Credit derivatives
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
ESG derivatives – From equity to fixed income, what next for this market?
The fast-evolving ESG derivatives market, how these products are helping investment strategies and expectations for market development.
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
Credit derivatives house of the year: Credit Suisse
Risk Awards 2021: hedging before the crisis allowed bank to offer ample liquidity when markets tanked
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Asia moves: HSBC appoints Apac CIO, Crédit Agricole names regional transaction banking head, and more
Latest job news across the industry
Cleared CDS volumes surged in H1 – BIS
CDX cleared contracts outstanding leapt 35% in H1
Credit swap portfolios contracted at systemic US banks in Q2
Sold notionals fell 8% over the three months to end-June
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Common domain model needs infrastructure push, says Barclays
Bank wants market infrastructures to drive adoption of Isda CDM
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
Recent defaults lead to record credit derivatives payouts
CDS auctions have yielded historically low recovery rates this year, meaning swap sellers have had to pay more than normal
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks