Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
New York Community Bank unwound all of its hedging derivatives in the second quarter – a move that executives claimed made its book virtually immune to changes in interest rates. However, the latest public disclosures indicate NYCB remains highly sensitive to shifts in the yield curve.
As of the end of March, the bank had $7.5 billion in notional value of interest rate swaps. This included $5.5 billion in swaps that hedged cashflows on Federal Home Loan Bank advances and another $2 billion that
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