Publications:
Quarterly Derivatives Fact Sheet - Second Quarter 1996
Choose Section: General.......Risk....Revenue........High-risk Mortgage Securities and Structured Notes
High-risk Mortgage Securities and Structured Notes
The number of banks reporting either structured notes or
high-risk mortgage securitiesstructured notes or high-risk
mortgage securities remain largely confined to banks with total assets less than $1 billion.
The second quarter aggregated numbers indicate that book values exceeded market values
(fair values) by $96 million for high risk mortgage securities, an $84 million dollar deterioration
from the first quarter. Book values exceeded market values by $253 million for structured notes, a
$67 million dollar deterioration from the first quarter. This overall depreciation from first to
second quarter stems from the rise in market interest rates in the second quarter. For all banks with
high-risk mortgage securities, the average book value of holdings relative to total assets for the second
quarter of 1996 was 1.3 percent, compared to 1.4 percent in the first quarter of 1996. Average depreciation
to capital was .83 percent, compared to .52 percent in the first quarter.
For banks with structured notes, the average book value of holdings to total assets declined
slightly to 2.4 percent, compared to 2.5 percent in the first quarter, while average depreciation to
capital increased slightly, to .68 percent, compared to .60 percent in the first quarter. The
number of banks reporting high-risk mortgage securities decreased by 6 to 535, in the second
quarter. The number of banks reporting structured notes on their books decreased in the second
quarter by 196, to 3,850. [See Table 8 and
9.]
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