Rates & Macro
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Yield Curve and Bank Profitability: A Data-Driven Analysis
If you have sat in an ALCO meeting during a rate cycle, you already know the yield curve is not an abstraction. It is …
How Rising Interest Rates Affect Bank Net Interest Margins
If you have sat in an ALCO meeting during a rate-hiking cycle, you already know the dynamic is messier than the textbook suggests. The …
Interest Rate Risk: Key Metrics and Regulatory Data
If you have sat in an ALCO meeting since 2022, you know what the rate shock felt like from the inside. Net interest margins …
ALCO Data Requirements for Asset-Liability Management
Every ALCO meeting eventually hits the same wall: someone pulls a number from a spreadsheet, someone else pulls a different number from the core …
Yield on Earning Assets: What It Is and How to Calculate It
In Q4 2022, the average yield on earning assets across U.S. community banks sat around 4.3%. By Q4 2023 it had climbed to roughly …
Interest Rate Risk and Duration in Banks Explained
At the end of 2022, U.S. banks were sitting on roughly $620 billion in unrealized losses on their securities portfolios, the product of buying …
Unrealized Losses on Bank Securities (AFS & HTM)
At year-end 2025, U.S. banks were still carrying about $306 billion of unrealized losses on investment securities ($99 billion available-for-sale, $207 billion held-to-maturity), well …