Inflation
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise
Barclays retools inflation desk with two senior hires
UK bank raids Deutsche Bank and JP Morgan for new regional heads
Inflation could persist ‘for a very long time’
Risk Live: Buy-side risk managers say stagflation threat remains
Managing a high-inflation environment with clearing
Recent geopolitical events, macroeconomic forces and market disruptions have created significant challenges for the investment community. LCH explores how clearing can help market participants manage inflation.
US banks report negative NII growth amid rising rates
Goldman, KeyCorp and Charles Schwab worst hit in Q1 as funding costs sap income growth
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Pricing in volatile markets and potential regulatory impact
A combination of volatile and turbulent prices, challenges for valuation and the introduction of the US Securities and Exchange Commission (SEC) Rule 2a-5 means data specialists are more essential than ever for investment firms
Investors zero in on short-dated options to trade US inflation prints
But critics say 0DTE products are increasing volatility around CPI announcements
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
Inflationary forces (and microbial soups)
The hold of central banks over inflation may be weaker than we thought
CBA’s IRRBB charges finally ease
After over a year of surging charges for interest rate risk, last quarter of 2022 brought reprieve
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
Inflation derivatives house of the year: Citi
Risk Awards 2023: Dynamic risk limits and long-dated bonds help Citi supersize client trades and boost inflation business
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled