Credit default swaps
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
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
US banks’ CDS books shrink $2 trillion in two years
Wells Fargo only major bank to grow credit portfolio year-to-date
Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Emir compels clearing surge
Share of cleared interest rate derivatives climbs to 58%
SEC’s Stein sounds alarm on portfolio margining
Comment period on single-name CDSs is covert attempt at rulemaking, regulator says
SEC finally moves forward on single-name CDS dealer rules
Commissioner Peirce wants rest of dealer regime completed within “weeks”, but no word on clearing
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
Ice single-name clearing surge defies market trend
Ice Clear Credit open interest grows 31%