Sovereign debt
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
US Treasury market preps for reporting showdown
Sifma expected to attack transparency plans; prop traders brand objections “crazy”
JP Morgan extends run as top repo dealer to US funds
Counterparty Radar: New data shows wide variation in haircuts, with biggest clients – like BlackRock and Pimco – getting best terms
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Danske, Deutsche and PNC pin SVAR to Covid-19
Most global banks continue to use the global financial crisis to stress-test their portfolios
Market braces for end of Russia central bank sanctions carve-out
Isda AGM: general licence expires on May 25, threatening bond payments and deliverable ruble settlement
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
CDS committee to rule on scope of eligible Russian debt
Group will determine whether bonds with ruble payment options can trigger the contracts
SG, UniCredit, RBI most exposed to Russia as sanctions loom
EBA data shows €47bn of exposure to Russia from five most-exposed EU banks
SSA risk manager of the year: European Commission
Risk Awards 2022: EC debt programme skyrockets to fund recovery package of up to €800 billion
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
At big US banks, Treasury holdings grew over $350bn in 2020
US debt held-to-maturity increased 92% over the year
Sovereign risk manager of the year: Italy’s Ministry of Economy and Finance
Risk Awards 2021: Italy’s CSA agreements allow it to issue in US dollars for the first time in almost 10 years
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
Hong Kong plots Honia-linked floater debut
Central bank hopes floating rate note sale will kick-start new debt market linked to risk-free rate
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Leaked EU document casts doubt on leverage ratio relief
Several MEPs oppose leverage exemption for sovereign bonds, but some want SA-CCR fast-tracked
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk