Sovereign risk
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
Sovereign risk weights cannot wait
Why reform of Basel rules is urgent – and how to improve on December 2017 proposals
EU insurers show bias to own sovereigns
Forty-two percent of median EU country insurance sector's sovereign bond portfolio allocated to domestic government
Credit data: UK banks hold firm as Brexit looms
The credit status of UK banks remains unchanged, but other industries have seen significant deterioration
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration
Enria takes aim at eurozone banks’ sovereign exposures
New ECB supervision chair floats Pillar 2 concentration charge, criticises use of IFRS 9
Many EU banks’ sovereign portfolios highly concentrated
Forty-eight lenders have more than three-quarters of sovereign risk allocated to home country
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries