Credit default swaps
Silent running: on the trail of the SEC’s missing CDS rules
The mysterious fate of the apocryphal 2013 clearing proposal, and what comes next
Buy side must clear hurdles to revive CDS liquidity
Some firms forced to watch from sidelines as voluntary clearing of single-name CDSs takes off
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
OTC client clearer of the year: Citi
Risk Awards 2017: FCM makes its voice heard as business booms
LCH to clear single-name CDSs for US clients
Paris-based CDSClear already in discussions to onboard its first US FCM
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
Bank CDSs straining under TLAC
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
Lawyers disagree over iHeart CDS trigger
Isda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event
Banks and clients clash over novation MVA charges
Some banks swallowing new margin funding costs, others forcing clients to pay up
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
Trading stalls on China's new CDS market
No transactions after first day of trading, while price discovery is problematic
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
SG buys $1.3 billion Japan CDS portfolio
French bank strengthens position in Asia
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
Traders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
German industry gears up to oppose CLN ban
German Derivatives Association argues ban is unlawful
A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Using historical equity and credit market data, this paper illustrates the validation of a structural correlated default model applied to Black–Cox setups.
Bond funds use derivatives to buy time for bargain hunting
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Building credit: China's CDS market faces headwinds
Regulatory fragmentation threatens take-up of planned new credit instruments
Lack of sellers could hold back Chinese CDS market
Demand for credit protection increases, but traders say sellers will be hard to find
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer