Publications:
Derivatives Fact Sheet -- Fourth Quarter 1995
Choose Section: General.......Risk........High-risk Mortgage Securities and Structured Notes....Revenue
High-risk Mortgage Securities and Structured Notes
The banks reporting either structured notes or high-risk mortgage securities were
largely banks with total assets under $1 billion. The fourth quarter aggregated
numbers indicated that market values (fair values) exceeded book values by $54 million for high-risk mortgage securities, a $93 million improvement from the third quarter. Market values
were below book values by $146 million for structured notes, a $175 million improvement
from the third quarter.
This overall appreciation from third to fourth quarter stems from the
decline in interest rates in the fourth quarter. Additionally, the decline in interest rates resulted in
higher mortgage prepayments and resulting maturity of some issues, thus reducing the
aggregated book value of high-risk mortgage securities from third to fourth quarter. For all
banks with high-risk mortgage securities, the book value of holdings averaged 1.4 percent of total
assets, compared to 1.5 percent in the third quarter. Average depreciation to capital declined to .33 percent,
from .62 percent in the third quarter.
The numbers indicate that for banks with structured notes, the book value of holdings to total
assets averaged 2.8 percent, compared to 3.1 percent in the third quarter, while average depreciation to
capital declined to .52 percent, from .77 percent in the third quarter.
The number of banks reporting high-risk mortgage securities decreased by 36, to 569 in the fourth quarter. The number of banks
reporting structured notes on their books decreased in the fourth quarter by 110 to 4,273. [See
Tables 8 and 9.]
Next:
Revenues
| 
