Interest rate risk
Narrower US supervisory remit could lead to more bank failures
Some former regulators see risks in fewer MRA letters, but others welcome streamlining
The great term premium comeback
Sovereign bonds are reintroducing risk compensation, opening up new areas of rates innovation, write Barclays rates heads
EU banks fear tumbling rates will upset their IRRBB balance
As rates decline, hedging two separate tests of vulnerability becomes more difficult
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
Barclays braces for a macro storm
Talking Heads 2025: Developed markets are racking up debt. Finding buyers could be difficult, says macro head Hossein Zaimi
Was a big US bank close to collapse in 2023?
PNC’s Bill Demchak says it was. And the data suggests he was talking about BofA
Former OCC chief on the sting of peeling the Basel III ‘onion’
Michael Hsu warns successors not to cut bank capital or neglect rate risks that destroyed SVB
Leverage ratio reform: the good, the bad and the Treasury
A simple cut would be less likely to stoke interest rate risk than exempting US government bonds
Two years after SVB, EVE transparency remains sluggish
Only three US banks began publishing EVE figures since 2023
Interest rate risk in the banking book: strategic considerations for IRRBB holistic risk management
Understanding the history, principles and current landscape of the IRRBB standard is essential for comprehensive risk management
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
Clients’ share of IRS clearing margin hit record high
Data from CME, Eurex and LCH shows clearing members’ house IM fell in January, pushing client proportion to 67.7%
JP Morgan logs two VAR breaches as trading revenue slumps
Largest trading loss in Q4 reached 262% of the bank’s VAR limit, matching a breach reported at the height of the Covid-19 pandemic
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Hedge funds take profit on vol trades with Trump win
FX volatility drops sharply as positions unwind; rates market sees mixed reaction
IASB cautions hedging fix won’t be perfect, but it will help
Banks optimistic that new model could prevent broken hedges driving balance sheet volatility
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen