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 mortgage-backed securities (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA the "residential" fraction of the amortized cost of held-to-maturity (HTM) securities (RCONG393) plus the "book-value residential" fraction of the fair value of available-for-sale (AFS) securities (RCONG394) [The residential fraction of the HTM securities is calculated from schedule RC-B - Securities, as the ratio of the Amortized cost of HTM Other residential MBS (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA to the Amortized cost of HTM, non-pass-through MBS (both commercial and residential) that is issued or guaranteed by FNMA FHLMC or GNMA (RCFDG312 divided by the sum of RCFDG312 and RCFDK150). 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 Other residential MBS (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA multiplied by the ratio of the Fair Value of AFS Other residential MBS (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA to the Fair Value of AFS, non-pass-through MBS (both commercial and residential) that is issued or guaranteed by FNMA FHLMC or GNMA (the ratio of RCFDG314 to RCFDG315 multiplied by the ratio of RCFDG315 to the sum of RCFDG315 and RCFDK153).]; plus schedule RC-D - Trading Assets and Liabilities, Mortgage-backed securities MBS Other residential MBS issued or guaranteed by FNMA FHLMC or GNMA (include CMOs REMICs and stripped MBS (RCFDG380, note all is assumed to be at domestic offices); 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 Issued or guaranteed by FNMA FHLMC or GNMA sum of Held-to-maturity, Amortized cost (RCONG312), and Available-for-sale, Amortized cost (RCONG314); plus schedule RC-D - Trading Assets and Liabilities, Mortgage-backed securities MBS Other residential MBS issued or guaranteed by FNMA FHLMC or GNMA (include CMOs REMICs and stripped MBS (RCONG380).
Last edited on: 03/04/2019