Data Dictionary
Item Number 6547
IMPACT OF HEDGING ACTIVITY (LIABILITIES) - FUTURESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6547 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
Includes the dollar amount of interest-rate futures contracts that are hedging liabilities on Lines H898 through H906.
Includes the bond equivalent yields (BEY) or, for short-term instruments, the discount yield, on Lines H907 through H914 (item 7250) associated with the hedging activities/transactions. The method for calculating and reporting BEYS is described in item 6546. Includes the yield based upon the exercise price. if the institution has more than one hedge position with different yields, the weighted average yield of these hedge positions is used.
Example: An institution sold $1,000,000 of Eurodollar futures contracts at a price of 93.00 and a discount yield of 7.0%. The +$1,000,000 entry is reported in the More Than Three Months Through Six Months maturity/repricing column (Line H899) and the yield 7.0% is reported on Line H908 (item 7250). The -$1,000,000 entry is reported in the Three Months Or Less column (Line H898). Includes the yield for a 90-day Treasury bill at the reporting date on Line H907 (item 7250).
The total impact of all hedging - futures activities/transactions for all maturity/repricing columns combined, is reported a zero and reported in the Total column (Line H906). (Note: H898 + H899 + H900 + H901 + H902 + H903 + H904 + H905 = H906 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.