We examine the determinants of Japanese regional bank decisions concerning pricing unrealized losses or gains to market. We also examine the impact of these decisions on the intensity of depositor discipline, in the form of the sensitivity of deposit growth to bank financial conditions. To obtain consistent estimates of depositor discipline, we first model and estimate the bank pricing-to-market decision and then estimate the intensity of depositor discipline after conditioning for that decision. We find that banks were less likely to price to market the larger were their unrealized securities losses. We also find statistically significant evidence of depositor discipline among banks that elected to price their assets to market. Our results indicate that depositor discipline was more intense for the subset of banks that priced-to-market, suggesting that increased transparency may enhance depositor discipline.