Interest rates
Risk and return: volatility strategies for uncertain times
As the pace of change accelerates, financial firms must consider how to adapt their volatility strategies to maximise opportunities and manage risk. This webinar explores the latest trends and tactics, offering insights from leading practitioners
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Delinquency rates bounce back at top US lenders
Weaker 2022 loans, tougher collections and seasonal factors push past-due loans higher in Q3
CME’s FX Link sees bumper volumes as dealer use cases grow
Offsetting rates impact and FX swaps price discovery cited as new reasons to use venue
Rates movements boost FX net investment hedging
Changing differentials bring more positive carry opportunities for corporates
US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
JPM, PNC bolster available-for-sale portfolios in Q3
Four major US banks add $119bn to AFS holdings
US jobs shock leads to steepener unwinds
Rates investors caught out after October jobs surprise
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
MTS hopes BondVision revamp will double rates market share
Proni says dealer oversight on fees and data, and new order tech key to D2C push; swaps a possibility
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
Rates traders brace for jobs data after August steepener payday
Investors hope for weaker-than-expected non-farm payrolls to trigger re-steepening
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
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
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving