Mortgage-backed securities (MBS)
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
FICC default exposure exceeded size of clearing fund in Q2
Mortgage-backed securities division had $887 million of uncovered exposure to collapse of two members
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Pimco deploys neural net model in agency bonds
Old models for $7 trillion mortgage market overstate risk in some cases, asset manager says
Op risk data: losses decline sharply in first half
Conduct losses account for most of $8.5 billion total. Data by ORX News
Into the void: Europe’s new but hazy securitisation market
Regulatory vagueness reaches new heights as incomplete rules take effect
Confusion dogs start of Europe’s new securitisation rules
Incomplete rules and lack of clarity on designated supervisors thwarts hoped-for revival of key market
Top 10 op risks 2019: mis-selling
Concern over sales practices remains amid economic and political uncertainties
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
US G-Sibs cut $36bn of HQLA
Wells Fargo clears out $27 billion of HQLA in first nine months of 2017 alone
Capital One MBS sale to boost CET1
Portfolio shuffle will take $200 million out of AOCI
State Street HQLA shift dampens investment yields
Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total
Wells Fargo swells MBS trading portfolio
San Francisco-based dealer grows allocation by $11 billion from end-2016
BlueMountain hunts for mispricings in rates markets
As QE rolls off, Colin Teichholtz sees rich pickings for relative-value fixed-income strategies
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
FICC liquidity facility swells to $36 billion
Capped contingent liquidity facility adjusts in response to heightened liquidity risk
Dodge & Cox turns to MBS as Treasury yields rise
Income Fund grows securitised allocations from 36.1% to 39.7%
Top 10 op risks 2018: mis-selling
Speculation rife among survey participants over ‘the next PPI’