IRRBB
US has got what it wanted from Basel, say former regulators
Calls to stay at the table come after US Treasury Secretary condemned “outsourcing” of regulation
Trump 2.0 bank supervision: simpler but no soft touch?
Republican FDIC vice-chair Travis Hill wants more focus on financial risk instead of process
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
The boy who cried ‘outlier’: false alarms could dog EBA test
Analysis reveals banks deemed outliers by net income test are profitable post-shock, so how useful is the test?
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
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
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
Did Fed’s stress capital buffer blunt CCAR?
Experts fear flagship test’s use as a capital top-up has undermined its role in risk management
Benchmark switch leaves hedging headache for Philippine banks
If interest rates are cut before new benchmark docs are ready, banks face possible NII squeeze
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
The American way: a stress-test substitute for Basel’s IRRBB?
Bankers divided over new CCAR scenario designed to bridge supervisory gap exposed by SVB failure
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Review of 2023: a hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
UBS to lose group banking book risk manager
Senior risk manager of Swiss banks’ combined banking books to leave for new opportunities
Commerzbank’s rate-shock loss sensitivity rises 33%
Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario
EC to adopt NII outlier test within ‘weeks’
New IRRBB rules could come into force in early 2024; industry hoping EBA draft is softened