Interest rates
Don’t count on repo to monetise liquidity books, say experts
QT could force banks to sell bonds during stress, underlining need for fair value accounting
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
The impact of emerging risk on credit portfolio management
Bank credit portfolio managers are increasingly finding that non-financial risks, such as cyber risk and climate risk, are falling under the remit of credit portfolio management. This will also be impacted by the upcoming Basel III Final Reforms, which…
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Northern Trust’s market risk surges ninefold in Q2
Market risk exposure jumps to $673 million, the highest level on record
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Zions model change reverses positive EVE projections
Estimated impact of interest rate shocks up to 17.7pp higher under adjusted assumptions
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
ALM banking after the crisis: stress-testing for more robust liquidity management practices
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies…
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
Time deposits climb higher at US regional banks
Comerica and Zions reported largest quarterly increase in Q2
Creaky credit sparks ‘high’ dispersion in CLO pricing
Investors are becoming more particular when it comes to tranches and managers
Pre-merger, PacWest reported record negative NII growth
Funding costs continue to outpace income growth at majority of US banks
Approaching menace: how financial firms are tackling emerging risks
Exploring the changing shape of emerging risks and how integrated risk management is helping companies to meet the challenges head-on
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Free deposits keep fleeing US regional heavyweights
Drop in non-interest-bearing balances at Capital One, PNC Bank, Truist and US Bancorp accelerates in Q2
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios