US banks weather Libor basis spike
Thirty-plus basis point divergence recorded in first three months of 2018
Large US banks rode a surge in Libor basis risk in the first quarter without ill effect.
The basis between one-month and three-month US Libor grew from 14 basis points at the start of the year to 43bp at the end of March. As of April 20, the basis was 46bp.
The widening gap caused assets and liabilities priced against each rate to diverge, with implications for banks’ net interest margins (NIM) – the difference in interest payments received and paid.
A significant portion of bank assets are
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
US tariffs spur rush to European dividend futures
Turnover hits €3.5bn in three days as traders brace for fallout on corporate balance sheets
OCC’s equity-based IM hit record 91% heading into 2025
CCP’s margin base leant further into equities ahead of market turmoil
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
JPM leads record STWF surge at US G-Sibs
Five banks hit new highs in Q4, as increased reliance weighs on systemic risk scores
BMO US posts lowest LCR among IHCs
Bank’s first disclosure in five years shows reliance on regulatory adjustment to meet minimum requirement
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
