{"id":778,"date":"2026-04-12T07:29:41","date_gmt":"2026-04-12T07:29:41","guid":{"rendered":"https:\/\/blog.deepdigitalventures.com\/?p=778"},"modified":"2026-04-24T08:26:45","modified_gmt":"2026-04-24T08:26:45","slug":"which-banks-are-carrying-the-biggest-securities-books-relative-to-equity-a-public-data-screen-for-balance-sheet-duration-risk","status":"publish","type":"post","link":"https:\/\/banking.deepdigitalventures.com\/blog\/which-banks-are-carrying-the-biggest-securities-books-relative-to-equity-a-public-data-screen-for-balance-sheet-duration-risk\/","title":{"rendered":"How to Screen Banks With Large Securities Books Relative to Equity"},"content":{"rendered":"<p>A large securities portfolio is not automatically a problem. It becomes worth investigating when the portfolio is large relative to the equity base, the duration is long, unrealized losses are meaningful, and funding could force the bank to sell securities before values recover.<\/p><p>This post is intentionally framed as a screening methodology, not a live ranking of current banks. A ranked list goes stale as soon as a new Call Report quarter arrives. The more durable question is: how do you identify the banks that deserve a closer look each quarter, using public data and a consistent formula?<\/p><p>The short answer: rank banks by debt securities relative to tangible common equity, then immediately add two overlays &#8211; unrealized loss pressure and funding pressure. The first ratio tells you where the balance sheet is securities-heavy. The overlays tell you whether that positioning is likely to matter.<\/p><div class='ddv-methodology-box'><h2>Methodology Box: The Screen Used Here<\/h2><ul><li><strong>Core ratio:<\/strong> securities book \/ tangible common equity.<\/li><li><strong>Numerator:<\/strong> held-to-maturity securities from Schedule RC, item 2.a, plus available-for-sale debt securities from Schedule RC, item 2.b. Call Report instructions tie those amounts to Schedule RC-B total amortized cost for HTM and total fair value for AFS debt securities.<sup>[1]<\/sup><\/li><li><strong>Denominator:<\/strong> tangible common equity, defined here as common equity less goodwill and other intangible assets. If you use total equity capital instead, label the result as securities \/ total equity and do not mix it with TCE-based screens.<\/li><li><strong>Universe:<\/strong> FDIC-insured banks and savings associations that file FFIEC 031 or FFIEC 041 Call Reports. Holding-company work should use the comparable FR Y-9C fields and be kept separate from bank-level screens.<\/li><li><strong>Reporting period:<\/strong> refresh quarterly after Call Report data updates. Industry examples below reference fourth quarter 2025 FDIC data, released February 24, 2026.<sup>[2]<\/sup><\/li><li><strong>Exclusions:<\/strong> exclude trading assets, equity securities not held for trading, FHLB stock, loans, and derivatives unless you explicitly broaden the screen and rename the metric. The point is to isolate the balance-sheet securities book, not every asset with market sensitivity.<\/li><li><strong>Second-step overlays:<\/strong> AFS unrealized losses \/ TCE, HTM unrealized losses \/ common equity tier 1 capital, uninsured deposits \/ total deposits, wholesale funding \/ assets, and securities pledged \/ total securities.<\/li><\/ul><\/div><h2>Why This Screen Still Matters After the Rate Shock<\/h2><p>The reason this screen matters is simple: securities losses can look manageable in accounting form and become much more important under liquidity stress. In fourth quarter 2025, the FDIC reported $306.1 billion of unrealized losses on held-to-maturity and available-for-sale securities across the banking industry.<sup>[2]<\/sup> That was lower than the $620 billion reported in fourth quarter 2022, but it was still a large embedded mark relative to normal pre-2022 conditions.<sup>[3]<\/sup><\/p><p>The lesson from 2023 was not that every securities-heavy bank is fragile. It was that asset marks, capital, and depositor behavior have to be read together. Jiang, Matvos, Piskorski, and Seru found that the fragile combination was high asset losses, low capital, and high uninsured leverage, not securities exposure by itself.<sup>[5]<\/sup><\/p><p>That is the main upgrade to the basic ratio. Do not stop at securities \/ equity. Use it to find the names where duration, funding, and capital deserve a sharper review.<\/p><h2>AFS vs HTM Without the Jargon Fog<\/h2><p>The accounting category matters because it determines where unrealized gains and losses show up before a sale.<\/p><table><thead><tr><th>Category<\/th><th>Accounting treatment<\/th><th>Screening implication<\/th><\/tr><\/thead><tbody><tr><td>Available-for-sale debt securities, or AFS<\/td><td>Reported at fair value. Unrealized gains and losses flow through accumulated other comprehensive income, or AOCI.<\/td><td>AFS losses are already visible in tangible book value, but may not fully affect regulatory capital for every bank depending on AOCI treatment.<\/td><\/tr><tr><td>Held-to-maturity securities, or HTM<\/td><td>Reported at amortized cost on the balance sheet, with fair value disclosed separately in securities schedules.<\/td><td>HTM losses can remain less visible in book capital until securities are sold, transferred, or otherwise become relevant under stress.<\/td><\/tr><tr><td>Trading assets<\/td><td>Reported separately from the securities screen and marked through earnings.<\/td><td>Exclude from this screen unless you are building a broader market-risk screen.<\/td><\/tr><\/tbody><\/table><p>Definitions matter here. AOCI means accumulated other comprehensive income. CET1 means common equity tier 1 capital. TCE means tangible common equity. For screening, use TCE when you want a market-facing equity cushion and CET1 when you want a regulatory-capital lens.<\/p><p>Regulatory capital treatment is not uniform across all banks. Federal Reserve capital rules allow certain non-advanced approaches institutions to make an AOCI opt-out election, which can remove most AOCI components from CET1 capital calculations.<sup>[6]<\/sup> The banking agencies issued a March 2026 capital proposal focused on Category I and II banking organizations and banking organizations with significant trading activity, with optional adoption for others.<sup>[7]<\/sup> For a screen, that means analysts should not assume the same AFS loss has the same regulatory-capital effect at every institution.<\/p><h2>Run the Screen in 5 Minutes<\/h2><ol><li><strong>Pull the latest quarter.<\/strong> Use the most recent Call Report quarter for the bank-level universe. Do not mix quarters unless you are explicitly building a trend table.<\/li><li><strong>Calculate the core ratio.<\/strong> Add HTM securities and AFS debt securities, then divide by TCE. Sort descending.<\/li><li><strong>Flag outliers, not conclusions.<\/strong> Treat anything above 5x as worth review, above 7x as elevated, and above 10x as a structural outlier. These are triage bands, not regulatory thresholds.<\/li><li><strong>Add unrealized-loss overlays.<\/strong> Calculate AFS unrealized losses \/ TCE and HTM unrealized losses \/ CET1. A bank with a moderate securities ratio but very large HTM marks can be more interesting than a bank with a higher ratio and mostly short-duration AFS securities.<\/li><li><strong>Add funding overlays.<\/strong> Look at uninsured deposits, deposit concentration, brokered deposits, wholesale funding, borrowings, and pledged securities. The securities book becomes more important when liabilities can leave quickly or collateral is already tied up.<\/li><\/ol><p>That workflow gives you a shortlist that can be reviewed institution by institution. It also keeps the first pass repeatable. The more custom adjustments you add before ranking, the harder the screen becomes to maintain across hundreds or thousands of banks.<\/p><h2>What to Rank First<\/h2><p>A useful output is not a single league table. It is a ranked table with columns that explain why each institution surfaced. Start with these fields:<\/p><table><thead><tr><th>Column<\/th><th>Why it belongs in the first screen<\/th><th>How to read it<\/th><\/tr><\/thead><tbody><tr><td>Securities \/ TCE<\/td><td>Shows how large the securities book is relative to the tangible equity cushion.<\/td><td>High values move the bank into the review set.<\/td><\/tr><tr><td>AFS unrealized losses \/ TCE<\/td><td>Shows the mark already reflected in accumulated other comprehensive income.<\/td><td>Large negative marks can pressure tangible book value and market perception.<\/td><\/tr><tr><td>HTM unrealized losses \/ CET1<\/td><td>Shows the hidden mark that could become capital-relevant if securities must be sold.<\/td><td>High values matter most when funding stress could force realization.<\/td><\/tr><tr><td>Uninsured deposits \/ total deposits<\/td><td>Captures potential run sensitivity and depositor bargaining power.<\/td><td>High values make asset marks more dangerous.<\/td><\/tr><tr><td>Wholesale funding \/ assets<\/td><td>Highlights reliance on non-core funding.<\/td><td>High values can indicate less funding flexibility.<\/td><\/tr><tr><td>Pledged securities \/ total securities<\/td><td>Shows how much of the portfolio is already encumbered.<\/td><td>High values can reduce usable liquidity under stress.<\/td><\/tr><tr><td>Peer percentile<\/td><td>Separates business-model differences from true outliers.<\/td><td>Compare community banks to community banks, regionals to regionals, and specialized models to similar models.<\/td><\/tr><\/tbody><\/table><p>The original insight is in the interaction, not in the headline ratio. A 6x securities \/ TCE bank with mostly short-duration agency securities, low uninsured deposits, and excess liquidity may be less urgent than a 3.5x bank with concentrated uninsured deposits, large HTM marks, and limited collateral flexibility.<\/p><h2>The SVB Lesson for This Screen<\/h2><p>Silicon Valley Bank is useful as a pattern, not as a permanent benchmark. The Federal Reserve review found that SVB Financial Group invested rapid deposit growth into long-dated securities and that, at year-end 2022, about 94 percent of SVBFG deposits were uninsured.<sup>[4]<\/sup> The review also noted that SVBFG&#8217;s securities portfolio as a share of assets was more than double its large banking organization peer group, while its HTM portfolio as a share of total securities was nearly double the peer average.<sup>[4]<\/sup><\/p><p>The takeaway is not to search for the next SVB by copying one ratio. The better takeaway is to look for the same interaction: long-duration assets, meaningful marks, concentrated or flight-prone funding, and limited room to absorb a forced balance-sheet move.<\/p><h2>How to Avoid False Positives<\/h2><p>The most common mistake is ranking every bank together and treating the top of the list as the highest-risk set. That can distort the analysis. Some banks hold larger securities books because of business model, loan demand, liquidity strategy, or local-market structure.<\/p><p>Use peer groups before you escalate a name. A rural community bank with a securities-heavy balance sheet may not belong in the same comparison set as a fast-growing regional bank with concentrated commercial deposits. A trust bank, credit-card lender, or specialty commercial bank may also need a different peer lens.<\/p><p>Also separate duration risk from accounting optics. AFS losses are visible through AOCI, while HTM losses can sit outside the primary carrying value. A bank with a high AFS mark may look worse on tangible book but be more transparent. A bank with a large HTM mark may look cleaner on book equity while carrying more forced-sale sensitivity.<\/p><h2>When a High Ratio Becomes Actionable<\/h2><p>A high securities \/ TCE ratio becomes more actionable when at least two of the following are true:<\/p><ul><li>HTM unrealized losses absorb a meaningful share of CET1.<\/li><li>AFS unrealized losses materially reduce tangible book value.<\/li><li>Uninsured deposits are high relative to total deposits.<\/li><li>Deposit balances are declining faster than peers.<\/li><li>Borrowings or brokered deposits are rising.<\/li><li>A large share of securities is pledged.<\/li><li>Management disclosure gives limited detail on duration, hedging, or liquidity contingency plans.<\/li><li>The bank is an outlier against close peers, not just against the full industry.<\/li><\/ul><p>This is where the screen moves from data pull to judgment. The ratio gets the bank onto the page. The funding and loss overlays determine whether it deserves deeper work.<\/p><h2>A Practical Workflow Bridge<\/h2><p>If you want to run this screen without rebuilding a spreadsheet every quarter, use <a href='https:\/\/banking.deepdigitalventures.com\/'>Banking<\/a> to compare public-data metrics across institutions, or start with the <a href='https:\/\/banking.deepdigitalventures.com\/'>aggregate balance-sheet view<\/a> and work from broad outliers into bank-level review.<\/p><p>Keep the workflow disciplined: one formula, one quarter, one peer set, then a second pass for unrealized losses and funding. That is more useful than a dramatic ranking with unclear definitions.<\/p><h2>FAQ<\/h2><h3>Which exact FFIEC fields should I start with?<\/h3><p>For a bank-level Call Report screen, start with Schedule RC item 2.a for held-to-maturity securities and Schedule RC item 2.b for available-for-sale debt securities. The instructions map those fields to Schedule RC-B item 8, column A for HTM amortized cost and Schedule RC-B item 8, column D for AFS fair value.<sup>[1]<\/sup> Use a consistent equity denominator and label it clearly.<\/p><h3>Should the denominator be TCE or CET1?<\/h3><p>Use TCE when the question is market-facing balance-sheet cushion: how large is the securities book relative to tangible common equity? Use CET1 when the question is regulatory capital sensitivity. For HTM loss stress, HTM unrealized losses \/ CET1 is often the cleaner second-step ratio because it asks how much regulatory capital could be affected if hidden marks became realized.<\/p><h3>When should trading or equity securities be excluded?<\/h3><p>Exclude them in the base screen. Trading assets are a different risk category because marks run through earnings, while equity securities and FHLB stock can distort a duration-focused debt securities screen. Add them only if your stated goal is a broader investment-assets screen.<\/p><h3>How often should the screen be refreshed?<\/h3><p>Refresh quarterly after Call Report data is available. Also rerun the screen after major rate moves, unusual deposit outflows, capital raises, securities sales, or merger activity. A bank&#8217;s rank can change because securities balances move, equity changes, or unrealized losses reverse.<\/p><h3>Why not publish a single list of the banks with the highest ratios?<\/h3><p>A single list without date, universe, formula, and peer context is easy to misread. The better output is a dated table with the formula shown, then columns for unrealized losses, funding mix, and peer percentile. That lets readers see whether a bank is merely securities-heavy or genuinely exposed to duration and liquidity pressure.<\/p><h3>What is the fastest way to make the screen more robust?<\/h3><p>Add one funding column and one loss column. Securities \/ TCE plus HTM unrealized losses \/ CET1 plus uninsured deposits \/ total deposits will usually tell you far more than securities \/ TCE alone.<\/p><!-- ddv-source-append:start --><h2 class='wp-block-heading'>Sources<\/h2><ol class='wp-block-list'><li><a href='https:\/\/www.ffiec.gov\/pdf\/FFIEC_forms\/FFIEC031_FFIEC041_202412_i.pdf'>FFIEC 031 and 041 Call Report instructions<\/a> &#8211; field definitions for Schedule RC and Schedule RC-B securities and equity items.<\/li><li><a href='https:\/\/www.fdic.gov\/news\/speeches\/2026\/fdic-quarterly-banking-profile-fourth-quarter-2025'>FDIC Quarterly Banking Profile, fourth quarter 2025<\/a> &#8211; industry unrealized securities losses and quarter context.<\/li><li><a href='https:\/\/www.fdic.gov\/news\/speeches\/2023\/spfeb2823.html'>FDIC Quarterly Banking Profile, fourth quarter 2022<\/a> &#8211; $620 billion industry unrealized securities loss reference.<\/li><li><a href='https:\/\/www.federalreserve.gov\/publications\/2023-April-SVB-Evolution-of-Silicon-Valley-Bank.htm'>Federal Reserve Review of Silicon Valley Bank, evolution of SVB<\/a> &#8211; SVB securities, peer, and uninsured deposit context.<\/li><li><a href='https:\/\/www.nber.org\/papers\/w31048'>Jiang, Matvos, Piskorski, and Seru, Monetary Tightening and U.S. Bank Fragility in 2023<\/a> &#8211; research on asset marks, capital, and uninsured depositor run risk.<\/li><li><a href='https:\/\/www.federalreserve.gov\/frrs\/regulations\/section-21722-regulatory-capital-adjustments-and-deductions.htm'>Federal Reserve Regulation 217.22<\/a> &#8211; AOCI opt-out and regulatory capital adjustment rules.<\/li><li><a href='https:\/\/www.fdic.gov\/news\/financial-institution-letters\/2026\/regulatory-capital-rule-category-i-and-ii-banking'>FDIC FIL-7-2026 regulatory capital proposal<\/a> &#8211; March 2026 proposal for Category I and II organizations, significant trading activity, and optional adoption.<\/li><\/ol><!-- ddv-source-append:end -->","protected":false},"excerpt":{"rendered":"<p>A large securities portfolio is not automatically a problem. It becomes worth investigating when the portfolio is large relative to the equity base, the duration is long, unrealized losses are meaningful, and funding could force the bank to sell securities before values recover. This post is intentionally framed as a screening methodology, not a live [&hellip;]<\/p>\n","protected":false},"author":3,"featured_media":1143,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_seopress_robots_primary_cat":"","_seopress_titles_title":"Bank Securities-to-Equity Screen: Formula and Workflow","_seopress_titles_desc":"A practical public-data methodology for screening banks with large securities books relative to equity, including formula, fields, overlays, and sources.","_seopress_robots_index":"","footnotes":""},"categories":[12],"tags":[],"class_list":["post-778","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-industry-analysis"],"_links":{"self":[{"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/posts\/778","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/comments?post=778"}],"version-history":[{"count":5,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/posts\/778\/revisions"}],"predecessor-version":[{"id":2121,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/posts\/778\/revisions\/2121"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/media\/1143"}],"wp:attachment":[{"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/media?parent=778"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/categories?post=778"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/banking.deepdigitalventures.com\/blog\/wp-json\/wp\/v2\/tags?post=778"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}