Credit default swaps
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Why credit default committees are a turnoff for the buy side
With high costs and little to gain from participating, investment firms seem content to leave the legal work to the banks
Pricing default risk in stochastic time
This paper explores credit derivative pricing through the structural modeling framework and seeks to improve on how accurately such models value derivative securities.
Citi’s single-name CDS book with retail funds doubled in Q1
Counterparty Radar: New trades with PGIM totalling $2.4 billion return Citi to top of dealer rankings
Credit Suisse CDS blip spotlights obligations list overhaul
Isda began work on updating reference instruments before banking crisis erupted
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Allianz Life triples index CDS book
Counterparty Radar: US life insurer market’s notional volume doubles in Q1
Pimco returns to sold index CDS growth
Counterparty Radar: Market for US retail funds sheds $5.2 billion in volume in Q1
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
Billions in index CDSs remain at ICEU as clearing shutdown looms
Osttra has migrated 77% of index OI, but the rest is mostly held by clients outside its network
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers
Morgan Stanley, JP Morgan lead Risk’s first Dealer Rankings
Dealer Rankings 2023: Analysis of more than 1,000 cuts of Counterparty Radar data offers rare glimpse of sell-side pecking order
CDS auction-rigging lawsuit set to proceed
US judge clears way for case in which pension funds allege dealers manipulated CDS settlements
Allianz Life halves index CDS book in Q4
Counterparty Radar: Move by US market behemoth pushes life insurers’ notional down by almost 40%
DC to consider second request to trigger Credit Suisse CDS
Last-ditch effort hinges on whether the bank was, or said it was, unable to pay its debts
DC rejects attempt to trigger Credit Suisse CDSs
Committee dismisses claims Swiss bank’s AT1s were not subordinated to the CDS reference entity
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
Citi becomes top single-name CDS dealer for US life insurers
Counterparty Radar: New York bank bests Barclays as sector contracts by $340 million at the end of 2022
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
Ice and LCH declare victory as CDS migration nears end
Ice retains lion’s share of positions at shuttered European CDS service, but LCH gets more clients
BMR grows bought single-name CDS book as market slumps
Counterparty Radar: US retail funds cut $1.5 billion in sold swap positions in Q4
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters