Interest rate risk
Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
Asset-liability management: Special report 2023
There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
BNP Paribas, SocGen brace for more hits from TLTRO hedge unwinds
Duo expect combined €600m in losses after already booking €500m in first quarter
US regionals need at least two years for TLAC transition
Market participants think issuance will be feasible for largest, but only in calmer conditions
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
Dutch pensions have extra year to restructure hedges
January 2028 implementation date allows more time for long-dated swaps to roll off
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1
Hear no EVE, see no EVE
The Fed chastised SVB for poor rate-risk monitoring, but most US banks’ disclosures remain focused on earnings alone
US regionals remain laggards on EVE measure
Majority of lenders in Q1 did not report key metric that could have detected SVB’s risks
BNP Paribas takes €403m hit unwinding TLTRO hedges
Tightening of ECB facility’s terms throws wrench into interest rate risk strategy
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
SVB failure signals Fed’s need for a speed rethink
Rapid transition to large-bank bracket left supervisors flat footed on rate risk
Fed’s discount window comes in from the cold
BTFP offers zero haircuts on collateral, but long-term usage is not recommended
Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Banks in crisis
The peak of the global financial crisis arrived in 2008 with the collapse of Bear Stearns and Lehman Brothers, and a raft of bailouts. However, it had already been rumbling on for a year at that point, blowing holes in bank funding models and capital…