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
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