Publications:
Quarterly Derivatives Fact Sheet -- Third Quarter 1997
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 24 to 430, in the
third quarter. The third quarter aggregated numbers indicate
that book values exceeded market values (fair values) by $8.7
million for high risk mortgage securities, a $35 million dollar
improvement from the second quarter, stemming from the decrease
in market interest rates in the third quarter. The average book
value of holdings for these banks relative to total assets for
the third quarter of 1997 remained at 1.1 percent. Average
depreciation to capital was .34 percent, an improvement from
second quarter levels.
The number of banks reporting structured notes on their books
decreased in the third quarter by 151, to 2,948. Book values
exceeded market values by $55 million for structured notes, a $53
million dollar improvement from the second quarter, due to the
decrease in interest rates over the third quarter. For banks
with structured notes, the average book value of holdings to
total remained virtually unchanged at 1.7 percent, compared to
1.8 percent in the second quarter, while the average amount of
depreciation to capital was .27 percent, an improvement from
second quarter levels. [See Table 8 and Table 9.]
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