Credit default swaps index
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
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
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
Clearing house innovation of the year: Ice Clear Credit
Risk Awards 2020: Clearing house lures fund business with efficient new Monte Carlo methodology
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
Final FRTB tweak ‘will kill correlation trading’, say dealers
Some European banks plan to lobby ECB for relief when rules are transposed to local law
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows
Lord Abbett turns to Deutsche for CDSs
German lender increases share of fund's CDS portfolio
Asian administrators in denial on EU benchmarks regulation
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately
Monthly swaps data review: credit volumes peak in June
Global cleared credit derivatives volumes reached $1 trillion before ebbing in July
TLAC-driven CDS index change tipped for September
UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists
Fears that bumper coupon could skew iHeart CDS payouts
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Buy side turns to credit skew notes for yield pick-up
Revival of credit derivatives arbitrage strategy targeted at insurers and private banks