Publications:
Quarterly Derivatives Fact Sheet -- First Quarter 1997
Read Section: General.......Risk........High-risk Mortgage Securities and Structured Notes....Revenue
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 $1 billion. The number of banks reporting high-risk mortgage securities decreased by 15 to 474 in the first quarter. The first quarter aggregated numbers indicate that book values exceeded market values (fair values) by $76
million for high risk mortgage securities, a $51 million dollar deterioration from the fourth
quarter, stemming from the increase in market interest rates in the first quarter. The average
book value of holdings for these banks relative to total assets for the first quarter of 1997
remained at 1.2 percent. Average depreciation to capital was .65 percent, a slight deterioration from fourth quarter levels.
The number of banks reporting structured notes on their books
decreased in the first quarter by 162, to 3,295. Book values
exceeded market values by $148 million for structured notes,
a $54 million improvement from the third quarter, due to the
decline in interest rates over the fourth quarter. For banks
with structured notes, the average book value of holdings to
total assets declined slightly to 1.9 percent, compared to
2.0 percent in the fourth quarter, while average depreciation
to capital increased to .48 percent, a deterioration from
.39 percent in the fourth quarter. [See tables 8 and 9.]
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Revenue
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