Credit default swaps
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
CDS committee to rule on scope of eligible Russian debt
Group will determine whether bonds with ruble payment options can trigger the contracts
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Market set to reject SEC’s anti-fraud CDS rules ... again
Industry groups dislike retread of rules around fraud and manipulation, and want longer comment period
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
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
XVA in Japan: the outlook for 2022
Hiroyuki Yoshizawa, executive director, pricing valuations and reference data at IHS Markit Group Japan explores why financial institutions that were early-accounting CVA adopters are now taking the next steps on their XVA journeys
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Pimco, Capital Group lead expansion of index CDS market
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
SEC’s Peirce sees legal risk for dealers in new swap rules
Anti-fraud provision in proposal could expose margin calls to “potential liability”
Evergrande stress boosts fledgling China CDS indexes
Interest surges in products seen as better gauges of credit risk for embattled property sector
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
You’ve got a Frandt: banks set to port EU clearing rules to UK
FCMs set to adhere to higher standard on commercial terms for swaps clients
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
Dealers scramble to meet SEC swaps rule deadline
Dealers battle buy-side inertia and eleventh-hour confusion as belated security-based swap rules bite
How US funds trade defaulting CDS names
Counterparty Radar: Funds slashed sold positions ahead of 2020’s auctions but post-default Argentina remains a focus
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
US funds regain their nerve in index CDS market
Counterparty Radar: Pimco, Western AM push protection selling to new high, as buying dips
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
RMB house of the year: Standard Chartered
Asia Risk Awards 2021
Credit default swap market retrospective: observations from the 2008–9 financial crisis and the onset of the Covid-19 pandemic
In this paper credit market fluctuations, measured by the levels of the main and most heavily traded index instruments, are analyzed and compared with the analogous index realizations during the 2008–9 financial crisis.
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US