Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
Volumes of Ice-cleared index contracts more than four times higher than average
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
CFTC economists see benefits to having many counterparties since move to Sef trading
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
Bank’s new methodology has been used by some rivals for more than a decade
Credit investors see "no need" for contract; Ice hopes other players will see appeal
Arbitrageurs have exited trades, leaving basis structurally higher
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Second-quarter start date slated by the Japan-based clearing house
Over $600 billion in index CDS volume switches to new venue where dealers guarantee liquidity to each other
Despite the deadline for introducing central clearing already passing, a number of questions are unanswered. Leading figures from around the region voice their concerns
Restructuring credit events would cause non-clearable contracts to spin out of cleared index trades
Dealers worry about the impact on liquidity unless single-name and index trades can be margined together
The development of an index CCDS product will help market participants hedge counterparty risk, say proponents
Risk awards 2012
Where is the liquidity?
On the right iTraxx?
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants