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Many banks see obstacles to options-based IRRBB hedging
Almost two-thirds of North American banks use swaptions, while the same proportion use caps and floors; but only 28% of Europeans hedge with swaptions, and just 22% with caps and floors. The global figures are 33% and 28% respectively.
QUOTE OF THE WEEK
The state of IMA: great expectations meet reality
“One glaring indicator that FRTB needs to be ‘finessed’ is the lack of IMA adoption (currently standing at only one institution). However, even if all FRTB issues were fixed, the output floor could become the final nail in the coffin for internal models if not addressed urgently” – Eduardo Epperlein and Thomas Obitz
28 Jan 2026
