Sovereign bonds
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
Softer US NSFR could skew global repo pricing
US banks benefit from Treasury repo exemption, while EU banks report only end-quarter ratios
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
BNY Mellon, State Street reshape liquidity buffers
HQLA falls as share of custody banks’ investment portfolios
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Generali’s solvency ratio savaged by Covid-19 turmoil
Italian sovereign exposures could force capital gauge even lower
Deutsche Bank liquidity buffer shrinks €17bn
Clients’ clamour for cash forces bank to monetise liquidity pool
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
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
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
Funding risk of global banks varies
Basel study shows European banks have seen net cash outflows increase just 7.7% in four years
Factor-based tactical bond allocation and interest rate risk management
This paper offers two composite bond market factor investment strategies each for the Swiss bond market and for the global sovereign bond market.
Tradeweb reveals package trading for swaps and bonds
New tool offers pricing and trading of sterling swap-bond combo
Liquidity coverage at US G-Sibs worsens in Q2
HQLA rose $18bn while projected net cash outflows jumped $29bn
Bond binge accelerates at eurozone insurers
Annualised growth rate of debt portfolios hits new high of 2.6%
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration