Interest rate risk
Treasury basis trade loses its allure as returns shrink
Tight spreads and rising funding costs are pushing the cash-futures basis trade out of favour
Commerzbank most exposed to rate hike among European banks
Eight banks would lose more than 10% of T1 capital under rate shock
Non-maturity deposit risk under interest rate stress: a behavioral modeling framework
The authors propose a behavioral framework with which to model non-maturity deposit risk under interest rate stress within an interest rate risk in the banking book (IRRBB) context.
US banks made no headway on EVE transparency in 2025
Morgan Stanley remains lone US G-Sib not disclosing key measure of long-term interest rate sensitivity
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Mob rule: populism’s rise pits banks against the people
Trump and fellow mavericks are reshaping politics, leaving banks scrambling to adjust to new and unpredictable risks
Hedge funds trim US swap spreads on tariff decision
Investors cut back asset swap positions as Supreme Court ruling reignites deficit concerns
CaixaBank lifts structural deposit hedges to two-year high
Receiver swap notional climbs to €68bn as bank guards NII
Norinchukin most exposed to rate rises on EVE among Japanese banks
Parallel upward shock would reduce bank’s EVE by almost 30% of Tier 1 capital
Fed pivots to material risk – but what is it, exactly?
Top US bank regulator will prioritise risks that matter most, but they could prove hard to pinpoint
Bank ALM tech still dominated by manual workflows
Batch processing and Excel files still pervade, with only one in four lenders planning tech upgrades
Narrower US supervisory remit could lead to more bank failures
Some former regulators see risks in fewer MRA letters, but others welcome streamlining
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
How EU supervisors react to interest rate risk outliers
Banks have faced no automatic penalties for breaching new NII test, but do come under microscope
Why banks don’t believe each other’s IRRBB models
Regulatory outlier test results prompt mutual suspicion of unrealistic deposit assumptions
The great term premium comeback
Sovereign bonds are reintroducing risk compensation, opening up new areas of rates innovation, write Barclays rates heads
EU banks fear tumbling rates will upset their IRRBB balance
As rates decline, hedging two separate tests of vulnerability becomes more difficult
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
Barclays braces for a macro storm
Talking Heads 2025: Developed markets are racking up debt. Finding buyers could be difficult, says macro head Hossein Zaimi