Interest rates
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout
Schwab’s MMF assets rose 225% through Fed’s rate-hike journey
Climb of fund managers’ ranks contrasts with slumping banking deposits
SEB, Swedbank see record negative OCI
Lower discount rate linked to pension obligations triggers aggregate unrealised losses of Skr5.5 billion in Q4
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
US Bancorp adds on $8bn in long-term debt
Interest expense from LTD rises to $569 million in Q4
Emerging lessons from the current credit risk cycle
Experts discuss the challenges of higher inflation and interest rates, the impact on defaults, innovations in credit risk modelling and predictions for 2024
Structured credit: the outlook for 2024
In this webinar produced by Risk.net in association with Numerix, experts discuss the risks, opportunities and outlook for structured credit markets in 2024
Corporates eye FX options as hedging costs shrink
With hedge ratios tipped to rise, dealers say treasurers are increasingly open to optionality
Tackling credit risk in turbulent times
Survey reveals Apac CROs’ top credit risk priorities
Uncertain rates outlook poses challenge for corporate FX hedgers
Hedging programmes may need a revamp as EM/G10 rates differentials narrow
BTFP lending hits record high amid lower rate
Emergency facility extended $8bn at the start of the December, more than previous three months combined
Assessing the importance of liquidity and climate risk in an evolving risk landscape
In a Risk.net webinar sponsored by S&P Global Market Intelligence, five experts discussed the challenges that evolving risks pose and how the buy side is having to adapt its approach. This article examines the key themes that emerged from that discussion
Banking ALM outlook 2024
Video Q&A with Andrew Aziz, chief strategy officer and head of product, SS&C Algorithmics
Degree of influence 2023: Quants thrive on volatility
Climate, crypto and market impact also featured among the top research topics in 2023
Interest rate and liquidity risk special report 2023
This special report explores the ongoing impact of higher interest rates on bank capital and liquidity, and the steps they are taking to shore up their liquidity risk management practices in the current environment.
How higher interest rates are affecting bank liquidity
A panel of industry experts discusses the challenges posed to banks’ capital and liquidity by a persistently higher interest rate environment. They also share insights on adapting their liquidity risk management strategies, tools and technologies for a…
SMFG loads up on foreign bonds
A 34% quarterly rise swells non-domestic portfolio to record size
Early warning signals of credit deterioration to save on potential losses
With financial institutions facing market volatility and high interest risks in 2023, the warning signals cannot be overlooked. It is crucial to have access to reliable and timely indicators of credit deterioration to prevent significant losses. This…
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Commerzbank’s rate-shock loss sensitivity rises 33%
Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario