Credit default swaps
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
US banks’ CDS books shrink $2 trillion in two years
Wells Fargo only major bank to grow credit portfolio year-to-date
Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Emir compels clearing surge
Share of cleared interest rate derivatives climbs to 58%
SEC’s Stein sounds alarm on portfolio margining
Comment period on single-name CDSs is covert attempt at rulemaking, regulator says
SEC finally moves forward on single-name CDS dealer rules
Commissioner Peirce wants rest of dealer regime completed within “weeks”, but no word on clearing
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
Ice single-name clearing surge defies market trend
Ice Clear Credit open interest grows 31%
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows
CFTC probed CDS market under last enforcement head
Goelman compares manufactured payouts to match-fixing, and says CFTC has jurisdiction to bring case
Over half of CDS contracts cleared – BIS
Non-cleared trades continue downward slide
Lord Abbett turns to Deutsche for CDSs
German lender increases share of fund's CDS portfolio
Fixing CDSs: lots of patches, no magic wand
Isda response to Hovnanian controversy could open new loopholes, traders warn
CFTC set to partner with SEC on CDS supervision
Move could open the door to single-name clearing mandate, say experts
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
LCH plans to let banks clear self-referencing CDSs
Move will facilitate index arbitrage trades and put CDSClear one step ahead of rival Ice, note FCMs