The Institutional Risk Analyst

Since 2008, dollar swap spreads have traded below Treasury yields, suggesting a persistent demand for dollars coming from offshore.

Rapidly rising interest rates in Q3 2022 pushed down the tangible capital for the US banking industry to negative $1.9 trillion

The US banking industry has been rendered insolvent by the Federal Open Market Committee

Despite all the hyperbole, the great crypto fraud was a small game, like the party poker that many crypto enthusiasts share in common

There are literally dozens of banks in the US made insolvent by the policy moves of the FOMC over the past year.

Crypto has gone from a sort-of juiced up equity strategy to a distressed credit story in just hours.

Every residential mortgage loan made in 2020-2021 is likely to be underwater by the end of 2023

The cult of ever falling interest rates goes back 50 years and spans the terms of Fed chairs back to Alan Greenspan and Paul Volcker...

Like COOP, volumes are down dramatically from 2021 but MSR values and cash flows from servicing are rising

Despite the outlook for the industry, COOP continues to be one of the better performing names in our mortgage surveillance group.

Little attention is being paid to the collateral damage being done by the FOMC to the debt capital markets

Will the market risk created by quantitative tightening (QT) tip over a large bank or nonbank financial firm?

Until the FOMC raises interest rates to more “normal” levels, we don’t expect actual volatility to decline.

As the scale of Fed open market operations grew since 2008, volatility has increased, rendering the adjustment from QE to QT problematic

We expect to see reasonably strong earnings for commercial lenders in Q3 2022 as loan yields slowly rise...

Investors who were buying large caps at 2x book value a year ago are now running away from bank stocks just as fundamentals improve...

The assumption of price volatility on the part of consumers and business managers is at the heart of inflation expectations

The deflation of 2023 is about marking down all types of real assets to the price level that equates with a non-QE world.

Demand for risk-free collateral and liquidity is largely a function of how JPMorgan (JPM) CEO Jamie Dimon feels about risk on any given day

QE has created a gigantic interest rate mismatch across markets for banks, non-banks and other financial intermediaries including the GSEs