Interest rate risk
Mizuho bucks trend with ¥5.7trn JGB build-up
Valuation losses ease as those at SMFG and SMTG climb
Fifth Third, Flagstar EVE bets diverge in Q1
Comerica deal flips Fifth Third rate-risk profile
Treasury basis trade loses its allure as returns shrink
Tight spreads and rising funding costs are pushing the cash-futures basis trade out of favour
How vol eruption blew up Goldman’s rates book
Dealers were short payer skew from corporate and hedge fund flows. Then came the Iran war.
US regional banks tilt hedges towards lower rates in Q1
KeyCorp, Citizens lead way with heavy receive-fixed swaps portfolio
Offshore CGB futures still wanted as onshore opens to QFIs
Cash-settled HKEX contracts still in demand despite easing of onshore access
Commerzbank most exposed to rate hike among European banks
Eight banks would lose more than 10% of T1 capital under rate shock
Non-maturity deposit risk under interest rate stress: a behavioral modeling framework
The authors propose a behavioral framework with which to model non-maturity deposit risk under interest rate stress within an interest rate risk in the banking book (IRRBB) context.
US banks made no headway on EVE transparency in 2025
Morgan Stanley remains lone US G-Sib not disclosing key measure of long-term interest rate sensitivity
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Mob rule: populism’s rise pits banks against the people
Trump and fellow mavericks are reshaping politics, leaving banks scrambling to adjust to new and unpredictable risks
Hedge funds trim US swap spreads on tariff decision
Investors cut back asset swap positions as Supreme Court ruling reignites deficit concerns
CaixaBank lifts structural deposit hedges to two-year high
Receiver swap notional climbs to €68bn as bank guards NII
Norinchukin most exposed to rate rises on EVE among Japanese banks
Parallel upward shock would reduce bank’s EVE by almost 30% of Tier 1 capital
Fed pivots to material risk – but what is it, exactly?
Top US bank regulator will prioritise risks that matter most, but they could prove hard to pinpoint
Bank ALM tech still dominated by manual workflows
Batch processing and Excel files still pervade, with only one in four lenders planning tech upgrades
Narrower US supervisory remit could lead to more bank failures
Some former regulators see risks in fewer MRA letters, but others welcome streamlining
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
How EU supervisors react to interest rate risk outliers
Banks have faced no automatic penalties for breaching new NII test, but do come under microscope
Why banks don’t believe each other’s IRRBB models
Regulatory outlier test results prompt mutual suspicion of unrealistic deposit assumptions