Sefs and exchanges echo EC's CDS licence complaints
The European Commission believes the largest derivatives dealers used their influence to prevent exchange trading of credit default swap contracts between 2006 and 2009 – and as new derivatives trading...
View ArticleCDS licence approvals too slow, Sefs claim
Sefs claim their applications for licences to offer single-name and index CDSs are moving at a glacial pace – echoing allegations made by the European Commission
View ArticlePricing CDSs’ capital relief
Positions in credit default swaps (CDSs) are eligible instruments to reduce some Basel III capital requirements. The value of this benefit should be reflected in the price. Chris Kenyon and Andrew...
View ArticleAfter three months, Ice CDS index future has less than 70 open contracts
Launched with a fanfare earlier this year, trading in Ice’s new credit index future has since stalled. Critics say it is dead, but its backers argue it is too soon to write the contract off. Peter...
View ArticleCapital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
View ArticleCutting Edge introduction: pricing the CVA doom loop
The credit valuation adjustment charge in Basel III allows capital relief for credit default swap (CDS) hedges. But once a product has a new use, it creates new demand – and prices must change. That...
View ArticleSEC extends interim CDS portfolio margin rule
Buy-side firms angry about continuing margin disparity and uncertainty
View ArticleCredit derivatives house of the year: Credit Suisse
Credit Suisse has remained focused on the structured credit market while others have retreated – and racked up a record-breaking performance in 2013 as a result
View ArticleFCM models for CDS portfolio margin "varied widely"
Finra says year-long approvals process revealed "notable outliers"
View ArticleWhy CDOs work
Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointed...
View ArticleS&P court loss in Australia unlikely to spark rival claims
Dismissal of appeal by rating agency to have implications in Australia and other common law countries but not US
View ArticleScotland secession: would UK CDSs be affected?
If Scotland votes for independence in September, it will be a big moment for credit markets – and, thanks to a quirk in the wording of legacy CDS contracts, a potential succession event for holders of...
View ArticleCutting Edge intro: maths versus machine
Many banks have turned to fancy chips to boost computing speed, but there is a mathematical technique that claims better results at a lower cost. Its proponents see it as a way out of the IT rat race,...
View ArticleHow to hedge CVA without being hurt
Banks can reduce their CVA capital burden by using regulator-approved hedges, but only at the risk of painful accounting losses. The solution is a new hedging instrument that works under both regimes....
View ArticleCDS de-correlation a threat to CVA hedging, traders warn
The decline in single-name trading could cause credit default swap indexes to decouple from their constituents
View ArticleGoldman Sachs bought $24 billion CDS portfolio from UBS
UBS in Australia sold off its CDS portfolio in fixed income scale-back, source reveals; deal was part of efforts to meet impending capital requirements
View ArticleMarkit venture is first casualty of US swap flop
Closure of Credit Centre leaves Traiana CreditLink as only remaining swap-clearing credit-check hub
View ArticleBafin blocked Deutsche Bank correlation exit, funds claim
Deutsche confirms it tried to sell book last year; three funds say trade was shut down by German regulator
View ArticleEU banks' exposure to Greece below €5bn
Despite widespread fear over a Greek exit from the eurozone, European banks' exposures are limited to tiny bond holdings and €5 billion of outstanding loans, according to a JP Morgan report
View ArticleCiti buys $250bn Deutsche Bank single-name CDS portfolio
Leverage exposure drives big portfolio sale, with Citi aiming to collapse notionals by the end of the first quarter
View ArticleCredit derivatives house of the year: Citi
Citi has become a provider of risk-recycling services to the Street’s bad banks, while leading the market in the creation of new – and more robust – structured credit assets
View ArticleSef of the year: MarketAxess
Platform is committed to all-to-all trading - offering anonymous quote requests, for example - and users are getting better prices as a result
View ArticleLifetime achievement award: Andrew Feldstein
Derivatives pioneer and founder of BlueMountain has played a big role in two decades of credit market change; now he occupies one of the seats of power in the market's new order
View ArticleHedge funds eye actively managed synthetic CDOs
The revival of the synthetic CDO market is encouraging some firms to pursue actively managed deals, but regulatory hurdles remain
View ArticleCredit derivatives – looking forward in a time of change
The credit derivatives market has fundamentally changed over the last few years with new processes and regulations driving the markets forward.
View ArticleFull capital structures allow revival of synthetic CDOs
The tranching and distribution of risk on portfolios of credit default swaps is back, with issuance reaching $20 billion last year, but it bears the lessons of the crisis. Deals are simpler and more...
View ArticleBond-CDS basis trades have 'stopped working', hedge funds say
The basis between some bonds and their accompanying credit default swaps are stuck at levels that would have provoked a feeding frenzy a few years ago, but hedge funds are sitting on the sidelines. Why?
View ArticleProvincial bond issuance could revive Chinese CDS market
China's CDS market has been languishing in the shadow of state protection – will the rising provincial bond market change this?
View ArticleMarkit unveils new CDX index rules
Up to 10 new names from under-represented sectors could be added to the high-yield CDX index on September 27
View ArticleA non-linear PDE for XVA by forward Monte Carlo
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky...
View ArticleIsda escapes CDS case pledge to help CFTC
Association still faces licensing overhaul as part of pending settlement
View ArticleBank names obstruct single-name CDS clearing
Ice is “working through” wrong-way risk issues, may need to revamp auctions
View ArticleLack of sellers could hold back Chinese CDS market
Demand for credit protection increases, but traders say sellers will be hard to find
View ArticleBuilding credit: China's CDS market faces headwinds
As structural reforms push up defaults, China’s regulators are working to put in place a credit default swap market. However, without reforming the regulatory fragmentation that plagued previous...
View ArticleBuy side turns to credit skew notes for yield pick-up
Revival of credit derivatives arbitrage strategy targeted at insurers and private banks
View ArticleSkewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
View ArticleLawyers disagree over iHeart CDS trigger
Isda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event
View ArticleBank CDSs straining under TLAC
UK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn
View ArticleTLAC-driven CDS index change tipped for September
UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists
View ArticleiHeart CDS saga sparks debate over credit rules
Trigger decision highlights product's weaknesses, warns Milbank’s Williams
View ArticleIce to clear single-name bank CDSs from April 10
US participants will be able to start clearing credit default swaps referencing Ice clearing members
View ArticleBuy side fuels boom in single-name CDS clearing
Ice single-name CDS volumes double year on year following switch to semi-annual rolls
View ArticleCME to pass on Ice CDS administration charges
Clearing house to hike CDS index trade fees from July after Ice’s determinations committee takeover
View ArticlePodcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
View ArticleSingle-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
View ArticleIsda asked to consider "potential" Argentina CDS event
Holders of CDSs on Argentine debt claim contracts due to expire before the country's June 30 coupon payment should still be valid if the country later defaults.
View ArticleScotland secession unlikely to split UK CDSs, analysts say
A 'yes' vote in the referendum could result in outstanding UK CDSs being split in two, but analysts are not holding their breath
View ArticleTraders blame bail-in for Deutsche CDS jump
Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios
View ArticleFears that bumper coupon could skew iHeart CDS payouts
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts
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