Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
Nomura’s standardised foreign government exposures ballooned tenfold between Q1 and Q3 2023, largely thanks to plumper coupons on US Treasuries in its trading book.
Exposures to overseas sovereigns calculated under the regulator-set approach jumped from ¥5.1 billion ($33.4 million) at end-March to ¥50.3 billion at end-September, the most recent data for which relevant biannual disclosures are available. Risk Quantum understands this was mainly down to higher accrued interest from US Treasuries’
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