JPMorgan is pitching first-to-default type instruments linked to equity-default swaps. The structure uses deep out-of-the-money equity barrier options known as equity-default swaps (DW, 2/6/03). Martin Bertsch, head of financial engineering in London, said it has started marketing the structures to sophisticated institutional investors and hedge funds.
JPMorgan is marketing deals with a maturity of five years, but Bertsch declined to comment on the size of any trades. The move is part of an ever increasing convergence between equity and credit derivatives. In the last year, banks have also started marketing collateralized debt obligations with an EDS component (DW, 2/8).
