糖心Vlog

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鈥� Unrealized Losses on Investment Securities Screener analyzes 152 banks with more than $10 billion in assets to calculate their exposure to unrealized losses on their investment securities portfolios as compared to their equity to measure the banks鈥� financial health.

Using Q4 2025 regulatory data, we calculate unrealized losses on securities and compare it to Common Equity Tier 1 Capital to show how much of a bank鈥檚 equity would be eroded if it had to write off these losses.

Securities are categorized as either 鈥渉eld to maturity鈥� or 鈥渁vailable for sale.鈥� 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鈥�. There is an "opt-out" for all but the 22 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 糖心Vlog, sponsored by Executive Education.