Debt securities
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
End of BTFP curtails Comerica’s contingent funding pool
Decision not to take avail of facility’s paper-loss amnesty showcases US regional banks’ conundrum
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
AOCI worsens across the board at US banks in Q1
JP Morgan, Wells Fargo and Citi hit hardest in trend reversal
NAIC softens its rating overhaul. Insurers still don’t like it
Insurers worry that the regulatory body could override credit ratings without sufficient explanation
Euro area funds’ debt securities surged 13% in 2023
Investments vis-a-vis euro area issuers rebound after 2022 slump, driven by bond funds
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
US MMFs back in love with US Treasuries in Q4
Cash securities snatch crown from ebbing repos as funds’ top investment
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
Bank of America refills AFS book with T-Bills
Bank makes head start on peers in reshaping battered fair-value investments
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Trading volume surged at ABN Amro and BNPP in 2022
Banks’ role in secondary market intermediation continues to grow as Deutsche retreats, G-Sib indicators show
BofA slashed AFS Treasuries holdings by 36% in Q1
Partial sale of securities portfolio crystallises $200 million of paper losses
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet