Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2, 2023 erstellt
Beschreibung:
We provide evidence that banks classify securities as held to maturity (HTM) rather than available for sale (AFS) when HTM classification provides preferred financial accounting and regulatory capital treatments, not because they have a distinct economically motivated intent and ability to hold the securities to maturity. We focus on five banks for which the regulatory AOCI filter was phased out from 2014 to 2018 under the initial U.S. implementation of Basel III and then reinstated at the end of 2019 under the Federal Reserve’s “tailoring rules.” Four of these banks first transferred securities to HTM around the AOCI filter phase out to reduce regulatory capital volatility and then transferred substantially all their HTM securities to AFS when the filter was reinstated. Moreover, three of the banks transferred significant amounts of AFS securities back to HTM to insulate their owners’ equity from future unrealized losses as interest rates increased beginning in late 2021. In contrast, we find that advanced approaches banks for which the AOCI filter was phased out in 2014 but not reinstated increase HTM securities through 2022, and that banks for which the AOCI filter was never removed changed HTM securities modestly until 2022, when they also reclassified securities to HTM. We further find that banks for which the AOCI filter was reinstated increased the risk of their AFS securities, did not hedge this risk, and increasingly financed these securities with uninsured deposits. Our findings provide support for recent calls to eliminate the HTM category and AOCI filter