Credit default swaps
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk
Capturing the effects of climate change on CVA and FVA
A framework to incorporate climate change risk into derivative prices is presented
Explaining credit ratings through a perpetual-debt structural model
This paper calibrates a perpetual-debt structural model (PDSM) by using Moody’s historical credit ratings.
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
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
Hedge fund of the year: Saba Capital Management
Risk Awards 2021: credit specialist proved its worth in the Covid crisis
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
The lonely Londoners: doubts plague UK quest for equivalence
Planned MoU won’t automatically bring equivalence, leaving firms in limbo for unknown duration
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Client engineering of XVA
A client’s guide to reducing XVA in times of need
Managing portfolio uncertainty due to the Covid-19 pandemic
For capital market professionals, better understanding the impact of the Covid-19 pandemic on trading and investment portfolios has become even more critical. It’s no easy task to predict market movements and their impact on the profit and loss of a…
Cleared CDS volumes surged in H1 – BIS
CDX cleared contracts outstanding leapt 35% in H1
Ice tees up CDS options launch for November 9
Fight for CDS market share heats up as Ice begins clearing options and LCH preps CDX offering
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Credit swap portfolios contracted at systemic US banks in Q2
Sold notionals fell 8% over the three months to end-June
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet