As Fed eyes rule change, over 50% of US banks’ securities held as HTM
PNC, BofA and Schwab report highest share among banks subject to LCR amid move to limit their role in liquidity buffers
The 15 US banks subject to the liquidity coverage ratio (LCR) framework held a combined $1.77 trillion of securities classified as held-to-maturity (HTM) in the second quarter, representing 51.9% of their total securities portfolio.
On aggregate, the same banks reported $3.54 trillion in high-quality liquid assets (HQLAs) – the LCR’s numerator and the focus of a proposed rule change by the US Federal Reserve aimed at limiting the amount of HTM assets that are included in these liquidity buffers
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