Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 7948

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the average regulatory liquidity ratio expressed as a percentage, calculated as follows:

Numerator = sum of each day's balance of assets qualifying for regulatory liquidity.

Denominator = previous month's liquidity base multiplied by number of days in current month.

The following is a list of assets includable in regulatory liquidity; however, reference must be made to OTS Regulations 566.1(g) on each asset included in the reporting institution's calculation of regulatory liquidity to determine compliance with eligibility criteria: (1) Cash, demand deposits, and time deposits; (2) U.S. Government and Agency securities with a remaining maturity of five years or less (including GNMA, FNMA, and FHLMC mortgage pool securities); (3) State and local obligations with a remaining maturity of two years or less; (4) Federal funds sold, fully collateralized repurchase agreements, bankers acceptances, and commercial paper; (5) Shares in an open-end management investment company (mutual funds) with a portfolio restricted to eligible liquid assets; (6) Corporate debt rated in one of the four highest categories by a nationally recognized rating service with a remaining maturity of three years or less (including corporate bonds and notes, privately issued CMOs, REMICs, and other derivative loan products); (7) FSLIC promissory notes, including those offsetting liabilities and capital instruments; (8) Accrued interest on liquid assets or on assets which would qualify for regulatory liquidity except for their maturity; and (9) Assets which would qualify as liquid assets except for their maturity and are hedged at a value equal to or exceeding their book value by:

a. A forward commitment to sell the assets;

b. A futures contract;

c. A long put option; or

d. A call option that can be exercised within the period appropriate to qualify as a liquid asset.

The following are not eligible for inclusion in regulatory liquidity: (1) Securities pledged as collateral on a margin account reported in item 0469; (2) Securities collateralizing repurchase, reverse repurchase, dollar-reverse-repurchase, and fixed coupon agreements; (3) Securities pledged for deposits of public units reported in item 2339; or (4) Custodial cash accounts established by the reporting institution to service the underlying loans of GNMA and FNMA mortgage pool securities and used to effect timely payments.

COMPARABILITY:

Prior to 3/31/1998, item name was "Average Regulatory Liquidity Ratio".