Credit default swaps
LCH SA’s default funds hit record highs
CCP’s own contributions account for less than 1% across three clearing services
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Market eyes emerging market CDS index expansion
Participants hope changes will help transform single-name volumes into greater index activity
Narrow path to compromise on EU’s post-Brexit clearing rules
Lawmakers unlikely to support industry demand to delete Emir active accounts proposal altogether
Citi is building a central risk book for credit
Talking Heads 2023: Putting CDSs, ETFs and bonds into the same pot will result in better pricing, says credit head Bhatia
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
Mystery clearing member delays ICEU’s CDS transition
But Ice is confident open interest will be close to zero when service shuts down in October
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Why credit default committees are a turnoff for the buy side
With high costs and little to gain from participating, investment firms seem content to leave the legal work to the banks
Pricing default risk in stochastic time
This paper explores credit derivative pricing through the structural modeling framework and seeks to improve on how accurately such models value derivative securities.
Citi’s single-name CDS book with retail funds doubled in Q1
Counterparty Radar: New trades with PGIM totalling $2.4 billion return Citi to top of dealer rankings
Credit Suisse CDS blip spotlights obligations list overhaul
Isda began work on updating reference instruments before banking crisis erupted
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Allianz Life triples index CDS book
Counterparty Radar: US life insurer market’s notional volume doubles in Q1
Pimco returns to sold index CDS growth
Counterparty Radar: Market for US retail funds sheds $5.2 billion in volume in Q1
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
Billions in index CDSs remain at ICEU as clearing shutdown looms
Osttra has migrated 77% of index OI, but the rest is mostly held by clients outside its network
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers
Morgan Stanley, JP Morgan lead Risk’s first Dealer Rankings
Dealer Rankings 2023: Analysis of more than 1,000 cuts of Counterparty Radar data offers rare glimpse of sell-side pecking order
CDS auction-rigging lawsuit set to proceed
US judge clears way for case in which pension funds allege dealers manipulated CDS settlements
Allianz Life halves index CDS book in Q4
Counterparty Radar: Move by US market behemoth pushes life insurers’ notional down by almost 40%
DC to consider second request to trigger Credit Suisse CDS
Last-ditch effort hinges on whether the bank was, or said it was, unable to pay its debts