Mortgage-backed securities (MBS)
US banks rejig AFS books in Q2
Some banks binge on US Treasuries while Goldman doubles down on RMBSs
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Capital One’s purchase of Discover would triple its Treasury holdings
Record UST boost would propel combined company past six US lenders
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
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
Why agency mortgages could stay cheap for a while
Big bond managers are snapping up agency bonds, but disrupted valuations could last a surprisingly long time
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
US banks reshaped liquidity buffers in Q2
Truist, BofA and US Bancorp lead highly liquid assets pile-up
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
First Republic taps Fed facilities in effort to plug funding hole
Discount window and BTFP provide temporary relief as deposits slump $72bn in Q1
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
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
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21