Bank of America was sitting on $105.8 billion of losses on a $614 billion portfolio
Bank of America’s big bond losses likely widened in the current quarter due to a sharp increase in market interest rates.
Bank of America was sitting on $105.8 billion of losses on a $614 billion portfolio of mostly agency mortgage securities at the end of the second quarter.
That loss could have widened by $10 billion to $15 billion in the current quarter assuming no major rate moves by the end of this week, Barron’s estimates.
MarketWatch 28 September 2023
https://www.marketwatch.com/articles/bank-of-america-bond-losses-c09aa0f6
It was duration that precipitated the regional bank failures in March,
as banks that had heavily invested in longer bonds were unable to access liquidity without taking losses.
John Authers Bloomberg 28 September 2023
https://englundmacro.blogspot.com/2023/09/rounding-up-usual-suspects-after-new-low.html
The speed of the current selloff in U.S. government debt
is raising the possibility of renewed trouble for banks
and other existing holders of Treasurys, which tend to get hit hardest by rising yields.
TD Securities strategists Gennadiy Goldberg and Molly McGown said that a persistent selloff in bonds “increases the risk of ‘breaks’ similar to” those seen during the U.K.’s liability-driven investment crisis of last year and this year’s collapse of Silicon Valley Bank.
Entire U.S. Treasury yield curve moves toward or above 5%, raising risk something may break - MarketWatch
Banks are now sitting on record mark-to-market losses
First Republic Joins List of Biggest-Ever Bank Failures
Collapse is second-largest, behind Washington Mutual
https://englundmacro.blogspot.com/2023/05/jpmorgan-to-take-over-first-republic.html
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(3) Rolf Englund (@RolfEnglund1) / X (twitter.com)
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