Yield curve
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
The factor Heath-Jarrow-Morton term structure
A framework for rates that links real-world and risk-neutral measures is presented
Western Alliance’s rate-risk gauge breaches internal guidance
EVE depletion for 100bp and 200bp hike scenarios highest disclosed by any US regional bank
UK pensions remain wary of long-duration LDI workaround
Trustees worry managers are swapping one risk for another to maintain hedges in wake of gilt crisis
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty
This paper analyzes the impact of oil market uncertainty on the level, slope and curvature factors derived from the term structure of US interest rates.
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Comprehensive Capital Analysis and Review consistent yield curve stress testing: from Nelson–Siegel to machine learning
This paper develops different techniques for interpreting yield curve scenarios generated from the FRB’s annual CCAR review.
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Dealers warn of trouble ahead as Treasury issuance swells
Repeat of February’s ‘Black Thursday’ likely if Fed ends leverage ratio exemptions, banks say
Cracks start to show in US reflation bets craze
Some hedge funds believe popular bets on rise in US inflation have run out of steam
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
Hypothetical yield curve scenarios for credit stress testing
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…