IRRBB
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
How EU supervisors react to interest rate risk outliers
Banks have faced no automatic penalties for breaching new NII test, but do come under microscope
Why banks don’t believe each other’s IRRBB models
Regulatory outlier test results prompt mutual suspicion of unrealistic deposit assumptions
Interest rate risk rules need more work, says Fed’s Barr
Former vice-chair for supervision also tells Risk.net his redraft of Basel III would have softened NMRFs
EU banks fear tumbling rates will upset their IRRBB balance
As rates decline, hedging two separate tests of vulnerability becomes more difficult
Some European banks still failing net interest income test
Swedbank joins seven other outliers after it updates methodology assumptions
No progress on US banks’ EVE transparency in H1
Less than half of banks analysed disclose figures for key measure of long-term interest rate sensitivity
Was a big US bank close to collapse in 2023?
PNC’s Bill Demchak says it was. And the data suggests he was talking about BofA
Former OCC chief on the sting of peeling the Basel III ‘onion’
Michael Hsu warns successors not to cut bank capital or neglect rate risks that destroyed SVB
Leverage ratio reform: the good, the bad and the Treasury
A simple cut would be less likely to stoke interest rate risk than exempting US government bonds
Mr Bessent goes to Basel: the fate of global bank regulation
US resistance to international standards could spark greater fragmentation of prudential rules
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
Transforming IRRBB into a strategic advantage
Forward-thinking banks are transforming IRRBB from a regulatory obligation into a strategic tool
Interest rate risk in the banking book: strategic considerations for IRRBB holistic risk management
Understanding the history, principles and current landscape of the IRRBB standard is essential for comprehensive risk management
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
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?