US banks return to MBSs amid value recovery
Bank of America and Wells Fargo ramp up AFS holdings in the third quarter
US banks showed a renewed appetite for mortgage-backed securities (MBSs) in the third quarter as unrealised losses on the instruments fell sharply.
Across 41 reporting banks, available-for-sale (AFS) MBS balances rose 8.1% to $906.5 billion – the highest amount since Q2 2022.
The bulk of the increase came from pass-through residential MBSs (RMBSs), which climbed 10.5% to $584.6 billion, while other RMBSs rose 7.9% to $190.7 billion, and commercial MBSs ticked up 4.1% to $131.3 billion. All
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Global banks boost Level 3 assets to new highs
European lenders and UBS-Credit Suisse merger fuelled rise in hard-to-value instruments in 2023
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows
EU IMA users maintain edge in keeping risk charges compressed
Aggregate market RWAs increased slower in 12 months to June than at banks using SA only
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
G-Sib cross-border risk drops to four-year low
Two-thirds of systemic banks saw systemic indicator decrease in 2023
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
