Bank ALM trumps downbeat ECB

摘要

A dovish European Central Bank fuelled expectations for lower European yields late last week, but the message failed to register with a group of banks and insurers, who piled into swap trades that locked in profits on rates positions. Rates markets rallied following a downbeat ECB assessment of the outlook for inflation and economic growth, but swap rates refused to follow, held back by an emerging trend of profit-taking among regional banks and insurers. "A lot of banks have played rates lower for months and months, and after a very violent yield rise in May-June and given the still low yields from a historical basis it makes sense that some are now deciding to lighten up," said Amaury d'Orsay, global head of rates at Societe Generate. "So we have seen more paying from banks and insurers who have started to lower their level of exposure."