Capital
AOCI Burden
AOCI Burden measures unrealized losses on available-for-sale and held-to-maturity securities relative to a bank's tangible common equity. It quantifies the gap between book equity and 'mark-to-market' economic equity — the issue that brought down Silicon Valley Bank in 2023.
Formula
AFS (Available-for-Sale) unrealized losses flow through accumulated other comprehensive income for most banks; HTM (Held-to-Maturity) unrealized losses do not appear in book equity but are disclosed in the Schedule RC-B fair-value footnotes.
Why it matters
Banks that loaded up on long-duration securities during the 2020-2021 zero-rate period accumulated large unrealized losses as rates rose. For smaller community banks that opted out of the AOCI election, these losses don't hit regulatory capital — but if the bank is forced to sell securities to meet deposit outflows, the losses crystallize and capital evaporates. This was the SVB pattern.
How to interpret
Below 10%: minimal economic capital risk. 10-30%: meaningful duration risk but manageable. 30-50%: significant exposure — a deposit run could force loss crystallization. Above 50%: severe exposure; bank may be effectively insolvent on a mark-to-market basis.
Thresholds
| Range | Label | Interpretation |
|---|---|---|
| < 10% | Minimal | Securities portfolio well-hedged or rate-insensitive. |
| 10–30% | Moderate | Manageable duration exposure. |
| 30–50% | Elevated | Significant exposure to deposit-run scenarios. |
| > 50% | Severe | SVB-style mark-to-market insolvency risk. |
Worked example
Frequently asked
Why don't HTM unrealized losses hit regulatory capital?
Because the bank certifies intent and ability to hold the securities to maturity, accounting treatment lets them be carried at amortized cost. But the fair value is disclosed in footnotes, and a forced sale crystallizes the loss into both GAAP and regulatory capital.
Did Silicon Valley Bank's failure change the rules?
Federal regulators have signaled they will require Category I-IV banks to recognize AFS unrealized losses in regulatory capital regardless of the AOCI election, and may require similar treatment for HTM. As of early 2026 the proposed rule is still being finalized.
How do I find AOCI burden in the call report?
The two components live in different schedules: Schedule RC-B Memo Items show AFS and HTM fair values vs amortized cost; Schedule RC-R shows whether the bank opted into the AOCI election.
Sources
- FFIEC Call Report Schedule RC-B (Securities) — fair value disclosures
- FFIEC Call Report Schedule RI-A (Equity Capital — AOCI components)
See AOCI Burden across 4,394 US banks
BankRegReports ranks every FDIC-insured institution by AOCI Burden, refreshed quarterly within 48 hours of FFIEC release.