US Large Cap Banks In AFS To HTM Shift Mode

Large cap banks falling under Credit Suisse’s coverage universe have been shifting materially from AFS to HTM classification, and in CS’ Mid Cap Bank group too, the HTM contribution is holding steady at ~20% of the mix, report Credit Suisse analysts. Susan Roth Katzke and colleagues said in their June 3 “US Large & Mid Cap Banks” research piece that the Fed will tighten again at its July meeting.

Large cap banks: securities as a percentage of earnings assets balances stabilizing

As part of their initiative to measure “true” interest rate sensitivity, the CS analysts took a closer look at the mix of assets in their banks’ securities portfolio. Katzke and team’s analysis reveals that securities as a percentage of earning asset balances...