Asset portfolio maturity changes during the financial crisis: evidence from U.S. banks

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This paper determines if the maturity structure of commercial banks’ asset portfolios changed as a result of the financial crisis of the late 2000s and whether any changes in the portfolios may be homogeneous across bank size. A proxy for the maturity of rate-sensitive assets is constructed, and it is found that significant changes did begin to occur during the third quarter of 2008. The maturity structure of assets of relatively small banks gradually began to increase before leveling off six years later. The maturity of larger bank asset portfolios had been falling and continued to decrease for three more years, until reversing during the 3rd quarter of 2011. Large banks also have significantly shorter-term portfolios compared to their smaller counterparts, which tend to be very similar regardless of their small size. The composition of banks’ asset portfolios is also examined with some notable differences among banks of different size.

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    • Figure 1. Portfolio maturity proxy by bank size over time
    • Table 1. FDIC-determined reprice designations
    • Table 2. Bank size designations, average number of institutions, and distribution of bank assets
    • Table 3. T-test of change in average holdings of rate-sensitive asset categories before and after the financial crisis
    • Table 4. T-Test results of average portfolio maturity proxy
    • Table 5. P-value of quarterly portfolio maturity proxy by bank size
    • Conceptualization
      Thomas W. Secrest
    • Data curation
      Thomas W. Secrest
    • Formal Analysis
      Thomas W. Secrest
    • Investigation
      Thomas W. Secrest
    • Methodology
      Thomas W. Secrest
    • Project administration
      Thomas W. Secrest
    • Resources
      Thomas W. Secrest
    • Visualization
      Thomas W. Secrest
    • Writing – original draft
      Thomas W. Secrest
    • Writing – review & editing
      Thomas W. Secrest