Credit derivatives
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
Hedge fund of the year: Hildene Capital Management
Risk Awards 2020: A high-return hedge fund weathers the storm in structured credit
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Credit derivatives house of the year: Barclays
Risk Awards 2020: UK bank showed flow strength in Thomas Cook default – and product range is growing
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
At Wells Fargo, derivatives exposures climb $13bn in Q3
Portfolio shifted further into-the-money in the third quarter
CDS fix seeks support for January lift-off
Manufactured defaults protocol opens on September 13, forcing users to consider valuation impact
Asia Risk Awards 2019: The winners
The best of the best in Asia
Equity derivatives surge at US G-Sibs
Gross notionals have increased 8.9% year-on-year
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
BNP Paribas leads EU banks in CDS trading in 2018
French bank had €868 billion of credit derivatives notionals outstanding at year-end
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
No-deal Brexit could force European swaps trading to US venues
Lack of equivalence between UK and EU regimes would create “conflicting obligations” for large dealers
Isda’s CDS fix draws murmurs of dissent
Proposed changes don’t go far enough for some; others say it will block legitimate activity
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
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
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales