Credit derivatives
Ice Clear Credit may face Esma review as euro CDSs migrate to US
Upgrade in systemic status would depend on extent of migration from UK-based Ice Clear Europe
LCH scoops up Ice Clear Europe’s CDS clients
“A sizeable majority” of European CDS users are shifting their business to CDSClear in Paris
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
PGIM pares back long-bond options bets
Counterparty Radar: Barclays benefits from manager’s Q3 portfolio changes
CDSs seek role in green transition
Despite slow start, fans insist iTraxx ESG index can aid green push
GFMA mulls FX determinations committee
Creation of CDS-style board is one option on the table for managing forex market disruption events
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
Morgan Stanley bests Goldman as top US fund single-name CDS dealer
Counterparty Radar: Single-name corporate volume hits record high as Pimco increases positions
US funds continue expansion of sold CDS protection
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Credit derivatives house of the year: BNP Paribas
Risk Awards 2022: Relative value trades propel French dealer into US top tier for index and single names
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
Defiant ECB urges ‘further work’ on clearing relocation
Policymakers moot changes to Emir to tackle systemic risks of third-country CCPs
A pricing model with dynamic credit rating transition matrixes
This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method