Credit derivatives
LCH scoops up Ice Clear Europe’s CDS clients
“A sizeable majority” of European CDS users are shifting their business to CDSClear in Paris
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
PGIM pares back long-bond options bets
Counterparty Radar: Barclays benefits from manager’s Q3 portfolio changes
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
CDSs seek role in green transition
Despite slow start, fans insist iTraxx ESG index can aid green push
Credit risk, data and AI: managing spiralling demands and delivering value
Based on a comprehensive survey of, and conversations with, credit risk professionals globally, this report delves into their challenges they face in trying to source and use forward-looking data.
GFMA mulls FX determinations committee
Creation of CDS-style board is one option on the table for managing forex market disruption events
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
Credit Suisse’s new markets strategy builds on the old one
GTS is scrapped, but blueprint of connecting wealth management to markets remains intact
Pimco dumps credit options as US funds slim holdings
Counterparty Radar: Space shrinks 30% in Q2 following three consecutive quarters of growth
Decision science: from automation to optimisation
Despite its benefits, credit decisioning is severely lagging – average ‘time to decision’ for small business and corporate lending at traditional banks is between three and five weeks, while average ‘time to cash’ is nearly three months
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Leading Mexican bank Banorte strengthens credit risk management practices
Leading Mexican bank Banorte strengthens credit risk management practices building a completely new XVA desk and revamps its PFE limits management
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.
Using portfolio management to steer your way through foggy market conditions
Post-pandemic uncertainties, market consolidations, increasingly complex portfolio compositions, margin compressions, new competitors interest rate rises. Portfolio managers are operating in foggy conditions
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Active credit portfolio management: audiocast
In this Risk.net audiocast, Zoi Fletcher speaks to Biagio Giacalone and Alexis Hamar about how active credit portfolio management can be the linchpin of improved risk/reward ratios and how the efficient use of capital drives banks’ overall profitability.
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
Avoiding cash drag using equity index futures
Learn how Equity Index futures, from CME Group, can be used to keep a portfolio fully exposed to its benchmark index while allowing cash to remain for operational purposes.
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
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