credit default swaps

Pricing Loan Credit Default Swaps

Thursday, February 27, 2020

The loan credit-default swap contract is similar to a corporate credit-default swap contract except for two key differences. The first is the underlying reference obligation of an LCDS is a secured loan while the underlying reference obligation of a CDS is an unsecured bond. As such, the recovery on the event of a default for an LCDS is expected to be significantly higher than that of a CDS.

 

Q&A with Frank Iacono, Jefferies Group

Friday, December 20, 2019

Frank talks about his role at Jefferies and how he is helping the firm build out a synthetic Collateralised Debt Obligation (CDO) origination, structuring and trading unit. The Q&A also covers significant developments in managed Collateralized Synthetic Obligations (CSOs) and Jefferies' presence in the Collateralized Loan Obligations (CLOs) space. Read More

Quantifi Announces Agreement with Jefferies to Support their Structured Credit Business

Tuesday, September 10, 2019

Jefferies Group LLC selected Quantifi to support its growing structured credit business. Jefferies Group LLC (Jefferies), the largest independent full-service global investment banking firm headquartered in the U.S, is a leader in providing insight, expertise and execution to investors, companies and governments. To support this synthetic CDO business, Jefferies sought to acquire a state-of-the-art pricing and analytics solution with enhanced capabilities for synthetic structured products, instead of developing its own in-house system. read more

Hedging Implications of CDS with Points Upfront

Thursday, January 20, 2011

It has been reported in several industry publications (e.g., CreditFlux, Reuters, Derivatives Week Online) that the CDS market is likely to switch to a fixed coupon basis with upfront points. This change will lead to some fundamental changes in the risk profiles of these contracts, and in particular will affect how they can be used in hedging spread and default risk. This Learning Curve article will explore some of the most basic changes that participants in the credit markets will need to keep in mind. Read More