Derivs - Credit

Hedge funds and asset managers are looking at various strategies on the iTraxx and CDX indices in an effort to profit ahead of the roll to series 21 on March 20. Michael Hünseler, who manages Assenagon’s €200m credit selection fund in Munich, told GlobalCapital that the fund was looking at selling protection on the new names that will be included in the iTraxx Crossover ahead of the roll.

Hedge funds and some real money players are maintaining or adding to short volatility positions on iTraxx Main this week. New buyers of volatility have retreated in recent days as fears of a military solution to the Ukrainian crisis subsided last week.

Open contracts of over the counter derivatives shed 14% of their market value in the first half of 2013 to $19.7 trillion, according to a report released by the European Securities and Markets Authority on Wednesday.

Frankfurt-based index provider Solactive is in discussions with issuers to develop structured products linked to its newly launched Green Bond Index, the first underlying of its kind.

Multilateral trading facilities in Europe are asking the Commodity Futures Trading Commission for more time to apply to become "qualified" or equivalent to swap execution facilities as the expiry date on the commission’s no-action relief letters fast approaches.

Brent Eastburg, global head of credit trading at Standard Chartered in Hong Kong, is to leave the firm.

Expertise in cross-asset products, a concise understanding of cross-border regulatory issues and a proficiency in both local and global market demands are the requirements for any senior executive to succeed in the derivatives markets. Bob Ray, ceo of CME Europe, possessed all of those qualities.

Pre-trade transparency in Europe could impact liquidity in the over-the-counter swaps market, according to Serge Marston, institutional client group global head of eCommerce sales at Deutsche Bank in London.

The switch to swap execution facilities in the US has already brought new participants to the credit default swap market, raising hopes that five year CDS could provide a flashpoint of liquidity in the SEF-regulated market.

Hedge funds have been diving into tactical cross-asset relative value trades aimed at profiting from the normalisation of the iTraxx Main relative to Spanish government bonds.

CVA and loan desks are buying April to June payers between 15bp-20bp out-of-the-money on the iTraxx Main and CDX IG volatility, reflecting the more cautious tone in credit markets over the political tensions in Ukraine.

Andrew Jarman, ex-European head of high yield credit trading at Deutsche Bank in London, has left the firm.