Interest rates
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
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
BGC forming consortium to take on CME Group’s rates empire
Banks and PTFs are being offered a stake in FMX, which has CFTC approval to launch a futures exchange
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
Adapting buy-side risk management strategies for complex market dynamics
Luke Armstrong from S&P Global Market Intelligence, Thomas Sheedy from Invesco and Julien Cuisinier from Artemis Fund Management explore the challenges and adaptive strategies shaping the evolving field of buy-side risk management
Japan’s interest rate derivatives trading and clearing on the rise
Japan Exchange Group and OpenGamma chart Japan’s journey towards a flourishing derivatives trading and clearing ecosystem
Clobbered: how ‘toxic’ flows reshaped US Treasury trading
Volumes have dropped by more than a third at BrokerTec. The reasons are complex, the outlook uncertain
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
Interbank lending plummets at major European banks
Reduced repo operations and TLTRO repayments among drivers
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR