Yield
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Managing inflation risk with hedging strategies
Dmitry Pugachevsky, director of research at Quantifi, explores how banks manage inflation risk using inflation swaps and inflation-linked bonds as hedging instruments
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
As PNC bleeds non-interest deposits, US Bancorp picks up more
Divergence in savings mix follows March’s deposit flight
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
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
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
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Impactful short duration: green bonds and yield curve strategies
In the search for impact and yield, how does a green bond investment strategy compare with the performance of the wider European credit market?
UK pension funds hand over more assets to LDI managers
Transfer of assets is a pre-emptive move to avoid repeat of September’s collateral crunch, trustees say
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
BoE intervention whipsaws pension funds that dumped hedges
Unhedged funds saw liabilities rise by up to 20% when rates pulled back
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Bund volatility sparks uncertainty around futures delivery
Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels