Bank holding preferences could hit MBS market

Large US banks are shifting their mortgage bond exposure into hold-to-maturity accounts to dodge the impact of rising interest rates on their regulatory capital holdings, a trend that could undermine market performance in the long run, according to JP Morgan analysts.

  • By Alexander Saeedy
  • 10 Sep 2018
Since the end of 2016, the top 10 bank holders of agency MBS have increased the amount of pass-through securities in hold-to-maturity (HTM) accounts by nearly $140bn, the JP Morgan analysts wrote on Monday. Over the same period, equivalent securities held in the available-for-sale (AFS) account dropped by ...

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1 BNP Paribas 15,256 32 16.83
2 Bank of America Merrill Lynch (BAML) 10,179 30 11.23
3 Citi 9,751 23 10.76
4 Lloyds Bank 7,329 24 8.09
5 JP Morgan 6,580 10 7.26

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