U.S. Banks Unrealized Securities Gains or Losses (% of Tier 1 Capital) ($100B+ Assets)

## What this measures

The difference between the fair value and the amortized cost of held-to-maturity and available-for-sale debt securities, as a percent of tier 1 capital, summed over banks with total assets of $100 billion or more. Negative means unrealized losses.

## Why it matters

When rates rise, bonds bought at low yields lose value. Those losses do not hit most banks’ regulatory capital until the bonds are sold, but they limit how banks can meet deposit outflows, as Silicon Valley Bank showed in 2023.

## How to read it

More negative means larger unrealized losses relative to capital. The all-bank figure fell to about minus one third of tier 1 capital in late 2022 as rates rose, and moves inversely with longer-term Treasury yields.

## What it does not say

Losses are on paper unless securities are sold, and they shrink as bonds approach maturity. It leaves out unrealized losses on loans, which can be larger. Size bands use each bank’s total assets in the quarter, in nominal dollars, so banks move between bands as they grow and the bands hold more banks over time than they would in constant dollars. Figures are for individual bank charters, not holding companies.

## How it's built

Sum over banks of (HTM fair value 1771 + AFS fair value 1773) minus (HTM amortized cost 1754 + AFS amortized cost 1772), divided by the sum of tier 1 capital (8274), consolidated where reported. Banks without tier 1 capital or securities are left out. History from the first quarter of 2008.

## Source

Federal Financial Institutions Examination Council, Central Data Repository, Call Reports bulk data ("Call Reports -- Single Period", cdr.ffiec.gov), every insured U.S. commercial bank and savings institution that files a Call Report; U.S. government work. Refreshed by /api/cron/bank-call-reports-sync, which checks weekly for a new quarter (banks file 30 days after quarter end; the full set is usually complete about 45 days after).