Credit default swaps
CVA wrong-way risk: calibration using a quanto CDS basis
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
CDS sold by US banks down $55bn in Q1
JP Morgan cut CDS notionals the most, shedding $36.8 billion from its portfolio
The fair basis
Wujiang Lou remodels credit arbitrage by introducing funding and capital costs
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
Swaps data: IM grows in listed and OTC markets
Data shows fourth-quarter jump in IM across all product groups and after-effects of Nasdaq losses
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
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
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
Isda’s CDS fix draws murmurs of dissent
Proposed changes don’t go far enough for some; others say it will block legitimate activity
Swaps data: cleared volumes and CCP market share
Data shows CME and Eurex growing faster than LCH Swapclear
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
Patchy response to Isda’s back office of the future
Some banks are quiet, while clearing houses seem split on uptake of Isda data standardisation project
CDSs get subjective
Legal certainty loses out to commercial objectives in race to fix manufactured defaults
Isda proposes fix for ‘manufactured defaults’
Failure-to-pay must be linked to a deterioration in creditworthiness to trigger CDS payouts
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
Clients feel forgotten by Giancarlo’s swaps trading plans
Industry says wider Sef mandate ignores reality of dealer-to-client market
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Non-payment insurance grows as banks shun stuttering CDS market
Credit portfolio managers explore insurance contracts to offset risk from loan book
Teach history to avoid mistakes of yesterday’s quants
Quant grads should be taught follies of LTCM, Gaussian copula and London Whale, writes UBS’s Gordon Lee
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants