Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
New York Community Bank unwound all of its hedging derivatives in the second quarter – a move that executives claimed made its book virtually immune to changes in interest rates. However, the latest public disclosures indicate NYCB remains highly sensitive to shifts in the yield curve.
As of the end of March, the bank had $7.5 billion in notional value of interest rate swaps. This included $5.5
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
CDS notional tops $8trn as clearing spike hits records
Investment-grade trades drive biggest weekly rise since 2013
US G-Sibs ease off TLAC build as buffers plateau
Loss-absorbing buffers edged lower across most major banks at end-2025
Large hedge funds push leverage to post-pandemic high
OFR data shows renewed build-up as regulators eye reporting changes
SLRs at four US banks sink to record lows on early rule switch
Goldman Sachs biggest beneficiary of softened minimum requirements
JGB sell-off drives late-2025 record markdowns at Japanese banks
Unrealised losses on Japanese government bonds hit ¥7.05 trillion
American Express crosses category II threshold
Cross-jurisdictional activity tops $75bn, but four-quarter average keeps bank in category III
SEC enforcement actions fall to 20-year low
Fewer filings but higher penalties driven by past actions
ING tops EU peers with hedge-heavy CVA charges
Bank’s €59.4bn CVA hedges dominated by non-CDS instruments
