Interest rate volatility
Mizuho bucks trend with ¥5.7trn JGB build-up
Valuation losses ease as those at SMFG and SMTG climb
US regional banks tilt hedges towards lower rates in Q1
KeyCorp, Citizens lead way with heavy receive-fixed swaps portfolio
Commerzbank most exposed to rate hike among European banks
Eight banks would lose more than 10% of T1 capital under rate shock
Repo stress drove 2025 SOFR-to-fed funds swap pivot
SOFR OIS volumes slipped to almost half of fed funds activity during September repo spikes
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
Macro shocks force risk reset in Asia
Measuring, managing and responding to geopolitical uncertainty and volatility
Japan Post’s HTM markdowns grow 21% in Q3
Markdowns on securities hit record ¥2.7trn
Trade tensions lift China G-Sibs’ CVA charges 10% in Q2
Top Chinese banks’ RWAs rebound for first time since Basel III overhaul
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
US banks tiptoe back to least liquid assets for HQLAs
Goldman and Wells Fargo drive rebound on Level 2A holdings after two-year retreat
Japan Post Bank’s liquid deposits reach largest ever share
A decade since its privatisation, the bank has seen a shift in its deposit structure
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
US banks’ unrealised losses surge by $33bn in Q4
Led by JPM, Wells Fargo and Capital One, every major bank reported higher losses in AOCI, in reversal of previous quarter’s recovery
Japanese banks’ bond strategies diverge amid interest rate shifts
MUFG increases JGB portfolio duration to four-year high, while SMFG and SMTG take opposite bet
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
Regions Bank swells HTM book to curb AOCI volatility
In strategic shift, bank aims to bolster HTM holdings to 25% of securities portfolio
JPM’s AFS holdings surge $72bn amid doubling unrealised losses
AOCI falls to its lowest in a year despite rate cuts
Initial margin requirements hit record highs at major CCPs
Tumultuous third quarter sees $94bn surge across 14 CCPs
Margin breaches skyrocket at JSCC amid market volatility
August turmoil led to record initial margin shortfalls at six clearing divisions
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike