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As interest rates surge, bankers fret over last year s models

IRRBB modellers trying to predict client behaviour have little relevant data to fall back on

Bank of england boeEuropean central bank ecbEuropean banking authority ebaLloyds banking groupNited kingdom ukNterest rate risk in the banking book irrbbInterest ratesBanking bookAsset and liability management almNterest rate modelsInternal modelsModel riskProfit amp lossp amplHedge accountingHistorical dataInterest rate risk

Weekly Forecast, 28 October 2022: Treasury 1-Month Forward Rate Peak Slides 0 20% To 5 46%

The negative 2-year/10-year Treasury spread has now persisted for 82 trading days, widening to a negative 39 bp from negative 28 bp last week. Read more here.

New yorkUnited statesDavid heathRobert jarrowAndrew mortonAlex domashFederal reserve bankUs department of the treasuryInstitute incNegative ratesSecured overnight financing rateTreasury yieldsInverted nowTreasury bill yieldsSeeking alphaYield data

Treasury 1-Month Forward Rate Peak Jumps 0 41% To 5 66%

This week’s simulation shows that the most likely range for the 3-month U.S. Treasury bill yield in ten years is from 1% to 2%. Read more here.

New yorkUnited statesDavid heathRobert jarrowAndrew mortonAlex domashFederal reserve bankUs department of the treasuryInstitute incRisk conceptNegative ratesSecured overnight financing rateTreasury yieldsInverted nowProbability by aprilTreasury bill yields

Weekly Forecast, Oct 14: Treasury 1-Month Forward Rate Peak Up 0 32% To 5 25%

The 2 year/10 year spread in the US Treasury market has now been negative for 72 trading days. The spread is currently minus 48 basis points.

New yorkUnited statesDavid heathRobert jarrowAndrew mortonAlex domashFederal reserve bankUs department of the treasuryInstitute incNegative ratesSecured overnight financing rateTreasury yieldsInverted nowTreasury bill yieldsSeeking alphaYield data

Weekly Forecast, September 30, 2022: Market Rate Expectations Step Up

A rational extraction of market expectations from the US Treasury yield history since 1962 shows an upward shift this week. Read more here.

New yorkUnited statesDavid heathRobert jarrowAndrew mortonAlex domashFederal reserve bankUs department of the treasuryInstitute incNegative ratesSecured overnight financing rateTreasury yieldsInverted nowTreasury bill yieldsSeeking alphaYield data

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