Regulators
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Covid tumult pushed VAR capital charges up 72% at US G-Sibs
JP Morgan’s charge increases 148% quarter-on-quarter
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
JP Morgan had sharpest trading edge of top dealers in Q1
G-Sibs racked up 295 profit-making days in first quarter
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Systemic US banks incurred 42 VAR breaches in Q1
Leading dealers saw actual losses over four times greater than their VAR estimates on some days
Sonia proves its mettle through Covid-19 crisis
New risk-free rate gaining ground at Libor’s expense
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%
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
Fed dominated MMF repo trades in March
FICC and BNP Paribas among other top repo counterparties
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