Thrifts are stocking up feverishly on mortgage derivatives, while big credit unions have an even larger share of their assets devoted to derivatives than savings and loans do, two new reports show.

The Office of Thrift Supervision said the share of mortgage derivatives the asset portfolios of savings institutions has more than tripled, to $34.6 billion or 4.4% of assets in 1992 from $11.1 billion, or 1.4% of assets, in 1989. In contrast, holdings of permanent mortgage loans rose 5.9% to $362.1 billion (46.6% of all assets) and holdings of mortgage pool securities grew 11.2% to $118.5 billion (14.9% share).

Big credit unions - the 1,031 institutions with more than $50 million in assets - are much more modest in their holdings, counting $7.5 billion in mortgage-backed securities in their investment portfolios. But of that total, $4.5 billion were two popular derivatives: collateralized mortgage obligations and real estate mortgage investment conduits. Given that credit unions' total portfolio runs about $75 billion, derivatives take up about 6% of the total.

The growing taste among credit unions for mortgage-backed securities and mortgage derivatives led the National Credit Union Administration earlier this month to tighten its suitability requirements for mortgage-backed derivatives to a three-part test.

The three-part test will add an average life and average life sensitivity component to the existing average price sensitivity test, or "shock test," required by NCUA to determine suitability for mortgage-backed derivatives, specifically collateralized mortgage obligations and real estate mortgage investment conduits.

Among OTS institutions, new interest rate risk rules expected soon from the Office of Thrift Supervision are likely to spur further demand for derivatives.

As long as there are needs for specific and different cash flows and Wall Street can meet them, this trend will continue," said George Engelke, CEO of Astoria Federal Savings in Lake Success, N.Y.

"[Collateralized mortgage obligations] didn't really take off until '83 and if you look at some of the inverse floater stuff off the CMO structures, it wasn't probably until '86-'88 that they took off," said a trader at Kemper Securities Group Inc. in Chicago.

Notwithstanding the increased holding, thrifts that have embraced mainstream derivatives continue to gingerly test the waters of more recent and seemingly exotic products.

"My investment types look at anything that comes down the pike, but anything that's plain old fraught with risk or anything that we'd just as soon avoid exposure to we just do." Engelke said.

Astoria feels more comfortable, he said, with CMOs than with more recent animals such as interest-only stripped mortgage-backed securities and zero-coupon stripped mortgage-backed securities.

Big credit unions' holdings in mortgage-backed securities now trail only investments in corporate credit unions, other federal agency securities (Fannie Mae stocks or bonds, for example, and U.S. government obligations as the preferred investments for the largest credit unions.

Definitive data about industrywide holdings will not be available until at least August, when the agency compiles data from midyear call reports. The remainder of the credit unions - those whose assets are less than $50 million - will be required to disclose the information for the first time in the midyear report.

The move to a three-part test by the credit union regulators follows a similar move by the bank and thrift regulators last year based on the three-part test designed by the interagency Federal Financial Institutions Examination Council. NCUA, which sits on the five-member FFIEC, deferred action on the test as they had found their own one-part exam to be adequate.

The new rule will not apply to CMO residuals or stripped mortgage-backed securities. Purchase of those instruments is prohibited for federal credit unions unless the instruments are used solely to reduce interest-rate risk, as a hedge.

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