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Bond Market News

Credit Suisse’s Dollar Perps Drop Over 3% after $1.6bn Q4 Loss Warning

November 24, 2022

Credit Suisse has warned that it expects to make a CHF 1.5bn ($1.6bn) loss in 4Q 2022. The Swiss bank said that wealthy clients have made hefty withdrawals which has lead to a big drop in liquidity, breaching some regulatory limits. Credit Suisse said there had been an outflow of 6% of AUM at the end of Q3. While the lender did not mention the quantum of withdrawals specifically, analysts at Vontobel estimate the scale of withdrawals to be around CHF 84bn ($89bn). Thus as the bank had to use its liquidity buffers to address its financing requirements, it breached certain minimum regulatory requirements as per Reuters. Vontobel’s Andreas Venditti said that Credit Suisse’s liquidity coverage ratio (LCR) had fallen “massively” towards a legal minimum of 100%. The bank said that outflows in wealth management had reduced “substantially” from a high in the first two weeks of October but had yet to reverse.

Credit Suisse’s dollar perps fell by over 3% – its 5.25% Perps were down 2.1 points to 67.5, yielding 16.21% to its next call date in February 2027. Its 9.75% Perps were down over 2 points to 92.4, yielding 11.95% to its next call date in June 2027. Its EUR 5Y CDS spread jumped 39bp to 329bp.

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