The volume of market participants that have signed up to the credit default swap big bang hardwiring protocols, launched March 12 by the International Swaps and Derivatives Association, numbered 2,055 by press time. The window for adhering parties closed at 5p.m. last Tuesday, and the new style of CDS contracts went live last Wednesday.
The list includes: ABN Amro, Aladdin Capital Management, Babson Capital Management, Bank of America, Bank of Montreal, Barclays Bank, BlueCrest funds, BlueMountain Capital Management, Calyon, Citigroup, Commerzbank, CQS funds, Credit Suisse, D.E. Shaw, Deutsche Bank, Dresdner Bank, Elliot Associates, Goldman Sachs, Highland funds, HSBC, ING Bank, JPMorgan, King Street Capital, Legal & General Investment Management, Merrill Lynch, Morgan Stanley, Nomura, Oak Hill funds, Pacific Investment Management Co., Primus Financial Products, Cooperative Centrale Raiffeisen-Boerenleenbank (Rabobank), Société Générale, Standard Chartered, Swiss Re Capital Markets, Royal Bank of Scotland, UBS, UniCredit and WestLB.
All adhering parties are agreeing to be bound by the Credit Derivatives Determinations Committees and Auction Settlement Supplement to ISDA's 2003 credit derivative definitions. The so-called Big Bang Protocol covers existing CDS transactions and all CDS entered into from the date of adherence up to Jan. 31, 2011, except in excluded transactions. Any counterparties not wishing new trades to incorporate the changes will need to specify that the trade is not to be covered by the protocols.
Along with this, the standard North American CDS contract is changing to incorporate, among other things, fixed coupons of 100 basis points for investment grade names and 500 bps for high yield names, and the elimination of modified restructuring as a credit event trigger, as earlier reported.
