For banks located in U.S.-affiliated areas, market value level from quarterly Report of Condition for U.S.-chartered depository institutions (forms FFIEC 031, FFIEC 041 and FFIEC 051). Series is calculated as the sum of: for FFIEC 031 reporters, schedule RC-H - Selected Balance Sheet Items for Domestic Offices, Securities issued by states and political subdivisions in the US, sum of the amortized cost of held-to-maturity securities (series RCON8496) and a fraction of the fair value of available-for-sale securities (RCON8499), where the fraction is calculated from schedule RC-B - Securities, Securities issued by states and political subdivisions in the U.S., Available-for-sale, the ratio of Amortized cost to Fair Value (RCFD8498 divided RCFD8499); for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, Securities issued by states and political subdivisions in the U.S., sum of Held-to-maturity, Amortized cost (series RCON8496), and Available-for-sale, Amortized cost (RCON8498); for all FFIEC 031, FFIEC 041 and FFIEC 051 reporters, schedule RC-D - Trading Assets and Liabilities, Securities issued by states and political subdivisions in the U.S. (series RCON3533); schedule RC-C - Loans and Lease Financing Receivables, Obligations (other than securities and leases) of states and political subdivisions in the U.S. (series RCON2107), less a market to book value adjustment on loans that were reported at fair value calculated as a percentage of the difference between Memoranda, Other loans measured at fair value (series RCONF589) and the Unpaid principal balance of other loans measured at fair value (series RCONF601); plus a percentage of schedule RC-D - Trading Assets and Liabilities, Memoranda, Unpaid principal balance of other loans measured at fair value (series RCONF636). The aforementioned percentage is calculated from schedule RC-C - Loans and Lease Financing Receivables as the ratio of Obligations (other than securities and leases) of states and political subdivisions in the U.S. (series RCON2107) to the sum of Loans to depository institutions and acceptances of other banks (series RCON1288), Loans to finance agricultural production and other loans to farmers (series RCON1590), Loans to foreign governments and official institutions (including foreign central banks) (series RCON2081), Obligations (other than securities and leases) of states and political subdivisions in the U.S. (series RCON2107), and Other loans (series RCON1563). Capital gains are computed using the change in the Merrill Lynch Municipal 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: 02/28/2019