Series analyzer for FL763061803.Q

U.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; 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 Pass-through securities issued or guaranteed by FNMA FHLMC or GNMA the "residential" fraction of the amortized cost of held-to-maturity (HTM) securities (series RCONG389); plus the "book-value residential" fraction of the fair value of available-for-sale (AFS) securities (RCONG390) [The residential fraction of the HTM securities is calculated from schedule RC-B - Securities, as the ratio of the Amortized cost of HTM Residential mortgage pass-through securities guaranteed by GNMA or Issued by FNMA and FHLMC to the Amortized cost of HTM Residential and Commercial mortgage pass-through securities guaranteed by GNMA or Issued by FNMA and FHLMC (sum of RCFDG300 and RCFDG304 divided by the sum of RCFDG300, RCFDG304 and RCFDK142). 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 mortgage pass-through securities, Issued or guaranteed by FNMA FHLMC or GNMA multiplied by the ratio of the Fair Value of AFS Residential mortgage pass-through securities, Issued or guaranteed by FNMA FHLMC or GNMA to the Fair Value of AFS, Residential and Commercial pass-through securities that are issued or guaranteed by FNMA FHLMC or GNMA (the ratio of RCFDG302 and RCFDG306 to RCFDG303 and RCFDG307 multiplied by the ratio of RCFDG303 and RCFDG307 to RCFDG303, RCFDG307 and RCFDK145).]; plus, schedule RC-D - Trading Assets and Liabilities, Mortgage-backed securities MBS sum of Residential mortgage pass-through securities issued or guaranteed by FNMA FHLMC or GNMA (series RCFDG379, note all is assumed to be at domestic offices). for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, Mortgage-backed securities MBS sum of Residential pass-through securities, Guaranteed by GNMA sum of Held-to-maturity, Amortized cost (RCONG300), and Available-for-sale, Amortized cost (RCONG302), and Issued by FNMA and FHLMC sum of Held-to-maturity, Amortized cost (RCONG304), and Available-for-sale, Amortized cost (RCONG306); plus schedule RC-D - Trading Assets and Liabilities, Mortgage-backed securities MBS sum of Residential mortgage pass-through securities issued or guaranteed by FNMA FHLMC or GNMA (RCONG379).

Last edited on: 03/04/2019
Derived from:
FOF CodeDescription
+ FL763061803.QU.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; asset
+ FU763061803.QU.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; asset
+ FR763061803.QU.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; asset
+ FV763061803.QU.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; asset

Used in:
FOF CodeDescription
+ LM763061803.QU.S.-chartered depository institutions; agency issued residential mortgage pass-through securities; asset
- FL763061795.QU.S.-chartered depository institutions; agency- and GSE-backed securities, excluding MBS and CMOs; asset
+ FL763061705.QU.S.-chartered depository institutions; agency- and GSE-backed securities; asset