AOCI Capital Filter
AOCI Capital Filter — Treatment of unrealized AFS gains/losses in regulatory capital.
Definition
AOCI Capital Filter refers to treatment of unrealized AFS gains/losses in regulatory capital. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
Bank funding and deposit behavior transmit stress into credit supply and asset prices. When treatment of unrealized AFS gains/losses in regulatory capital shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what aoci capital filter is saying. If treatment of unrealized AFS gains/losses in regulatory capital moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Pair with deposit betas, wholesale funding, and regulatory ratios before calling a scare over. Prefer a short written null hypothesis for AOCI Capital Filter: what would falsify the current reading in the next window?