Interest rates
House of the year, Thailand: CIMB Thai Bank
Asia Risk Awards 2022
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
‘Monster’ rally shows junk index isn’t what it was
Speed of recovery reflects structural and technical changes in US high yield
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
Pension buyouts: rock-bottom prices mask unease over risk
US insurers will digest $40bn in pension assets this year but tight pricing and an economic downturn could lead to reflux
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
Exploring the equity–bond relationship in a low-rate environment with unsupervised learning
The authors apply k-means clustering to low interest rate periods in order to analyze the equity hedging property of government bonds.
US pensions take hit as illiquid assets prove hard to shift
Corporate plans forced to sell alts at discount as insurers baulk at riskier investments
Why fears about quantitative tightening are overblown
The benefits of collateral availability may outweigh the monetary liquidity withdrawn by central banks
JP Morgan takes $14bn AOCI capital hit
Q2 loss from fair-value securities book was largest in 16 years
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Bond issues stumble on liquidity drought – Aviva treasurer
Insurer’s £500 million RT1 notes narrowly avoid market freeze as ECB ends asset purchases
Euro, dollar-denominated ETDs boomed in Q1
But diverging demand for futures and options points to uncertainty on Fed and ECB timings