Inflation
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
Top US banks set aside $6bn for credit losses in Q3
Quarterly provisions highest in two years
Nordea marks down Danish mortgages by €29 million
House price declines mark ominous signal for other supercharged markets
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Inflation swaps market for US funds comes to standstill
Counterparty Radar: Goldman Sachs moves to top dealer spot for non-cleared trades
Low pricing of inflation swaps takes buy side by surprise
Dealers expect inflation to peak sooner, but investors remain sceptical
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
Keep risk parity simple, stupid
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
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
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
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
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
Growth to value, and back via quality
Inflation-fuelled stock rotations are full of complexity
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession