Interest rate risk
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
One-quarter of Libor FRNs to mature after benchmark’s death
One-third of outstanding notes issued out of non-Libor countries
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Libor Risk Q&A – KPMG
Chris Dias and Chris Long, principals and global Libor solution co-leads, discuss key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and…
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
RBS takes axe to NatWest Markets
Bank plans to slim trading operation to 10% of total RWAs
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Libor transition and implementation – Covering all bases
Sponsored Q&A
Interest rate derivatives house of the year: Societe Generale
Asia Risk Awards 2019
Insurers slow purchases of eurozone sovereign bonds
Annualised growth rate of government debt holdings falls to 2%
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Sliding rates dent Legal & General’s capital ratio
Solvency capital requirement rises to £8.2 billion from £7.9 billion over first half of 2019
Rates decline sinks Allianz’s Solvency II ratio
Market impacts take 11 percentage points off ratio in first six months of 2019