Publications:
Quarterly Derivatives Fact Sheet -- First Quarter 1998
Read 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 remain
largely confined to banks with total assets less than $10 billion. The number of banks reporting
high-risk mortgage securities decreased by 34 to 378, in the first quarter. The first quarter
aggregated numbers indicate that book values exceeded fair values by approximately $11 million
for high risk mortgage securities, a $22 million deterioration from fourth quarter levels. The
average book value of holdings for these banks relative to total assets for the first quarter of 1998
remained the same as fourth quarter, at .3 percent. Average depreciation to risk-based capital
remained at .01 percent.
The number of banks reporting structured notes on their books decreased in the first quarter by
363 to 2,421. Book values exceeded fair values by $29 million for structured notes, a $15 million
dollar improvement from the fourth quarter. For banks with structured notes, the average book
value of holdings relative to total assets was .53 percent. The average amount of depreciation to
risk-based capital remained at .02 percent. [See Table 8
and Table 9.]
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