Data from quarterly Reports of Condition for U.S.-chartered depository institutions (forms FFIEC 031, FFIEC 041 and FFIEC 051). Beginning 2012:Q1, market value level estimated as the consolidated market value held to maturity securities (schedule RC-B) multiplied by the ratio of book value domestic held to maturity securities (schedule RC-H) to consolidated book value held to maturity securities (schedule RC-B); plus an appropriate share of domestic market value available for sale securities (schedule RC-H); plus an estimate of domestic trading securities (schedule RC-D). Transactions are calculated as the change in the book value level. Capital gains are computed as the change in the market value level, less transactions, less any other change in volume. Data for the most recent ten years show no significant seasonality. Book value level is calculated as the sum of: for FFIEC 031 reporters, schedule RC-H - Selected Balance Sheet Items for Domestic Offices, Mortgage-backed securities MBS Other MBS (include CMOs REMICs and stripped MBS ), All other mortgage-backed securities, the "residential" fraction of the amortized cost of held-to-maturity (HTM) securities (series RCON1733) plus the "book-value residential" fraction of the fair value of available-for-sale (AFS) securities (series RCON1736) [The residential fraction of the HTM securities is calculated from schedule RC-B - Securities, as the ratio of residential to total (i.e., residential plus commercial) held-for-maturity MBS that are not pass-through securities or issued or guaranteed by FNMA FHLMC or GNMA at amortized cost (sum of RCFDG316 and RCFDG320 divided by sum of RCFDG316, RCFDG320, and RCFDK154). The book-value residential fraction of the AFS securities is calculated from schedule RC-B - Securities, as the ratio of Amortized cost to Fair Value of the AFS Residential MBS that are not pass-through securities or issued or guaranteed by FNMA FHLMC or GNMA multiplied by the ratio of residential to total available-for-sale MBS that are not pass-through securities or issued or guaranteed by FNMA FHLMC or GNMA at fair value (the ratio of the sum of RCFDG318 and RCFDG322 to the sum of RCFDG319 and RCFDG323, multiplied by the ratio of RCFDG319 plus RCFDG323 to the sum of RCFDG319, RCFDG323, and RCFDK157).]; for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, Mortgage-backed securities MBS Other residential mortgage-backed securities (include CMOs REMICs and stripped MBS Collateralized by MBS issued or guaranteed by FNMA FHLMC or GNMA sum of Held-to-maturity, Amortized cost (RCONG316), and Available-for-sale, Amortized cost (RCONG318) plus All other residential mortgage-backed securities, sum of Held-to-maturity, Amortized cost (RCONG320), and Available-for-sale, Amortized cost (RCONG322).
Last edited on: 03/04/2019