Fitch: Unrealized Losses Could Create Bank Capital Volatility

Fitch Ratings-New York
U.S. bank regulatory proposals to apply unrealized gains and losses (UGL) on available-for-sale (AFS) securities to common equity tier 1 capital could reduce bank capital levels during periods of material market illiquidity
For example, if such rules had been in place during the 2008 financial crisis, Fitch Ratings estimates that nine out of 57 banks we reviewed with assets of more than $25 billion would have experienced a reduction in their common equity tier 1 capital ratio of 100 bps or more