Regulators
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
UK banks’ RWAs plummeted in Q4 2019
Risk drop-off helped raise aggregate CET1 ratio
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week
EU banks eye bad loan relief from state guarantees
ECB move should prevent rickety loans counting as NPLs
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
Systemic banks could free $156bn of capital after Fed plea
Banks asked to use management buffers to support economy in combating coronavirus
US banks’ systemic footprints grew in 2019
Balance sheet growth lifts systemic risk scores
ECB cuts top banks’ required capital by over €350bn
Capital conservation requirement and Pillar 2 guidance amounts relaxed, countercyclical capital buffers encouraged to fall
Countercyclical buffer relief to save top UK banks £7bn in capital
BoE expects £190 billion of lending to be supported by CCyB cut
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
EU banks face near €18bn capital shortfall through output floor
Twenty-one out of 51 banking groups surveyed would be constrained by the output floor
OIS trading in sterling, euro and Aussie dollar soar
Euro overnight index swaps notional volumes hit €192 billion on March 1
FX options volumes surged last week amid market panic
USD/JPY options traded volumes highest since at least the start of 2018
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Dollar OIS volumes hit $3.3trn high
Short-dated swaps dominated trading in last week of February
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018