Interest rate risk
Ford reports $204 million derivatives charge
Foreign exchange and commodity contracts fall in value
Rising rates hit Chubb's portfolio
US insurer posts $1 billion in realised and unrealised losses
US banks weather Libor basis spike
Thirty-plus basis point divergence recorded in first three months of 2018
State Street bolsters liquidity buffers
HQLA share of investment portfolio grows from 61% to 70% in the first quarter
Goldman Sachs’ VAR at three-year high
Increased client activity and market volatility increases firmwide risk
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Risk solutions house of the year: Nomura
Risk Awards 2018: From reinsurance contracts to deal-contingent hedges, Japanese firm proves brains can triumph over brawn
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
EU sparks hopes of securitisation margin reprieve
Optimism over EU Council amendment, but Parliament will still have to approve
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Emir review could push securitisations into the dark
Subjecting deals to margin requirements would be a further blow to STS securitisation concept
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
Fed data dependency backfires
Past year has seen huge change in formation of rate expectations
Basel interest rate risk disclosures "problematic"
IRRBB could reveal commercially sensitive information and mislead analysts
New hedging tools needed in the Philippines, says SEC
New derivative structures under consideration but caution is key
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
IFC risk management directors wrestle with strong dollar
Weak emerging markets and commodities downturn are also posing a challenge
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
Nonmaturity deposits and banks’ exposure to interest rate risk: issues arising from the Basel regulatory framework
The authors of this paper address the shortcomings of a major assumption in the Basel accords regarding interest-risk exposure and propose two models to incorporate optionality features that are often ignored.
In-depth introduction: Bonds
Interplay between rules could reshape demand for government debt