

US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
US banks fled interest rate futures to pile into interest rate swaps during the second quarter, as the Federal Reserve telegraphed it would not let up on tightening the cost of lending, even after several regional lenders buckled under the weight of rising market yields.
Total notional value for interest rate futures across 32 banks tracked by Risk Quantum slid 19%, or $1 trillion, to $4.32
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Global OTC derivatives jump €72trn in 2024
Europe, UK, Canada and China hit record highs, while US banks pull back
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
US banks’ FX notionals hit record $66trn on forwards frenzy
JP Morgan leads record derivatives surge amid Q1 market volatility
Bucking Japan megabank trend, Norinchukin’s market RWAs spike 41%
Latest surge underscores challenge of adapting to FRTB
OCC payment obligations hit record in Q1
Liquid resources up 6.5% as liquidity risk grows to new highs
ABN Amro trading equity volume doubled to €31trn in 2024
Dutch bank outpaces all European peers on key systemic risk metric and trails only three US firms
Unseasonal Q1 surge lifts US G-Sib scores to record highs
Latest systemic risk scores for JP Morgan, Citi, Goldman and Morgan Stanley could lead to extra 50bp to their respective capital surcharges
CME suffers longest op failures in seven years
Outages totalled over 13 hours in 12-month period