Data Dictionary
Item Number 6548
IMPACT OF HEDGING ACTIVITY (LIABILITIES) - SWAPS (RECEIVE FLOATING)Call confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6548 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
The purpose of the typical thrift investment in an interest rate swap is to hedge the funding cost of liabilities.
For interest rate swaps on which the institution receives the variable rate and pays the fixed rate, the notional dollar amount of the swap is reported in Lines H915 through H923 as a dollar balance in the maturity/repricing column that corresponds to the repricing date of the contract. The institution reports the notional amount as a positive dollar balance in the maturity/repricing column that corresponds to the agreement's expiration date.
For interest rate swaps, the fixed rate is reported at the time of the agreement and the variable rate at the reporting date in the appropriate maturity/repricing columns (Lines H924 through H931 (item 7251)). If there is more than one interest rate swap in a maturity/repricing column, the weighted average interest rate is computed.
The total impact of all hedging - swaps activities/transactions for all maturity/repricing columns combined, is reported a zero and reported in the Total column (Line H923). (Note: H915 + H916 + H917 + H918 + H919 + H920 + H921 + H922 = H923 = 0).
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.