Interest rate risk
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Nordea’s trading VAR up 58% in Q3
Higher equity and interest rate risk pushed measure to highest level since March 2020
Risk management consultant of the year: Acies
Asia Risk Awards 2021
Mizuho tries its hand in European rates
Japanese bank bets on handful of deep relationships to compete in crowded European market
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
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
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Solvency ratios of EU life insurers continued to fall in Q3
In contrast, the median capital ratio of groups and non-life firms increased
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
One-quarter of Libor FRNs to mature after benchmark’s death
One-third of outstanding notes issued out of non-Libor countries
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Libor Risk Q&A – KPMG
Chris Dias and Chris Long, principals and global Libor solution co-leads, discuss key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and…
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Integrating macroeconomic variables into behavioral models for interest rate risk measurement in the banking book
This paper proposed a nonparametric approach to decompose a macroeconomic variable into an interest-rate-correlated component and a macro-specific component.
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
RBS takes axe to NatWest Markets
Bank plans to slim trading operation to 10% of total RWAs
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn