Credit default swaps
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
CDS market mulls settlement options for Russia contracts
Tightened US sanctions threaten CDS default auction, leaving users a choice of imperfect alternatives
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
CDSs may not cover final coupon on $149bn of Russian bonds
Some derivatives contracts expire before end of final grace period for distressed corporate bonds
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
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
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
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