Credit default swaps
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in…
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
Sovereign debt and CDSs: a collection of articles from Risk.net
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
BP oil spill “frightening reminder” of tail risk, say analysts
As oil continues to spill into the Gulf of Mexico, analysts have warned there is little investors can do to hedge against the risk of disasters on the scale of the Deepwater Horizon incident.
The risks of tailoring credit default swaps
Credit portfolio managers could tailor credit default swap hedges as financial guarantees to avoid accounting mismatches on their balance sheet. However, the technique exposes credit hedgers to increased costs and basis risk, argues Dirk Schubert
EC proposes tough shorting rules but stalls on CDS ban
Shorting shares and bonds could be restricted or even banned under new EC proposals, but naked credit default swaps are safe for now.
EC accelerates consultation on beefed-up short-selling proposals
Under pressure from member states, the EC expects to adopt new short-selling rules by September.
Isda credit auction sets 20% Ambac recovery rate
Protection sellers on monoline face 80% cash value payout
Self-referencing CDS risk?
Ballooning credit default swap spreads on European sovereigns have encouraged some market participants to sell credit protection on their own country. But how much is this protection really worth, and could this selling contribute to systemic risk? Mark…
Highland Capital boss slams shorting restrictions for exacerbating volatility
Credit fund veteran Mark Okada says Bafin restrictions on short selling have increased market volatility
Brazil leads booming sovereign CDS trade
Sovereign CDS transactions eclipsed corporate protection volume in past nine months.
Cut derivatives volumes down to size, says European Parliament report
European Parliament committee calls for a smaller derivatives market, citing "distorting" effect.
Germany cuts euro and equity derivatives ban
Germany narrows shorting ban
Eurozone sovereign CDS blow out after Spain ratings downgrade
Wider sovereign debt insurance costs follow Spanish ratings downgrade and falling equity prices
Korean risk premiums exceed Thailand, ‘raised long term'
Tensions on the Korean peninsula mean CDS prices are likely to stay high for some time, analysts say
CDS spreads tighten for eurozone debt crisis countries
Fall in cost of insuring eurozone sovereign debt follows a volatile week
Korean bonds stay strong, despite rising tensions
Sound economic fundamentals have meant South Korea’s sovereign bond yields have remained low despite the political standoff on the Korean peninsula.
Quiet morning trading on the CDS market after dramatic moves
CDS spreads' volatility earlier in the week over for now
German short sell ban snares long euro FX derivatives
Long euro derivatives positions caught up in proposed legislation, while doubts remain over the exemption of market-makers
Risk Europe: Don't be blindsided by politicians, risk managers warned
Sovereign interventions are sacrificing market efficiency in order to deliver price stability, according to the former US Treasury attaché to the European Union