Question for those that have hedged with or traded Loan CDS: How does your organization view the regulatory capital treatment of LCDS? Assume e.g. that you have purchased protection, and the LCDS references a specific loan (revolver) that you have on the book. You should be able to argue that the credit risk is completely offset (physical settlement), so all you should be left with is exposure to the protection seller, right? Assuming the seller is a bank, you would have 20% weighting.However, there are no standard LCDS docs yet. LSTA and others are working on it, but it looks like there is a tendency towards a 5 year non-call structure. So you could have a maturity mismatch between the underlying loan and the referencing LCDS. What does that mean for capital treatment? any ideas? - ThanksParsifal

LCDS does now have standard documentation. If you have not seen it, see the LCDS presentation at the JPM conference. The risk weighting I woud assume would be the same as loans... although you do pose a good quesiton with the Revolvers as they have .5 the risk weighting IF unfunded ie. only paying a facility or commttment fee. If you are using the LCDS to hedge a long loan position, it would completely offset the risk of the loan on your books. LCDS is non-callable ... you are correct with that. But note that default events in the bonds can ALSO trigger the settlement of the contract.

Can you post here or point us to the JPM's LCDS presentation? Thx.

I have two presentations from the JPM conference on April 5. If you send me a PM with email address, I can send them to you. Alternatively, they should be available on www.morganmarkets.com .P.

Parsifalam looking for the stuff on LoanCDScan you kindly send the two presentations to me via lawrenceho@kpmg.com.sg?tks

Let me know if anyone else needs the JPM paper - pls send e-mail add.

Could you please Email me the JPM papers obrefo@aol.com

lep05jn@reading.ac.ukThanks

fjuan@bankofny.com. Thanks.

Can you please send the presentation to me as well ? Thank youdaven.a.patel@bankofamerica.com

Could you send the presentations to jennifer.luo@morganstanley.com?Thanks a lot.

could u send it to me please to altiplanohimalaya@yahoo.frthanks vm

It is interesting, could you please send one copy to my email Kai.fu@cba.com.auThanks a lot

I would very much appreciate access to the JP Morgan presentations. Could you kindly send them to ip323@nyu.edu ?Thank you.

Could you send the presentations to eehcb@hlbb.hongleong.com.my? Thanks!