US Treasuries
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 programme 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
One strike and they’re out: traders threaten liquidity stoppage
PTFs vow to withdraw from Treasuries market in protest at SEC registration plans
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
BofA slashed AFS Treasuries holdings by 36% in Q1
Partial sale of securities portfolio crystallises $200 million of paper losses
Lending via Fed’s BTFP overtakes discount window
Emergency facility extended $79bn last week, $10bn more than central bank’s traditional credit lending tool
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
At regional US banks, BTFP-eligible securities top $300bn
Assets classified as held-to-maturity made up less than 19% of aggregate securities portfolios in 2022