We ran the numbers based on Dec 30, 2022 market close data for indices on US Treasuries and MBS securities (UMBS 5.0). The analysis will be re-confirmed this week with a fresh set of eyes. It assumes that CFR did not buy any new investments in Q4 (we use Q3 investments to do our valuations).
Cullen Frost gained value on their investments, which means they likely will have positive AOCI. We guess their bets on buying long assets with short money will pay small, but positive dividends in Q4/2022. We assume that CFR did not buy swaps to protect themselves against rising interest rates in Q4, as those would likely expire out of the money, and cost the bank the premium.
The gains were especially large in the residential mortgage-backed securities (RMBS) they hold.
This trend was quite negative and dramatic in Q2 and Q3 while interest rates were rising. However, rates fell into year-end and this will help the capital position for US regional banks, like Cullen Frost.