Market value level from NCUA Call Report (NCUA 5300). From 2022Q1, the sum of Schedule B Investments, Supplemental Information, Section 1, Fair Values of Held-to-maturity and Available-for-sale Non-Federal Agency Asset-Backed Securities - Senior Tranches and Subordinated Tranches, and Section 2, Trading Debt and Equity Securities, Fair Values of Non-Federal Agency Asset-Backed Securities - Senior Tranches and Subordinated Tranches (CUSAPC34 + CUSAPC36 + CUSAPC50 + CUSAPC52 + CUSAPC78 + CUSAPC82) . From 2010q4 to 2021Q4, Schedule B - Investments, Supplemental Information, Total Other Mortgage-Backed Securities (series CUSAC417). Capital gains are computed using the change in the Merrill Lynch U.S. Corporate Master par weighted price index. Transactions are calculated as the change in market value level less capital gains less any other volume changes. Data for the most recent ten years show no significant seasonality.
Last edited on: 09/02/2022