Publications:
Quarterly Derivatives Fact Sheet - Third 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 securities structured notes or high-risk
mortgage securities remain largely confined to banks with total assets less than $1 billion.
The third quarter aggregated numbers indicate that book values exceeded market values
(fair values) by $61 million for high risk mortgage securities, a $34 million dollar improvement
from the second quarter. Book values exceeded market values by $204 million for structured notes, a
$49 million dollar improvement from the second quarter. The improvement in depreciation from second to
third quarter stems from the overall decline in market interest rates in the third quarter. For all banks with
high-risk mortgage securities, the average book value of holdings relative to total assets for the third
quarter of 1996 was 1.2 percent, compared to 1.3 percent in the second quarter of 1996. Average depreciation
to capital was .76 percent, compared to .83 percent in the second quarter.
For banks with structured notes, the average book value of holdings to total assets declined
slightly to 2.2 percent, compared to 2.4 percent in the second quarter, while average depreciation to
capital declined to .58 percent, compared to .68 percent in the second quarter. The
number of banks reporting high-risk mortgage securities decreased by 30 to 505, in the third
quarter. The number of banks reporting structured notes on their books decreased in the third
quarter by 163, to 3,687. [See Table 8 and
9.]
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