Series analyzer for FL763063673.Q

U.S.-chartered depository institutions; private 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 Other mortgage pass-through securities, the "residential" fraction of the amortized cost of held-to-maturity (HTM) securities (series RCON1709) plus the "book-value residential" fraction of the fair value of available-for-sale (AFS) securities (RCON1713) [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-to-maturity, Other pass-through securities, at amortized cost (RCFDG308 divided by the sum of RCFDG308 and RCFDK146). 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 mortgage pass-through securities multiplied by the ratio of residential to total AFS other mortgage pass-through securities, at fair value (RCFDG310 divided by RCFDG311, multiplied by the ratio of RCFDG311 to the sum of RCFDG311 and RCFDK149).]; plus schedule RC-D, Trading Assets and Liabilities, Mortgage-backed securities MBS All other residential MBS (RCFDG381, note all is assumed to be at domestic offices); and for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, Mortgage-backed securities MBS Other Residential mortgage pass-through securities, sum of Held-to-maturity, Amortized cost (RCONG308), and Available-for-sale, Amortized cost (RCONG310); plus schedule RC-D, Trading Assets and Liabilities, Mortgage-backed securities MBS All other residential MBS (RCONG381).

Last edited on: 03/04/2019
Derived from:
FOF CodeDescription
+ FL763063673.QU.S.-chartered depository institutions; private residential mortgage pass-through securities; asset
+ FU763063673.QU.S.-chartered depository institutions; private residential mortgage pass-through securities; asset
+ FR763063673.QU.S.-chartered depository institutions; private residential mortgage pass-through securities; asset
+ FV763063673.QU.S.-chartered depository institutions; private residential mortgage pass-through securities; asset

Used in:
FOF CodeDescription
+ FL763063605.QU.S.-chartered depository institutions; private MBS and CMOs; asset
+ LM763063673.QU.S.-chartered depository institutions; private residential mortgage pass-through securities; asset
+ FL763063005.QU.S.-chartered depository institutions, including IBFs; corporate and foreign bonds; asset