October 4, 2023 (NO COMMENTS)
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
Notional amounts of credit derivatives sold and bought by Royal Bank of Canada (RBC) expanded to record highs in the nine months to end-July, as the dealer began making markets in this space. Canada’s largest bank, which as of last October held C$16.9 billion ($12.3 billion) notional in sold protection and C$27.1 billion notional in bought protection, grew the books to C$81.5 billion and C$91.1 billion, respectively. A spokesperson for the bank told Risk Quantum it began dealing in