Yield curve
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
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
Bank of America refills AFS book with T-Bills
Bank makes head start on peers in reshaping battered fair-value investments
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
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
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented
Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
UK pensions remain wary of long-duration LDI workaround
Trustees worry managers are swapping one risk for another to maintain hedges in wake of gilt crisis
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head