Credit derivatives
Little seasonal cheer for bank CDS spreads
Europe's big banks have endured a rocky month of ratings downgrades, eurozone discord and funding stress
Dealers claim regulators have cooked up a pro-cyclical credit value adjustment (CVA) capital charge that encourages CVA desks to buy credit default swap protection as a hedge. This could push spreads wider,...
Credit default swaps have allowed banks and investors to improve the management of their credit risk, but they may represent a lurking source of contagion in a crisis, argues David Rowe
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More Credit derivatives articles
Germany downgrade threat sees eurozone CDSs widen
Eurozone CDS spreads were back on the rise today after Standard & Poor's warned it could downgrade 15 eurozone member states, including Germany
Eurozone CDS spreads fall on French-German fiscal deal
Risk perceptions in the eurozone fell today as France and Germany agreed new treaty plans that will sanction fiscally irresponsible member states
German CDS spreads level out after weak debt auction spooks markets
Cost of insuring against a German government default remains stable after yesterday’s lacklustre debt auction, but risk perceptions on German banks surge
Avatar Capital adds CCDS brokerage team
Broker-dealer hires former Icap credit hybrids team
CDS: not dead yet
The date: October 27. The scene: a dining room at one of the world’s biggest banks. The starter: grilled salmon. While glasses of sparkling water were still enthusiastically effervescing, two of the bank’s senior executives railed against what they...
Dealers predict CVA-CDS loop will create sovereign volatility
Dealers say regulators have cooked up a pro-cyclical credit value adjustment capital charge that will force them to buy increasing amounts of protection in an illiquid market, regardless of changes in counterparty credit. The impact will be felt by uncollateralised...
Illiquidity holding back CCDS, despite Basel III endorsement
Basel III allows contingent credit default swaps (CCDSs) to be used as a mitigant when calculating credit value adjustment. Advocates of CCDSs hope that will give the market some momentum – but others say the product will continue to suffer from a shortage...
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