Interest rates
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
Anticipating rate hike, MUFG offloaded ¥4trn of Japan government bonds
Lender reduces holdings to lowest in over a decade
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
CIBC’s VAR hits highest since 2008 amid interest rate risk surge
Client and market-making activities responsible for 44% increase
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Decoding the decoupling in US and eurozone inflation
ECB rates cut and Fed’s refusal to follow suit point to differing fundamentals in stateside and EU economies
Euribor fills panel gaps with Finland and Greece
OP Corporate Bank and NBG take contributors to 21 as administrator switches off “expert judgement”
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
NYCB doubles down on borrowing as deposits keep ebbing
Wholesale funding made up a third of the bank’s interest expense in Q1
Canada’s triparty repo launch aims to fill C$60bn void
Test trades on TMX/Clearstream platform represent “quantum leap” for creaking funding markets
State Street loads up on short-term borrowing as rates spike
Funding rejig comes amid surge in deposits
Consortium backs BGC’s effort to challenge CME
Banks and market-makers – including BofA, Citi, Goldman, Jump and Tower – will have a 26% stake in FMX
AOCI worsens across the board at US banks in Q1
JP Morgan, Wells Fargo and Citi hit hardest in trend reversal
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner