State Street HQLA shift dampens investment yields

Allocations to agency mortgage-backed securities increase to 38.4% of portfolio total

State Street moved more cash into high-quality liquid assets (HQLA) in the third quarter, depressing returns on its investment portfolio.

Liquid assets grew $1 billion to $67.1 billion in the three months to end-September, for a total increase of $7.6 billion (13%) year-to-date. Net interest income rose 2% over the quarter, with State Street executives saying that without the shift to HQLA returns would have been higher. 

Since end-2017, HQLA as a share of the total investment portfolio has

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