Sovereign risk
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
European banks held near €300bn of state-backed loans in Q3
Italian banks see public guarantee scheme loans increase the most quarter on quarter
Covid payment holidays for €224bn of EU loans ended in Q3
French, German and Italian banks saw most loans lose moratoria protection
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
FSB offers loud warning and muted response on climate risk
Global regulators say risks are near-term and cross-border, but propose only data collection
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
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
Covid-19 chaos drains Axa’s Solvency II ratio
French insurer’s regulatory capital ratio is at its lowest since the Solvency II regime took effect
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
Local banks’ CDSs chase Italy’s sovereign risk higher
MPS and Banco BPM creditworthiness lags Italy’s
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
Own-country risk makes up 42% of EU bank sovereign exposures
Polish, Estonian and Romanian banks most exposed to home governments
Sovereign risk manager of the year: Senegal’s Ministry of Finance and Budget
Risk Awards 2020: ADB guarantee cuts swap costs by 500bp, opening the door for a $1.4b forex hedge
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
EU banks pare own-country sovereign exposures
Banks held €1.76 trillion of domestic government bonds in Q2 2019, down from €1.91 trillion a year ago
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
UniCredit plans Italian bond retreat
The bank's BTP portfolio is currently larger than those of Intesa Sanpaolo, Banco BPM and Mediobanca combined