Board of Governors of the Federal Reserve System

Data Dictionary

Item Number 8782

Call confidentiality applies to FFIEC 031/041.

Data Description:

Includes the amortized cost of all structured notes 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, of the body of Schedule HC-A for the FR Y-9C report, and in Schedule RAL, items 1754 and 1772 for the FFIEC 002 report.

Excluded from structured notes are floating rate debt securities denominated in U.S. dollars whose payment of interest is based upon a single index of a Treasury bill rate, the prime rate, or LIBOR and which do not contain adjusting caps, adjusting floors, leverage, or variable principal redemption. Furthermore, debt securities that do not possess the aforementioned characteristics of a structured note need not be reported as structured notes solely because they are callable as of a specified date at a specified price. In addition, debt securities that in the past possessed the characteristics of a structured note, but which have "fallen through" their structures (e.g., all of the issuer's call options have expired and there are no more adjustments to the interest rate on the security), need not be reported as structured notes.

Generally, municipal and corporate securities that have periodic call options are not reported as structured notes. Although many of these securities have features similar to those found in some structured notes (e.g., step-ups, which generally remain callable after a step-up date), they are not commonly known as structured notes. Examples of such callable securities that are not reported as structured notes includes:

(1)   Callable municipal and corporate bonds which have single (or multiple) explicit call dates and then can be called on any interest payment date after the last explicit call date (i.e., they are continuously callable).

(2)   Callable federal agency securities that have continuous call features after an explicit call date, except step-up bonds (which are structured notes).

The mere existence of simple caps and floors does not necessarily make a security a structured note. Securities with adjusting caps or floors (i.e., caps or floors that change over time), however, are structured notes. Therefore, the following types of securities are not reported as structured notes:

(1)   Variable rate securities, including Small Business Administration "Guaranteed Loan Pool Certificates," unless they have features of securities which are commonly known as structured notes (i.e., they are inverse, range, or de-leveraged floaters, index amortizing notes, dual index or variable principal redemption or step-up bonds), or have adjusting caps or floors.

(2)   Mortgage-backed securities.

Structured notes includes, but are not limited to, the following common structures:

(1)   Floating rate debt securities whose payment of interest is based upon a single index of a Constant Maturity Treasury (CMT) rate or a Cost of Funds Index (COFI).

(2)   Step-up Bonds. Step-up securities initially pay the investor an above-market yield for a short noncall period and then, if not called, "step up" to a higher coupon rate (which will be below current market rates). The investor initially receives a higher yield because of having implicitly sold one or more call options. A step-up bond may continue to contain call options even after the bond has stepped up to higher coupon rate. A multistep bond has a series of fixed and successively higher coupons over its life. At each call date, if the bond is not called, the coupon rate increases.

(3)   Index Amortizing Notes (IANs). IANs repay principal according to a predetermined amortization schedule that is linked to the level of a specific index (usually the London Interbank Offered Rate - LIBOR - or a specified prepayment rate). As market interest rates increase (or prepayment rates decrease), the maturity of an IAN extends, similar to that of a collateralized mortgage obligation.

(4)   Dual Index Notes. These bonds have coupon rates that are determined by the difference between two market indices, typically the Constant Maturity Treasury (CMT) rate and LIBOR. These bonds often have a fixed coupon rate for a brief period, followed by a longer period of variable rates, e.g., 8 percent fixed for two years, then the 10-year CMT rate plus 300 basis points minus three-month LIBOR.

(5)   De-leveraged Bonds. These bonds pay investors according to a formula that is based upon a fraction of the increase or decrease in a specified index, such as the CMT rate or the prime rate. For example, the coupon might be the 10-year CMT rate multiplied by 0.5, plus 150 basis points. The de-leveraging multiplier (0.5) causes the coupon to lag overall movements in market yields. A leveraged bond would involve a multiplier greater than 1.

(6)   Range Bonds. Range bonds (or accrual bonds) pay the investor an above-market coupon rate as long as the reference rate is between levels established at issue. For each day that the reference rate is outside this range, the bonds earn no interest. For example, if LIBOR is the reference rate, a bond might pay LIBOR plus 75 basis points for each day that LIBOR is between 3.5 and 5.0 percent. When LIBOR is less than 3.5 percent or more than 5 percent, the bond would accrue no interest.

(7)   Inverse Floaters. These bonds have coupons that increase as rates decline and decrease as rates rise. The coupon is based upon a formula, such as 12 percent minus three-month LIBOR.

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".

For the UBPR series, the FDIC's Data Element name is H-STRUNOTEAM

This variable is used by the FDIC and OCC in the process to generate the UBPR in the Central Data Repository (CDR). The Board does NOT store this MDRM within the UBPR series tables in the Board's Financial Data Repository (FDR).

BAGR Original Variable name: STRUCBV Formula:

STRUCBV=IF DT ge 19950331 THEN STRUCBV=RCFD8782/1000;

3-4-2013 SPECIAL NOTE: FFIEC 002 report - RCON8782 will be derived from 19950331 to 99991231 using the formula SUM(RCFD8782, -RCFN8782). Currently, the data does not exist. The data will be retroactively added to the FDR XMBA series. Work has begun on this change. Projected completion is end of March 2013.