Data Dictionary
Item Number C035
MORTGAGE-BACKED SECURITIESCall confidentiality applies to FFIEC 031/041.
| Series | Start Date | End Date | Confidential? | Reporting Forms |
|---|---|---|---|---|
| RCFDC035 | 2001-06-30 | 2002-12-31 | Yes | Multiple Forms |
| RCFDC035 | 2003-03-31 | 9999-12-31 | Yes | Multiple Forms |
| RCFNC035 | 2001-06-30 | 9999-12-31 | Yes | Multiple Forms |
| RCONC035 | 2001-06-30 | 9999-12-31 | Yes | FFIEC 002 |
Data Description:
Report the appropriate value of all mortgage-backed securities, including mortgage pass-through securities, collateralized mortgage obligations (CMOs), real estate mortgage investment conduits (REMICs), CMO and REMIC residuals, and stripped mortgage-backed securities (such as interest-only strips (IOs), principal-only strips (POs), and similar instruments), including such mortgage-backed securities issued by non-U.S.-government issuers (e.g., other depository institutions,insurance companies, and state and local housing authorities in the U.S.).
In general, a mortgage pass-through security represents an undivided interest in a pool that provides the holder with a pro rata share of all principal and interest payments on the residential mortgages in the pool, and includes certificates of participation in pools of residential mortgages.
Include certificates of participation in pools of residential mortgages even though the reporting institution was the original holder of the mortgages underlying the pool and holds the instruments covering that pool, as may be the case with GNMA certificates issued by the reporting institution and swaps with FNMA and FHLMC. Also include U.S. Government-issued participation certificates (PCs) that represent a pro rata share of all principal and interest payments on a pool of resecuritized participation certificates that, in turn, are backed by residential mortgages, e.g., FHLMC Giant PCs.
Exclude from mortgage-backed securities:
(1) Securities backed by loans extended under home equity lines, i.e., revolving open-end lines of credit secured by 1 4 family residential properties (report as asset-backed securities backed by "Home equity lines" in Schedule RAL, item 1(c)(3).
(2) Bonds issued by the Federal National Mortgage Association (FNMA) and the Federal Home Loan Mortgage Corporation (FHLMC) that are collateralized by mortgages, i.e., mortgage-backed bonds, (report in Schedule RAL, item 1(b)(2), "U.S. Government agency and corporation obligations," and mortgage-backed bonds issued by non-U.S. Government issuers (report in Schedule RAL, item 1(c)(4), "All other," below).
(3) Participation certificates issued by the Export Import Bank and the General Services Administration (report in Schedule RAL, item 1(b)(2)).
(4) Participation certificates issued by a Federal Intermediate Credit Bank (report in Schedule RAL, item 1(h), "Other assets (including other claims on unrelated parties)").
NOTE:
Beginning 3/31/03, the following derivations were added to the FFIEC 002 on Schedule RAL, RCFDC416 plus RCFDC417 = RCFDC035; RCFNC416 plus RCFNC417 = RCFNC035; RCFDC035 (D) minus RCFNC035 (D) = RCONC035.
Prior to 3/31/03, reported as a derived item for the FFIEC 002 on Schedule RAL which included the sum of RCFDC035 minus RCFNC035 = RCONC035.