Mortgage-backed securities (MBS)
Fixed income ecosystem
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US banks return to MBSs amid value recovery
Bank of America and Wells Fargo ramp up AFS holdings in the third quarter
Breaking market norms, tri-party repo rates plunge for fringe collateral
Yields hierarchy upended as cost of repo-ing equities and other volatile securities falls over a percentage point below UST repos
KeyCorp refreshes AFS portfolio with $7bn CMBS sale
Strategic shift taps peak valuations and Scotiabank investment to reduce AOCI pressure
US banks rejig AFS books in Q2
Some banks binge on US Treasuries while Goldman doubles down on RMBSs
BofA’s collateralised mortgage obligation holdings surge 263%
Second-quarter purchase in line with trend among top US dealers of expanding AFS books beyond Treasuries
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Capital One’s purchase of Discover would triple its Treasury holdings
Record UST boost would propel combined company past six US lenders
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Don’t count on repo to monetise liquidity books, say experts
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Why agency mortgages could stay cheap for a while
Big bond managers are snapping up agency bonds, but disrupted valuations could last a surprisingly long time
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters