Publications:
Quarterly Derivatives Fact Sheet - First Quarter 1996
Choose Section: General.......Risk....Revenue........High-risk Mortgage Securities and Structured Notes
High-risk Mortgage Securities and Structured Notes
The banks reporting either structured notes or high-risk mortgage securities were
largely banks with total assets of less than $1 billion. The first quarter aggregated numbers
indicated that book values exceeded market values (fair values) by $17 million for high risk
mortgage securities, a $71 million dollar deterioration from the fourth quarter. Book values
exceeded market values by $185 million for structured notes, a $39 million dollar deterioration
from the fourth quarter. This overall depreciation from fourth to first quarter stems from the rise
in interest rates in the first quarter. For all banks with high-risk mortgage securities, the average
book value of holdings relative to total assets for the first quarter of 1996 remained at 1.38 percent,
compared to the fourth quarter of 1995. Average depreciation to capital increased slightly, to
.50 percent, from .33 percent in the fourth quarter.
For banks with structured notes, the book value of holdings to total assets averaged 2.5 percent,
compared to 2.8 percent in the fourth quarter, while average depreciation to capital increased slightly,
to .54 percent, from .52 percent in the fourth quarter. The number of banks reporting high-risk mortgage
securities decreased by 27, to 541, in the first quarter. The number of banks reporting structured
notes on their books decreased in the first quarter by 233, to 4,041. [See Tables 8 and 9.]
This is the last section of the fact sheet.
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