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Hedge funds and credit valuation adjustment desks are playing the cash versus credit default swap basis on Italian government bonds after it was driven tighter by the performance of the 30 year swap, which went below 1.50% last week for the first time in its history. -
Hedge funds are using synthetic leveraged credit structures, such as tranches on the iTraxx Main and Crossover indices, to meet return targets in the face of low credit spreads that are a consequence of European Central Bank policies.
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Overall credit default swap notional that was reported to swap data repositories last week increased by 33% from the previous week, according to data from the International Swaps and Derivatives Association.
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Market participants have been buying put options on the euro against the Swiss franc as potential quantitative easing from the European Central Bank could signal some downward movement in spot on the currency pair, raising speculation over the Swiss National Bank's floor at Sfr1.20.
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The European Commission has extended the mandatory capital standards for exposures to central counterparties under the Capital Requirements Regulations. Recognising that CCP authorisation and compliance requires more time to complete, regulators have extended the deadline by six months.
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Asset managers are extending their maturities in credit default swaps on iTraxx indices to benefit from wider spreads on seven year and 10 year trades.
