Credit derivatives
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
Policy-makers 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
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
ESG derivatives – From equity to fixed income, what next for this market?
The fast-evolving ESG derivatives market, how these products are helping investment strategies and expectations for market development.
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
Credit derivatives house of the year: Credit Suisse
Risk Awards 2021: hedging before the crisis allowed bank to offer ample liquidity when markets tanked
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Asia moves: HSBC appoints Apac CIO, Crédit Agricole names regional transaction banking head, and more
Latest job news across the industry
Cleared CDS volumes surged in H1 – BIS
CDX cleared contracts outstanding leapt 35% in H1