Interest rates
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Morgan Stanley scores big with swaption trades
Counterparty Radar: Mutual funds increase pace of transition from USD Libor to SOFR in Q4 2022
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Rising rates lead to greater interest in structured products
Trading volumes ‘could increase fivefold’ as a result of short-term rates rise
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
The impact of rising interest rates on risk models and balance sheet management
In this podcast, ALM and treasury experts discuss how global rate hikes are triggering changes to balance sheet management, behavioural modelling and hedging
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
CBA’s IRRBB charges finally ease
After over a year of surging charges for interest rate risk, last quarter of 2022 brought reprieve
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
Ice Clear Europe collateral spreads a ‘nightmare’, say banks
Risk.net spread analysis shows Ice pays little more than half the rate of other CCPs on cash margin
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
Wanted: radical ideas for inflation modelling
Hedge funds echo Mervyn King’s calls for a new approach to inflation modelling post-2022 crisis
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
Why central banks shouldn’t ignore stablecoins
Rapid growth of stablecoins could impair monetary policy transmission
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders