BTFP is insufficient.

We need more $$$.

Quantifying the problem…

US banks are sitting on $18tn worth of fixed income assets, primarily consisting of loans, mortgages and bonds. Interest rates have increased by >4% over the past year. Assuming just 5y average duration would wipe out 15-20% fair value. This wouldn’t be an issue if they held until maturity, but what if they have to liquidate thes…