Interest rate volatility
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
US banks’ unrealised losses surge by $33bn in Q4
Led by JPM, Wells Fargo and Capital One, every major bank reported higher losses in AOCI, in reversal of previous quarter’s recovery
Japanese banks’ bond strategies diverge amid interest rate shifts
MUFG increases JGB portfolio duration to four-year high, while SMFG and SMTG take opposite bet
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Regions Bank swells HTM book to curb AOCI volatility
In strategic shift, bank aims to bolster HTM holdings to 25% of securities portfolio
JPM’s AFS holdings surge $72bn amid doubling unrealised losses
AOCI falls to its lowest in a year despite rate cuts
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
Northern Trust rejigs funding as deposit costs rise
Net interest income drops 10.5%, cash at central banks falls by a quarter
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2