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What's Happening In Global Macro?

The Macro Trading Floor

CHAPTER

The Effects of European Banks on Interest Rate Risk

Europe does a stress test on the interest risk that banks run overall at a balance sheet level and already there it was visible that the median bank would take about a 5% drawdown in capital from a 200 basis point increase in interest rates. The analysis show that European banks are better regulated and they did their homework better on hedging Overall Schnabel today put out a chart where they were testing over a hundred banks and she has a distribution of outcomes and you can really see that the Median bank loses about 5% 6%.

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