Interest rates
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
Western Alliance cuts repos, increases reliance on warehouse borrowing
Drawdown from expanded revolving line helps cut $2bn of costly overnight funding
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Discover, Capital One credit card delinquencies surpass pre-pandemic levels
Seven credit card lenders see delinquency rates accelerate after slowing in Q2
Northern Trust rejigs funding as deposit costs rise
Net interest income drops 10.5%, cash at central banks falls by a quarter
US life insurers’ interest rate swaps usage surged in Q2
Counterparty Radar: John Hancock, Principal Financial expanded books by more than half
State Street suffers largest loss from securities sale since 2010
$294 million hit drives net income down 45% to six-year low
Metro Bank bets the house on lending pivot
New portfolio will need to grow quickly to avoid squeezing net interest margins, say experts
Don’t count on repo to monetise liquidity books, say experts
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
The impact of emerging risk on credit portfolio management
Bank credit portfolio managers are increasingly finding that non-financial risks, such as cyber risk and climate risk, are falling under the remit of credit portfolio management. This will also be impacted by the upcoming Basel III Final Reforms, which…
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
ALM banking after the crisis: stress-testing for more robust liquidity management practices
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies…
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling