Credit swap portfolios contracted at systemic US banks in Q2

Sold notionals fell 8% over the three months to end-June

The fair value and notional size of credit default swap (CDS) portfolios held by Wall Street giants Bank of America, Citi, JP Morgan, Goldman Sachs, Morgan Stanley and Wells Fargo shrunk rapidly over the three months to end-June, having massively expanded during the initial outbreak of the coronavirus crisis.

Aggregate notional sold CDS tallied up to $2.17 trillion and bought credit derivatives to $2.35 trillion, down 9% and 8% on Q1, respectively. Sold notionals fell fastest at JP Morgan, by

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