US Treasuries
US G-Sibs set to reclaim $6.6trn in leverage room under eSLR reform
Replacement of fixed 2% buffer with variable add-on could cut requirements by up to 150bp
NY Fed’s push for repo haircuts gets a tepid response
New risk management standards could make it harder to finance US Treasury purchases
Hedge funds scale back steepener positions as risks rise
Uncertainties around US Treasury issuance and timing of rate cuts see investors trim ‘consensus’ trade
US Basel III delay to 2026 seen as almost inevitable
Reprioritisation and leadership changes cast doubts on timing of new proposals
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
US banks held $2.2trn of USTs on eve of tariff turmoil
AFS holdings hit record $1.04 trillion days before Trump’s tariff announcement pushed Treasury yields higher
Leverage ratio reform: the good, the bad and the Treasury
A simple cut would be less likely to stoke interest rate risk than exempting US government bonds
LCH to expand access to FMX futures clearing
Clearing house is awaiting regulatory approval to allow client clearing via FCM affiliates
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
Fed official: SLR tweaks likely unbundled from Basel III
Isda AGM: Complexity of the endgame proposals mean any leverage ratio changes will probably be proposed separately
Skin in the game: risk analysis of central counterparties
This paper proposes a novel framework to design the capital contribution of a central counterparty (CCP) to its default waterfall - CCP "skin in the game".
US Basel equivalence questioned as EU patience wears thin
MEPs say unfaithful US implementation of Basel III could trigger review of third-country capital treatment
How BrokerTec, MarketAxess fared during Treasury rout
Electronic bond trading platforms see spike in volumes and small growth in market share, Risk.net analysis shows
Dodging a steamroller: how the basis trade survived the tariff tantrum
Higher margins, rising yields and stable repo funding helped avert another disruptive blow-up
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
Asia’s bond investors hesitant to buy US dip, say dealers
Insurers and pension funds have been slower to step in than usual during sell-off
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
Inside the week that shook the US Treasury market
Rates traders on the “scary” moves that almost broke the world’s safest and most liquid investment
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
Fed’s Bowman to ‘prioritise’ SLR exemption for US Treasuries
Reinstating Covid-era relief is a ‘no brainer’, dealers say, as bond markets reel from tariff chaos
Deutsche’s Americas CRO on risk-taking in choppy markets
Risk Live Boston: Risk managers must stay alive to sudden market moves, but volatility can also bring opportunity, says Jonathan Hummel
The end of the world, or an artificial crisis?
Bimodal tariff threat leaves investors grappling with uncertainty
Trump tariffs turn swap spreads into ‘pain trade’
Hedge funds bet big on Treasuries to outperform swaps. The opposite happened.