Interest rate risk
Interest rate risk in the banking book: strategic considerations for IRRBB holistic risk management
Understanding the history, principles and current landscape of the IRRBB standard is essential for comprehensive risk management
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Hedge funds take profit on vol trades with Trump win
FX volatility drops sharply as positions unwind; rates market sees mixed reaction
IASB cautions hedging fix won’t be perfect, but it will help
Banks optimistic that new model could prevent broken hedges driving balance sheet volatility
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
The boy who cried ‘outlier’: false alarms could dog EBA test
Analysis reveals banks deemed outliers by net income test are profitable post-shock, so how useful is the test?
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
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
How APG is navigating overhaul of Dutch pensions
Firm is helping two funds move on to defined-contribution contracts, but it won't be plain sailing
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity