Interest rate risk
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Nordea’s trading VAR up 58% in Q3
Higher equity and interest rate risk pushed measure to highest level since March 2020
Risk management consultant of the year: Acies
Asia Risk Awards 2021
Mizuho tries its hand in European rates
Japanese bank bets on handful of deep relationships to compete in crowded European market
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Solvency ratios of EU life insurers continued to fall in Q3
In contrast, the median capital ratio of groups and non-life firms increased