
US commercial banks’ trading revenues down 21.5%
The credit derivatives segment of the market had the largest proportionate increase in notional size. During the fourth quarter, the credit derivatives market grew by 10.8% to $635 billion. The total notional of protection sold increased by $20 billion to $291 billion. The total notional of protection bought increased by $41.6 billion to $343 billion.
Kathryn Dick, Washington-based deputy comptroller for risk evaluation at the OCC said the decline in the value [on the back of tightening credit spreads] of credit derivative hedges of loan portfolios is a “major factor” to take into account when comparing figures for the third and fourth quarters.
Total credit exposure - consisting of current mark-to-market exposure after netting benefits, and potential future exposure - increased by $24 billion to $594 billion during the fourth quarter. “The increase in credit exposure resulted primarily from the growth in notional amounts, particularly for interest rate contracts maturing beyond five years,” Dick said.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Regulation
EU banks ‘will play for time’ in stand-off over India’s CCPs
Lawyers say banks are unlikely to set up subsidiaries and will instead pin hopes on revised Emir fix
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Iosco warns of leveraged loan ‘vulnerabilities’
As recovery rates plummet, report calls for clearer covenants and more transparency on addbacks
Narrow path to compromise on EU’s post-Brexit clearing rules
Lawmakers unlikely to support industry demand to delete Emir active accounts proposal altogether
The Fed’s stress test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
Legal challenges loom for renewed US focus on Sifis
Lawyers say any FSOC attempt to designate systemic non-banks risks a repeat of MetLife case