The Institutional Risk Analyst

We all need to remember that shrinking the Treasury portion of the Fed balance sheet is the easy part. The $2 trillion in notional amount of MBS held in SOMA, which now has an effective duration that is much, much bigger than the rest of the portfolio combined, requires some subtlety. The good news is that the agencies and Ginnie Mae are thinking about a potential Fed MBS swap with Treasury. Wall Street can make it all happen and profit handsomely by selling a lot of “AAA” ra

Bank earnings this week have been mostly what we expected, with income up, credit loss rates continuing to trend lower and most banks refusing to provide additional disclosure on private credit exposures. As the private credit mess proceeds in the weeks and months ahead, a lot of the “debt” in these deals will turn to equity – which is what it should’ve been all along.

Hedge fund mogul Bill Ackman changed his tune and told investors this week that the government should not hurry to release Fannie Mae and Freddie Mac from government conservatorship. This announcement is essentially window dressing on the part of Ackman after FHFA Director Bill Pulte announced that the GSEs would not be released from conservatorship, dashing the hope of long-suffering shareholders.

When you see a bank with more than 10% of total assets in MBS, that's a big red flag in our book.

The net losses disclosed by BAC and the other large banks at the end of Q4 2023 are significantly understated...

What does PNC tell us now about commercial loan exposures in 2024?