Interest rates
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
Correlation ‘is not causation’ for rates and value stocks
Some quants remain unconvinced by the ‘great rotation’ away from growth
Inflation scenarios, pt II: end of the party
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
Lack of supply keeps short-end euro rates vol high
Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
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.
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
Risk analytics to the rescue
Cyber security remains a challenge for insurers worldwide, according to Ron Harasym, head of risk analytics, enterprise risk management (ERM) at Protective Life Insurance Company
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Euro rates volatility wrong-foots dealers
Banks’ risk appetite and liquidity are low following painful rates vol moves, say traders
High rates offer an opportunity for Singapore’s benchmark transition
Rising interest rates should speed the transitioning of legacy SOR loans – but there is little time to spare
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
Technology vendor of the year: Bloomberg
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
Banks given conflicting guidance on Libor loan facilities
Some banks have been told they can continue to honour uncommitted dollar Libor lines in 2022
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
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