Credit default swaps
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
Isda’s CDS fix draws murmurs of dissent
Proposed changes don’t go far enough for some; others say it will block legitimate activity
Swaps data: cleared volumes and CCP market share
Data shows CME and Eurex growing faster than LCH Swapclear
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
Patchy response to Isda’s back office of the future
Some banks are quiet, while clearing houses seem split on uptake of Isda data standardisation project
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
Clients feel forgotten by Giancarlo’s swaps trading plans
Industry says wider Sef mandate ignores reality of dealer-to-client market
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Non-payment insurance grows as banks shun stuttering CDS market
Credit portfolio managers explore insurance contracts to offset risk from loan book
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
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
LCH launches CDS exercise platform
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
US banks’ CDS books shrink $2 trillion in two years
Wells Fargo only major bank to grow credit portfolio year-to-date
Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Emir compels clearing surge
Share of cleared interest rate derivatives climbs to 58%