It’s Getting Real(ized)
As has been recently discussed by many, the significant rise in yields across the Treasury curve, with the most notable increase occurring at the short-end of the curve, has resulted in large unrealized losses in bank securities portfolios. From March 2022 through July 2023, the Federal Reserve increased the target Federal Funds rate eleven times for a collective increase of 525 basis points. Since the last 25 basis point increase in July 2023, the Federal Reserve has opted to hold the target Fed Funds rate steady.
To start, we provide an update of a data table we’ve included in prior versions of Bank Watch regarding unrealized losses in bank bond portfolios.
Unrealized losses in available-for-sale (“AFS”) designated portfolios range from an average of 8.3% for banks with assets greater than $250 billion to 12.4% for banks with $1 billion to $3 billion of assets and banks with $3 billion to $10 billion of assets. As a percentage of Tier one capital, the range was from 14.2% for banks with assets greater than $250 billion to 29.2% for banks with $100 million to $500 million of assets.
Also in This Issue
Public Market Indicators
M&A Market Indicators