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, U.S. government agency obligations (exclude mortgage-backed securities), sum of the amortized cost of held-to-maturity securities (series RCON8492) and a fraction of the fair value of available-for-sale securities (RCON8495), where the fraction is calculated from schedule RC-B - Securities, U.S. Government agency and sponsored obligations (exclude mortgage-backed securities), Available-for-sale, the ratio of Amortized cost to Fair Value (RCFDHT50 divided by RCFDHT52); plus Schedule RC-H - Selected Balance Sheet Items for Domestic Offices, Other mortgage-backed securities (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA sum of amortized cost of held-to-maturity securities (RCONG393) and a fraction of the fair value of available-for-sale securities (RCONG394), where the fraction is calculated from schedule RC-B - Securities, the ratio of Amortized cost to Fair Value of the sum of Other residential mortgage-backed securities (include CMOs REMICs and stripped MBS Issued or guaranteed by FNMA FHLMC or GNMA Available-for-sale, and Other commercial MBS Issued of guaranteed by FNMA FHLMC or GNMA Available-for-sale (the sum of RCFDG314 and RCFDK152 divided by the sum of RCFDG315 and RCFDK153); plus schedule RC-D - Trading Assets and Liabilities, sum of U.S. government agency obligations (exclude mortgage-backed securities) (series RCFD3532, note all is assumed to be at domestic offices) and Mortgage-backed securities MBS Other residential MBS issued or guaranteed by FNMA FHLMC or GNMA (include CMOs REMICs and stripped MBS (series RCONG380, note all is assumed to be at domestic offices). for FFIEC 041 and FFIEC 051 reporters, schedule RC-B - Securities, sum of U.S. government agency and sponsored obligations (exclude mortgage-backed securities), Held-to-maturity, Amortized cost (series RCONHT50), and Available-for-sale, Amortized cost (series RCONHT50), 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), and Other commercial MBS Issued or guaranteed by FNMA FHLMC or GNMA sum of Held-to-maturity, Amortized cost (RCONK150), and Available-for-sale, Amortized cost (RCONK152); plus schedule RC-D - Trading Assets and Liabilities, sum of U.S. government agency obligations (exclude mortgage-backed securities) (series RCON3532) and Mortgage-backed securities MBS Other residential MBS issued or guaranteed by FNMA FHLMC or GNMA (include CMOs REMICs and stripped MBS (series RCONG380).
Last edited on: 03/04/2019