Interest rate risk
How APG is navigating overhaul of Dutch pensions
Firm is helping two funds move on to defined-contribution contracts, but it won't be plain sailing
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Banks scrutinised for offloading deal contingent risks on to funds
Critics say practice could lead to disclosure of sensitive client data
Derivatives house of the year: JP Morgan
Risk Awards 2024: Response to regional banking crisis went far beyond First Republic
Commerzbank’s rate-shock loss sensitivity rises 33%
Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
New trends in interest rate and liquidity risk management
A recent series of Risk.net webinars explored the banking crisis, interest rate risk and revamping banking asset-liability management practices. In the series, panellists dissected what went wrong and identified early lessons. Fast forward to the close…
Metro Bank bets the house on lending pivot
New portfolio will need to grow quickly to avoid squeezing net interest margins, say experts
Don’t count on repo to monetise liquidity books, say experts
QT could force banks to sell bonds during stress, underlining need for fair value accounting
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Do all roads lead to multi-scenario Fed stress tests?
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation