Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8780

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the amortized cost of all high-risk mortgage securities included in the held-to-maturity and available-for-sale accounts. The amortized cost of these securities is reported in columns A and C of the body of Schedule RC-B for the FFIEC 031, 032, 033 and 034 reports or Schedule HC-A for the FR Y-9C report. Included are those securities deemed to be high-risk under the FFIEC's Supervisory Policy Statement on Securities Activities as of their most recent testing date. Under that policy statement, a "high-risk mortgage security" is defined as any mortgage derivative product (i.e., stripped mortgage-backed securities, collateralized mortgage obligations (CMOs), real estate mortgage investment conduits (REMICs), and CMO and REMIC residuals) that at the time of purchase, or at a subsequent testing date, meets any of the following tests. In general, a mortgage derivative product that does not meet any of the following three tests is considered a "nonhigh-risk mortgage security."

(1)   Average Life Test: The mortgage derivative product has an expected weighted average life greater than   10.0 years.

(2)   Average Life Sensitivity Test: The expected weighted average life of the mortgage derivative product:

(a)   Extends by more than 4.0 years, assuming an immediate and sustained parallel shift in the yield curve of   plus 300 basis points, or

(b)   Shortens by more than 6.0 years, assuming an immediate and sustained parallel shift in the yield curve of   minus 300 basis points.

(3)   Price Sensitivity Test: The estimated change in the price of the mortgage derivative product is more than 17   percent, due to an immediate and sustained parallel shift in the yield curve of plus or minus 300 basis points.

Generally, a CMO floating-rate debt class will not be subject to the average life and average life sensitivity tests if it bears a rate that, at the time of purchase or at a subsequent testing date, is below the contractual cap on the instrument. A CMO floating-rate debt class is a debt class whose rate adjusts at least annually on a one-for-one basis with the debt class's index. The index must be a conventional, widely-used market interest rate index such as LIBOR. Inverse floating rate debt classes are not included in the definition of a floating rate debt class.

For purposes of this item, mortgage derivative products should be tested to determine whether they are "high-risk" or "nonhigh-risk" with the frequency set forth in the Supervisory Policy Statement. Thus, institutions must ascertain and document prior to purchase and no less frequently than annually thereafter, that nonhigh-risk mortgage securities remain outside the high-risk category.

NOTE:

Reported in Schedule RC-B for the FFIEC 031, 032, 033 and 034 reports.

Reported in Schedule RAL for the FFIEC 002 report. Also excludes all liabilities to related depository institutions but includes all liabilities to related nondepository institutions.

Reported in Schedule HC-A for the FR Y-9C report.

Reported in the DB2 SURV01 table for "SURV".



BAGR Original Variable name: HRCMOBV Formula:

HRCMOBV=IF DT ge 19990331 THEN HRCMOBV=.; IF DT ge 19950331 and DT lt 19990331 THEN HRCMOBV=RCFD8780/1000;