Data Dictionary
Item Number 6549
IMPACT OF OFF-BALANCE SHEET ACTIVITY (LIABILITIES) - SALE OF CAPS, OPTIONAL AND FIRM COMMITMENTS TO ACQUIRE/DISPOSE LIABILITIESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| SVG16549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG26549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG36549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG46549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG56549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG66549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG76549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG86549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVG96549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
| SVGL6549 | 1989-06-30 | 1992-12-31 | Yes | Multiple Forms |
Data Description:
The general rule for distinguishing hedging activity from other off-balance-sheet activity is based on whether the activity is related to a liability on the balance sheet and whether the activity qualifies for hedging treatment under GAAP. If so, the hedging activity is reported on the Impact of Hedging Activity (Liabilities) lines (Lines H881 through H931 (items 6546, 7249, 6547, 7250, 6548 and 7251)). Otherwise it should be reported on the Impact of Off-Balance-Sheet Activity (Liabilities) lines (Lines H932 through H948).
The Impact of Off-Balance-Sheet Activity (Liabilities) section includes the sale of caps and optional and firm commitments to acquire or dispose of liabilities.
It is understood that there may be numerous new off-balance-sheet transactions or instruments that will affect the maturity/repricing structure of an institution's liabilities. If the interest rate risk characteristics of the new instruments closely approximate those of the instruments in this section, they are reported in this item. The institution should document the reasons for including them in this section.
Each off-balance-sheet activity/transaction is accounted for using four separate entries as explained below:
1. a) The dollar amount of the transaction is reported as a positive number on the appropriate line and in the maturity/repricing column that corresponds to the maturity of the underlying financial instrument of the off-balance-sheet contract; and
1. b) The bond equivalent yield (BEY) is reported in the maturity/repricing column that corresponds to the maturity of the underlying financial instrument of the off-balance-sheet contract. The BEY is based on the underlying instrument of the off-balance sheet contract at the time the contract was initiated. This represents the effective yield on the long side of the transaction.
2. a) The dollar amount of the off-balance-sheet contract is reported as a negative number in the Three Months or Less maturity/repricing column (unless the characteristics of this particular transaction warrant placement of the dollar amount in another column); and
2. b) Includes the bond equivalent yield (BEY) for a Treasury security of the appropriate maturity (the 90-day Treasury bill rate) at the reporting date. This represents the effective yield on the short side of the transaction.
The sum of all such amounts in this item is reported in 1a and 2a above, for each maturity/repricing column on Lines H932 through H940. The total impact of all off-balance-sheet activity for all maturity/repricing columns combined, is reported a zero and reported in the Total column (Line H940). (Note: H932 + H933 + H934 + H935 + H936 + H937 + H938 + H939 = H940 = 0).
There are five common activities/transactions that are reported in this section. Details on the calculation and reporting of these are reported below:
1. For short positions in caps, see the instructions on p. H-56 of Section H relating to long positions in caps, except that the signs should be reversed. For instance, if in the example on p. H-56, the institution had sold a cap, rather than purchased a cap, the $7.1 million would be reported as a positive dollar amount in the Three Months or Less column (Line H932) and a negative dollar amount would be recorded in the More Than One Year through Three Year column (Line H935). The corresponding rate of 8.25% is reported in the same columns on Lines H941 and H944 (item 7252).
2. For short optional commitments to provide or sell interest-rate-sensitive liabilities at a fixed rate, the dollar amount of the commitments is reported as a positive number in the maturity column corresponding to the time that the purchase occurs. A negative dollar amount is reported in the maturity column equal to the term of the commitment plus the contractual term of the liability.
A percentage adjustment to the dollar amount is made to reflect whether the option is in-the-money or out-of-the-money. The percentage adjustment is based on the number of basis points that the commitment is out-of-the-money and the length of the commitment (see Cap Table on p. H-56 of Section H of the instructions). The contract yield of the underlying instrument is used (excludes fees received) to determine the number of basis points that the optional commitment is out-of-the-money.
3. For short optional commitments to acquire or buy interest-rate-sensitive liabilities at a fixed rate, the dollar amount of the commitments is reported as a negative number in the maturity column corresponding to the time that the purchase occurs. A positive dollar amount is reported in the maturity column equal to the term of the commitment plus the contractual term of the liability.
A percentage adjustment to the dollar amount is made to reflect whether the option is in-the-money or out-of-the-money. The percentage adjustment is based on the number of basis points that the commitment is out-of-the-money and the length of the commitment (see Cap Table on p. H-56 of Section H of the instructions). The contract yield of the underlying instrument is used (excludes fees received) to determine the number of basis points that the optional commitment is out-of-the-money.
4. For firm commitments to provide or sell interest-rate-sensitive liabilities at a fixed rate, such as FHLB advances, the dollar amount of the commitments is placed as a positive number in the maturity/repricing column corresponding to the time that the "sale" occurs. A negative dollar amount is reported in the maturity/repricing column corresponding to the term of the commitment at the reporting date plus the term of the liability. Firm commitments requires mandatory performance by both purchaser and seller.
5. For firm commitments to purchase or buy interest-rate-sensitive liabilities at a fixed rate, such as FHLB advances, the dollar amount of the commitments is placed as a negative number in the maturity/repricing column corresponding to the time that the "purchase" occurs. A positive dollar amount is reported in the maturity/repricing column corresponding to the term of the commitment at the reporting date plus the term of the liability. Firm commitments requires mandatory performance by both purchaser and seller.
NOTE:
This item is reported as confidential.
Data reported under mnemonics SVG1 thru SVG9.