Publications:
Quarterly Derivatives Fact Sheet -- Fourth 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 18 to 412, in the fourth quarter. The fourth quarter
aggregated numbers indicate that fair values exceeded book values by $11 million for high risk
mortgage securities, a $19 million dollar improvement from the third quarter, stemming from the
decrease in market interest rates in the fourth quarter. The average book value of holdings for
these banks relative to total assets for the fourth quarter of 1997 remained virtually the same at .3
percent. Average appreciation to risk-based capital remained at .01 percent.
The number of banks reporting structured notes on their books decreased in the fourth quarter by
164, to 2,784. Book values exceeded fair values by $44 million for structured notes, an $11
million dollar improvement from the third quarter, due to the decrease in interest rates over the
fourth quarter. For banks with structured notes, the average book value of holdings relative to
total assets remained virtually unchanged at .6 percent. The average amount of depreciation to
risk-based capital remained at .03 percent. [See Table 8 and Table 9,
Graphs 11.]
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