ALM desks await rebound after euro swap spread hit
Bank treasury desks still feeling pain on bond and asset swap positions that saw big losses last year
European bank treasuries were burned in recent months on fixed income positions held for liquidity and capital purposes, thanks to a combination of sliding bond prices and changes in the spread between interest rate swaps and government bonds.
“I saw a quite a lot of bank asset-liability management (ALM) clients at the end of last year and the mood was obviously extremely gloomy,” says a European government bond trader at a European bank. “The asset swap widening was quite painful for them
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