Series analyzer for FA763063693.Q

U.S.-chartered depository institutions; private commercial CMOs and other structured MBS; asset

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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 "commercial" fraction of the amortized cost of held-to-maturity (HTM) securities (series RCON1733) plus the "book-value commercial" fraction of the fair value of available-for-sale (AFS) securities (series RCON1736) [The commercial fraction of the HTM securities is calculated from schedule RC-B - Securities, as the ratio of commercial 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 (series RCFDK154 divided by sum of RCFDG316, RCFDG320, and RCFDK154). The book-value commercial fraction of the AFS securities is calculated from schedule RC-B - Securities, as the ratio of Amortized cost to Fair Value of the AFS Commercial MBS that are not pass-through securities or issued or guaranteed by FNMA FHLMC or GNMA multiplied by the ratio of commercial 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 RCFDK156 to RCFDK157, multiplied by the ratio of RCFDK157 to the sum of RCFDG319, RCFDG323, and RCFDK157).]; for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, Mortgage-backed securities MBS All Other commercial MBS sum of Held-to-maturity, Amortized cost (RCONK154), and Available-for-sale, Amortized cost (RCONK156).

Last edited on: 03/04/2019
Shown on: F.111 Line 21
Derived from:
FOF CodeDescription
+ FU763063693.QU.S.-chartered depository institutions; private commercial CMOs and other structured MBS; asset
+ FS763063693.QU.S.-chartered depository institutions; private commercial CMOs and other structured MBS; asset

Used in:
FOF CodeDescription
+ FA763063605.QU.S.-chartered depository institutions; private MBS and CMOs; asset