Credit default swaps
A tale of two tail risks
This paper investigates the relationship between banking credit risk and the financial market jump hazard rate, finding the two risks to have opposing behaviors.
Junk-rated CDS clearing rates slid in H1 2024
Shift away from CCPs concentrated in sub-investment grade multi-name products
‘It’s not EU’: Do government bond spreads spell eurozone break-up?
Divergence between EGB yields is in the EU’s make-up; only a shared risk architecture can reunite them
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Clearing house of the year: LCH
Risk Awards 2025: LCH outshines rivals in its commitment to innovation and co-operation with clearing members
Exchange of the year: Eurex
Risk Awards 2025: Eurex jolts credit futures market into life
Credit derivatives house of the year: JP Morgan
Risk Awards 2025: Continued investment in credit has created a virtuous circle of growth, as cash products support derivatives, and vice versa
Law firm of the year: Linklaters
Risk Awards 2025: Law firm’s work helped buttress markets for credit derivatives, clearing and digital assets
Credit traders await resolution on delayed swaps index
Market participants confident CDX Financials fix will overcome regulatory obstacles
CDS clearing rates hit 71% high around September iTraxx roll
CFTC data shows tilt away from bilateral settlement mainly in Europe-referencing instruments
CDS market revamp aims to fix the (de)faults
Proposed makeover for determinations committees tackles concerns over conflicts of interest
BNPP overtakes Barclays in Ucits single-name CDSs
Counterparty Radar: Europe’s retail funds shed notional but used wider range of underlyings, new data shows
Avon CDS holders win payout despite narrow debt auction
With swap volumes outweighing eligible deliverable debt, holders feared contracts could be worthless
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
Barclays disputes CDS committee decision ahead of auction
Representing the bank, law firm Milbank argues the committee’s approach risks constraining the market and goes against expectations
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Sliced and sliced again: investors’ latest trick for risk transfer
‘Retranched’ synthetic securitisations offer higher yields, but questions remain over legality of structures
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side