BNP Paribas takes €403m hit unwinding TLTRO hedges
Tightening of ECB facility’s terms throws wrench into interest rate risk strategy
BNP Paribas took a €403 million ($443 million) revenue hit from unwinding interest rate hedges as it reacted to the European Central Bank (ECB)’s tightening of borrowing costs for its main wholesale lending facility.
The loss shaved 16% off the first quarter’s revenue, with the bank expecting a similar blow in Q2.
A spokesperson for the bank said the hit arose from the unwinding of proxy hedges
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