First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
First Citizens Bank reoriented its interest rate swaps markedly towards pay-fixed instruments during the fourth quarter, hinting at an aggressive bet that the US Federal Reserve will keep the cost of money stable for the moment.
The bank’s pay-fixed non-trading derivatives notional swelled 108% to $11.8 billion quarter-on-quarter, while other interest rate swaps shrank 19.1% to $4.4 billion. The pay-fixed proportion doubled accordingly from 19.6% to 38.6% – the most marked shift of this kind
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