---
title: "HTM Unrealized Losses: definition, formula, and thresholds"
description: "HTM unrealized losses are the gap between the amortized-cost carrying value of a bank's held-to-maturity securities and their lower current market value. The loss is disclosed but not recognized on the balance sheet, a hidden hit to economic capital."
canonical_url: https://www.bankregreports.com/glossary/htm-unrealized-losses/
source: BankRegReports
category: "Securities & Investments"
units: "$"
schedule: "Schedule RC-B"
---

# HTM Unrealized Losses

> HTM unrealized losses are the gap between the amortized-cost carrying value of a bank's held-to-maturity securities and their lower current market value. The loss is disclosed but not recognized on the balance sheet, a hidden hit to economic capital.

## Formula

```
HTM Unrealized Loss = Amortized Cost - Fair Value (for held-to-maturity securities)
```

Because HTM securities are carried at amortized cost, the decline in their fair value when rates rise never touches reported equity or capital. Schedule RC-B discloses both the amortized cost and the fair value, so the unrecognized loss can be calculated.

## Why it matters

This is the metric the 2023 regional-bank crisis put on the map. A bank can report healthy regulatory capital while sitting on HTM unrealized losses large enough to wipe much of that capital out if the securities had to be sold, exactly the dynamic that broke Silicon Valley Bank.

## How to read it

The number that matters is the unrealized loss as a share of equity or regulatory capital. A loss equal to a small fraction of capital is manageable; one approaching or exceeding tangible common equity is a solvency question masked by accounting, especially if the bank's liquidity is also thin.

## Thresholds

| Range | Reading | What it means |
|---|---|---|
| < 10% of equity | Benign | Hidden loss is a small fraction of the capital cushion. |
| 10-25% of equity | Normal | Notable but manageable unrecognized loss. |
| 25-50% of equity | Watch | Unrecognized loss is a material share of capital. |
| > 50% of equity | Concern | Forced sales could devastate the capital base. |


## Worked example

During 2023, some large banks disclosed HTM unrealized losses running into the tens of billions of dollars, at a few institutions, a sum comparable to a large slice of their tangible common equity. None of it appeared in their headline capital ratios, which is precisely why the metric drew so much scrutiny.

## Questions

### Why isn't the HTM unrealized loss in the capital ratios?

Held-to-maturity securities are carried at amortized cost, so their unrealized losses are never marked through earnings, AOCI, or regulatory capital. The loss is disclosed in the footnotes/Schedule RC-B but stays off the balance sheet unless the securities are sold.

### How did this contribute to the 2023 bank failures?

Banks with large HTM losses and weak liquidity were vulnerable: when depositors fled, the banks faced selling securities at a loss, which would have crystallized the hidden hit and exposed thin true capital. The fear of that outcome accelerated the runs.

## Sources

- [FFIEC Call Report Schedule RC-B (Securities, amortized cost vs. fair value)](https://www.ffiec.gov/sites/default/files/data/reporting-forms/FFIEC031_FFIEC041_202606_i.pdf) (PDF)

## Related metrics

- [Held-to-Maturity Securities](https://www.bankregreports.com/glossary/htm-securities/): Held-to-maturity (HTM) securities are bonds a bank intends and is able to hold until they mature. They are carried at amortized cost (not fair value) so unrealized price changes do not flow through earnings or capital while the bank holds them.
- [AFS Unrealized Losses](https://www.bankregreports.com/glossary/afs-unrealized-losses/): AFS unrealized losses are the mark-to-market losses on a bank's available-for-sale securities. Unlike HTM losses, they are recognized. They flow through accumulated other comprehensive income (AOCI) and reduce book equity each period the securities are underwater.
- [Tangible Common Equity / Tangible Assets](https://www.bankregreports.com/glossary/tce-ta/): TCE/TA measures common shareholders' equity excluding goodwill and intangibles, divided by total assets excluding the same. It is the purest measure of a bank's capital cushion to common shareholders and is not subject to risk-weighting choices.
- [AOCI Burden](https://www.bankregreports.com/glossary/aoci-burden/): AOCI Burden measures unrealized losses on available-for-sale and held-to-maturity securities relative to a bank's total equity capital. It quantifies the gap between book equity and 'mark-to-market' economic equity, the issue that brought down Silicon Valley Bank in 2023.
- [Uninsured Deposit Ratio](https://www.bankregreports.com/glossary/uninsured-deposit-ratio/): The Uninsured Deposit Ratio measures deposits above the $250K FDIC insurance threshold as a percentage of total deposits. Made infamous by the Silicon Valley Bank failure in 2023, it captures deposit base run-risk.

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