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Fast and real money accounts have been buying payer spreads on iTraxx Main this week with August and September expiries and strikes between 70bp and 85bp, while other funds have been seen selling options via payers, reflecting mixed credit options flows. -
Investors have been taking profit on relative value trades with a bearish bias going by long risk the iTraxx Senior Financials (Sen Fin) index and short risk iTraxx Main index, while maintaining a bullish bias on Sen Fin ahead of September, when the launch of new credit default swap indices based on revised CDS definitions could see old Sen Fin contracts outperform.
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Overall credit default swap notional that was reported to swap data repositories last week increased by 16% from the previous week, according to data from the International Swaps and Derivatives Association. This follows a sharp increase of 50% from the week prior. Overall interest rates derivatives trading that was reported, however, declined by 9%.
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The next five years will continue to be a time of adjustment as sell- and buy-side firms get used to the realities of the financial markets, post-crisis. Change will be the only constant – and with change, comes opportunity.
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After opening better offered on Tuesday morning, CNY swaps picked up a domestic bid at lower levels. Traders say the one year swap is being closely watched given it is currently sitting just above a key psychological level, writes Deirdre Yeung of Total Derivatives.
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The latest targeted easing move by the People's Bank of China (PBoC) has helped to ease liquidity conditions. This lowered the repo fixing on Monday and backed good receiving in CNY swaps. At current levels, though, an upward correction in short-end rates is considered likely in the near-term, writes Deirdre Yeung of Total Derivatives.
