Publications:
Quarterly Derivatives Fact Sheet -- Second 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 $1 billion. The number of banks reporting
high-risk mortgage securities decreased by 20 to 454, in the
second quarter. The second quarter aggregated numbers indicate
that book values exceeded market values (fair values) by $44
million for high risk mortgage securities, a $32 million dollar
improvement from the first quarter, stemming from the increase in
market interest rates in the second quarter. The average book
value of holdings for these banks relative to total assets for
the second quarter of 1997 remained at 1.2 percent. Average
depreciation to capital was .46 percent, a slight improvement
from first quarter levels.
The number of banks reporting structured notes on their books
decreased in the second quarter by 196, to 3,099. Book values
exceeded market values by $108 million for structured notes, a
$40 million dollar deterioration from the first quarter, due to
the increase in interest rates over the second quarter. For
banks with structured notes, the average book value of holdings
to total assets declined very slightly to 1.8 percent, compared
to 1.9 percent in the first quarter, while the average amount of
depreciation to capital resulted in .39, an improvement from
first quarter levels. [See tables 8 and 9.]
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