Yield
Japan’s Great Repatriation? Don’t count on quick returns
Switch from Treasuries to JGBs by GPIF likely to be gradual, which may spell more bad news for hedge funds
Destabilising: is stablecoin deposit drain a bank funding risk?
While some fear a trillion-dollar flight to stablecoin, others doubt crypto is an existential threat for banks
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
JP Morgan reverses HTM securities roll-off with $44bn transfer from AFS
Reclassification marks first HTM expansion since 2022 and may prompt peers to follow
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
Surging gross repo costs highlight US dealers’ divergence on netting
Lack of offsetting in GAAP presentation leads BNY and Northern Trust to report paying double- or triple-digit rates on fed funds, repos
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
US MMFs tilted from repo to cash USTs in November
Outright allocations captured growing share of funds’ record cash pile
EU bonds favoured over swaps as hedge for European debt
Hedge funds are increasingly using the bonds to hedge Bunds and OATs as swap correlations decline
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
KeyCorp refreshes AFS portfolio with $7bn CMBS sale
Strategic shift taps peak valuations and Scotiabank investment to reduce AOCI pressure
US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
JPM, PNC bolster available-for-sale portfolios in Q3
Four major US banks add $119bn to AFS holdings
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
For US Treasury troubles, treat the cause not the symptom
Regulatory alarm about hidden risk in the Treasury futures market misses the point, fund association execs write
Corporate ‘greenium’ reveals effect of ESG rules on returns
Analysis of sustainable products shows how SFDR has caused a shift in investor behaviour, writes economist
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
US bank trio loads up on AFS securities in Q2
PNC, State Street and US Bancorp see double digit rises
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