The chart titled “Impact of unrealized securities losses on capital ratios” really shows just how inadequate the tier 1 capital ratio is (what regulators use).

The chart titled “Impact of unrealized securities losses on capital ratios” really shows just how inadequate the tier 1 capital ratio is (what regulators use). Ignoring the impact of unrealized losses in assets marked as held to maturity is crazy. Seems like a regulator problem to me, no bank taking deposits should be able to make high duration and negatively convex (from high MBS holdings) without hedges.