US banks vulnerable to losses if HTM securities need to be sold

Overall mark-to-market value $300bn lower than amortised cost across 30 banks

US banks could face big losses if they are forced to sell held-to-maturity securities to meet demands for liquidity, a Risk Quantum analysis has shown.

Across 30 banks of all sizes, the gap between the amortised cost and fair value of all held-to-maturity (HTM) securities was $299 billion, or 12%, at the end of 2022.

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