November 21, 2023 (NO COMMENTS)

Held-to-maturity (HTM) securities at US banks would fetch $345 billion less than their amortised cost if sold, a Risk Quantum analysis of end-September figures across 21 dealers shows. The gap between amortised cost and fair value widened by $68.8 billion, or 24.9%, compared with end-June, taking the potential aggregate loss past its previous peak of $307 billion registered in Q3 2022. Mortgage-backed securities (MBSs), which made up 63% of all HTM securities across the sample, were