US Treasuries
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
SMFG loads up on foreign bonds
A 34% quarterly rise swells non-domestic portfolio to record size
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
Bank of America refills AFS book with T-Bills
Bank makes head start on peers in reshaping battered fair-value investments
SEC official defends delayed dealer registration rule
Regulator says market should be treated like equities, but PTFs warn it will harm market liquidity
PTFs loaded up on US Treasuries during SVB collapse
Treasury official says non-bank interdealer market share rose 10 percentage points in March as dealers retreated
SEC to delay US Treasury clearing mandate, dealer rule
A final vote on proposed US Treasury market reforms is now expected in early 2024
All-to-all no panacea for Treasury liquidity
Traders fear push for equity-style market could be detrimental to off-the-run securities
Buy side frets over cost of compulsory repo clearing
As US regulators prepare to mandate clearing, cost of compliance remains a mystery to many
Off target: SEC dealer rule will hurt those it aims to protect
Regulator’s plan could harm US Treasury markets and make it costlier for Americans to borrow, says Don Wilson
Blaming open-end funds for liquidity shocks is closed thinking
Controversial proposals to overhaul how funds manage liquidity risk are based on a fallacy, writes Eric Pan
Bankers warn money market rates could hit Fed’s QT plans
Shrinking Fed bond portfolio could squeeze bank liquidity, though money funds remain flush
BTFP becomes top source of Fed funding
Emergency lending program accounts for over 54% of loans extended to US dealers by the central bank
How repo roll risk could spoil US Treasury basis trade
Financing worries emerge as popular trade becomes increasingly reliant on overnight repo
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
Market ‘not ready’ for US Treasuries clearing mandate
“Client clearing for Treasuries doesn’t really exist,” says Barclays exec, while DTCC points to gaps in market awareness
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
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1