Interest rate risk
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
Amid macro storm clouds, a silver linings playbook for fintech
Banks and VCs believe inflation and rising interest rates will result in winners as well as losers
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
Goldman Sachs’ VAR averaged record $124m in Q2
Trading risk indicator surged past early pandemic readings
Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June