Derivs - Credit

IFRS 13 “Fair Value Measurement” became effective 1st of January 2013. The International Accounting Standards Board (IASB) issued IFRS (International Financial Reporting Standards) 13 in May 2011 to improve the consistency of fair value measurements. IFRS 13 establishes a single source of guidance for fair value measurements for all financial instruments. It clarifies the definition of fair value in general as an exit price and enhances disclosures about all fair value measurements.

The number of shares outstanding in volatility exchange-traded funds, or ETFs that track the CBOE VIX, over the last three months has increased 22%

Hedge funds have been taking profits on credit default swap trades on Fiat after reports of a potential takeover of the company in a German magazine prompted the name's five year CDS to snap 19bp tighter. Fiat later denied the rumour, however a further report by Handelsblatt, a German business newspaper on Friday suggested that investment banks had been hired to find interested buyers for shares in Fiat owned by the Agnelli family. Fiat CDS were trading 11bp tighter again on Friday lunchtime, at 254bp.

The Montréal Exchange is planning to roll out weekly expiring options on single stocks and some exchange-traded funds sometime this year.

Michel Barnier, European Commissioner for internal market and services in Brussels, has come out in support of the European Securities and Markets Authority’s efforts to limit the scope of frontloading under the European Markets Infrastructure Regulation.

Investors are eyeing cheap sterling hybrids on European names that are underperforming relative to their credit default swaps. Corporates such as Veolia Environnement, the French utilities company, and RWE, the German electricity provider, have attractive entry levels for mean-reverting trades and offer investors carry through the duration of the trade, according to strategists.

The Johannesburg Stock Exchange is planning to merge its listed derivatives market with its equities platform within six-to-eight weeks in a bid to attract greater participation from international brokers in its markets.

Christian Maria Kreuser, co-founder of Quirin, a German private bank, has been appointed senior advisor for fund management and structured investment management at Assenagon asset management in Munich.

Institutional investors were entering option spread strategies on the S&P 500 Monday and Tuesday on the back of steepened skew levels, following a rise in volatility last week.

Hedge funds have been buying back short payers and entering new longs on Senior Financials this week, taking the three-month iTraxx Sen Fin volatility to the highest level for the past year, despite the index still trading relatively tight, in the bottom 13% percentile for the year.

European untranched index credit default swaps on the iTraxx Main and iTraxx Crossover are set to become subject to the clearing obligation, according to the European Securities and Markets Authority.

Hedge funds have been seen Thursday buying large quantities of short-dated Chicago Board Options Exchange Volatility Index August downside puts, targeting 14, 16 and 18 strikes.