Regulators
UK banks’ derivatives books shrunk at year-end
The gross fair value of portfolios declined 22%
Banks stride towards BCBS 239 implementation
No G-Sib was non-compliant with any key data management principles
Bond embrace may help emerging markets withstand Covid-19
Annual growth rate of debt issued by non-bank borrowers averages 11%
Short-dated sterling swap volumes surge
On April 22, traded volumes were four times the two-year average
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
Foreign banks’ EM exposure could spiral as Covid-19 bites – BIS
Activation of credit lines and guarantees could cause exposures to leap 26%
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
Many EU banks have dollar LCR shortfalls
Twenty-two surveyed banks had USD LCRs below 100% as of June 2019
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
SA-CCR to lift counterparty risk capital charge by 27% – Basel
Systemic dealers face biggest spike in required capital of surveyed banks
Spain lagged eurozone on bank capital in Q4 2019
Five major Spanish banks have CET1 ratios of 12% or below
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
UK banks’ RWAs plummeted in Q4 2019
Risk drop-off helped raise aggregate CET1 ratio
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week
EU banks eye bad loan relief from state guarantees
ECB move should prevent rickety loans counting as NPLs
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year