Held-to-maturity (HTM)
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
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
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Despite bond price crash, Capital One sticks with AFS book
Lender letting AFS book run its course as others seek shelter from interest rate storm
JP Morgan takes $14bn AOCI capital hit
Q2 loss from fair-value securities book was largest in 16 years
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
Systemic US banks shifted assets to buy-to-hold pens in Q3
JP Morgan almost doubled its held-to-maturity portfolio last quarter
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
Top insurers mark down CLO holdings following Covid-19 tumult
MetLife discloses $773 million unrealised loss
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper