Net interest income
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
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
How some banks aced the EBA stress test
Four banks actually increased their capital ratios, while US subsidiaries were hit worst
Truist locks in $12bn long-term debt as rates hold high
Bank raises LTD and time deposits while slashing short-term borrowings
Two years after SVB, EVE transparency remains sluggish
Only three US banks began publishing EVE figures since 2023
UBS’s Iabichino holds a mirror to bank funding risks
Framing funding management as an optimal control problem affords an alternative to proxy hedging
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
TD US to sell up to $50bn of securities
Asset cap imposed after AML settlement limits growth of retail banking arm
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Progress on US banks’ EVE transparency grinds to a halt
No additional disclosures of key metric linked to SVB collapse in latest round of public filings
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
NYCB doubles down on borrowing as deposits keep ebbing
Wholesale funding made up a third of the bank’s interest expense in Q1
State Street loads up on short-term borrowing as rates spike
Funding rejig comes amid surge in deposits
Benchmark switch leaves hedging headache for Philippine banks
If interest rates are cut before new benchmark docs are ready, banks face possible NII squeeze
Seven banks under SEC scrutiny over interest rate risk disclosures
Regulator-issued letters aim at boosting transparency on EVE and NII sensitivity
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
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure