in the swaption contract is no greater than 10 basis points over the fixed (pay) rate on a similar end-of-the-quarter swap, then 100% of the notional principal as a hedge is included; or
- If, at the end of the quarter, the fixed (pay) rate specified in the swaption contract is greater than 10 basis points over the fixed (pay) on a similar end-of-the-quarter swap, the current swaption table to find the percentage of notional principal considered as a hedge is used. The current table is available from the ICR coordinator, however, an example table is illustrated on p. H-58 of Section H of the instructions.
The total impact of all hedging - options activities/transactions for all maturity/repricing columns combined, is reported a zero and reported in the Total column (Line H889). (Note: H881 + H882 + H883 + H884 + H885 + H886 + H887 + H888 = H889 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.