EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
Top European Union banks saw derivatives exposures, as reported for leverage adequacy purposes, jump 36% in the first half of the year. While the switch to the standardised approach to counterparty credit risk (SA-CCR) was highlighted by some dealers as the main driver behind the increase, a mix of seasonal book expansion and technical reporting changes also played a role.
On aggregate, the 18 lenders tracked by Risk Quantum reported €881.2 billion ($1 trillion) in derivatives exposure at end
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