Credit derivatives
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
The UK’s path to EU equivalence: détente or detour?
Race to meet post-Brexit cross-border trading requirements will go down to the wire
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%
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
Hedge fund of the year: Hildene Capital Management
Risk Awards 2020: A high-return hedge fund weathers the storm in structured credit
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Credit derivatives house of the year: Barclays
Risk Awards 2020: UK bank showed flow strength in Thomas Cook default – and product range is growing
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
At Wells Fargo, derivatives exposures climb $13bn in Q3
Portfolio shifted further into-the-money in the third quarter
CDS fix seeks support for January lift-off
Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
Asia Risk Awards 2019: The winners
The best of the best in Asia
Equity derivatives surge at US G-Sibs
Gross notionals have increased 8.9% year-on-year
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
BNP Paribas leads EU banks in CDS trading in 2018
French bank had €868 billion of credit derivatives notionals outstanding at year-end
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
No-deal Brexit could force European swaps trading to US venues
Lack of equivalence between UK and EU regimes would create “conflicting obligations” for large dealers