U.S. Banks’ Unrealized Losses on Investment Securities Screener

The rise in interest rates over the past few years has affected the borrowing costs for many households in the country. Banks have not been immune either, as the spike in rates has adversely affected their securities portfolios, leading to potential consequences for banks and borrowers alike.

The U.S. Banks’ Unrealized Losses on Investment Securities Screener analyzes more than 1,000 U.S. banks with over $1 billion in assets to calculate their exposure to unrealized losses on their investment securities portfolios as compared to their equity to measure the banks’ financial health.

Using Q4 2024 regulatory data, we calculate unrealized losses on securities and compare it to Common Equity Tier 1 Capital to show how much of a bank’s equity would be eroded if it had to write off these losses.

Securities are categorized as either “held to maturity” or “available for sale.” As part of our calculations, the losses on the "available for sale" securities portfolio are subtracted from Total Equity Capital as "Accumulated Other Comprehensive Income”. There is an "opt-out" for all but the 23 complex banks choosing the "advanced approach" to regulatory capital. Banks indicate which approach they choose, as indicated by the "Opt-Out AOCI" column. For those banks, we sum up the losses on HTM and AFS securities and then divide them by CET1 capital. For advanced banks that recognize losses on AFS securities, we divide losses on HTM securities by CET1 capital.

This ongoing, quarterly project is produced by The Banking Initiative at Florida Atlantic University, sponsored by Executive Education.