Capital One MBS sale to boost CET1
Portfolio shuffle will take $200 million out of AOCI
Capital One plans to sell $3 billion of underwater US agency mortgage-backed securities (MBSs), removing a source of drag on its capital position.
Scott Blackley, the bank’s chief financial officer, said it intended to sell the portfolio, partly to relieve pressure on its Common Equity Tier 1 (CET1) capital.
The MBSs are classified as available-for-sale (AFS) assets on Capital One’s balance sheet, meaning price changes flow into accumulated other comprehensive income (AOCI), which affects
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