Securities & Investments
Securities Portfolio Yield
Also known as Securities Yield
Securities Portfolio Yield measures the average interest income generated by the bank's investment securities portfolio as a percentage of average securities balances. It is the second-most-watched yield after the loan yield.
Formula
Securities Interest Income is the line from Schedule RI capturing all interest from US Treasuries, agency, MBS, munis, and other debt securities. Average Securities Balance is the quarter-average book value of AFS plus HTM. Tax-exempt muni income is typically grossed up to tax-equivalent yield.
Why it matters
Securities yields lag the loan portfolio yield by 100-200bps in normal environments — that is the cost of liquidity and low credit risk. The yield trajectory matters more than the level: a portfolio yield rising at 50bps annualized signals successful redeployment; a yield stuck below market signals long-duration legacy holdings.
How to interpret
Most US bank securities yields cluster between 2.5% and 4.5%. Below 2.5% indicates a portfolio heavily weighted to low-yielding pre-2022 vintage securities; above 4.5% suggests successful repositioning to current-coupon instruments or a higher-credit/tax-exempt mix.
Thresholds
| Range | Label | Interpretation |
|---|---|---|
| ≥ 4% | Repositioned | Largely current-coupon portfolio. |
| 3–4% | Average | Typical post-2022 portfolio yield. |
| 2–3% | Legacy-weighted | Substantial pre-2022 long-duration holdings. |
| < 2% | Underwater | Heavy legacy book at well-below-market yields. |
Worked example
Frequently asked
Should I use tax-equivalent or book yield?
For peer comparison, tax-equivalent yield (which grosses up tax-exempt muni income) is more meaningful. Book yield understates the economic return on muni-heavy portfolios.
Why is the securities yield 'sticky' compared to loan yields?
Because securities have longer average lives than commercial loans. Loans reprice in months as borrowers refinance or hit floating-rate resets; securities turn over only as they mature or are sold. A repositioning takes 2-3 years to roll the portfolio.
How does the securities yield interact with NIM?
Securities yield is one of the inputs to net interest margin (alongside loan yield, cost of deposits, cost of borrowings). A trapped low-yielding securities book is a major drag on NIM until it rolls.
Sources
- FFIEC Call Report Schedule RI
- UBPR Page 03 — Income statement analysis
See Securities Yield across 4,335 US banks
BankRegReports ranks every FDIC-insured institution by Securities Yield, refreshed quarterly within 48 hours of FFIEC release.