Bank hedging throws spanner into ECB monetary policy

19 December 2023EconomicsBNP Paribas, European Central Bank, interest rate swaps, quantitative easing, Societe GeneraleNick Dunbar

Bank hedging strategies and the European Central Bank’s reversal of pandemic-era subsidised bank loans showed that quantitative tightening is not just about selling bond holdings.

Crunch time for LOBO derivatives

13 November 2023Municipal Finance, Risk CommentaryBarclays, interest rate swaps, interest rates, LOBOs, options, RBSNick Dunbar

UK interest rates have risen so much, that obscure options buried in local authority loan contracts are about to be triggered for the first time

Conditioning and the Bank of England’s credibility problem

30 June 2023EconomicsBank of England, central banking, Federal Reserve, inflation, interest rate swapsNick Dunbar

The Bank of England uses forward rates derived from the swap market to forecast future base rates. This approach is flawed, and has contributed to the Bank’s loss of credibility in the fight against inflation.

Italian derivatives opera

10 February 2021Articlesinterest rate swaps, litigation, sovereign debt, swaptionsNick Dunbar

Italian courts are prosecuting former officials involved in derivatives terminated by Morgan Stanley nine years ago. But the US bank actually did Italy a favour, unlike the country’s other sovereign counterparties.