Derivs - Credit

To position for a bull flattening of the three-month forward 2s/7s U.S. interest rates curve, JPMorgan sees value in initiating three-month receiver swaptions.

Credit default swap spreads on Nokia more than halved earlier in the week after the surprise announcement that Microsoft will purchase the Finnish firm’s mobile phone business for USD7 billion.

Investors are buying credit default swap contracts on subordinated debt, which is trading wider than equivalent senior CDS, ahead of a change in the credit event definitions next year.

Investors are trading credit default swaps instead of investment-grade bonds after bond prices and liquidity were hit by a sell-off in exchange-traded funds.

ING Investment Management is using credit default swaps to hedge against tail risks in Europe. The team at ING IM is using the iTraxx Main, Crossover, Sen and Sub Financials to reduce or add to the fund’s beta quickly when necessary.

Real money investors are selling risk reversals on the iTraxx Main as well as some longer dated receiver ladders to position for a tightening of the index into the latter part of September.

A credit selection fund launched by Assenagon Asset Management in April is using credit swaptions to hedge tail risk arising from the winding down of the U.S. Federal Reserve’s bond buying program in September.

Merrill Lynch Japan Securities, the securities arm of Bank of America-Merrill Lynch in Tokyo, has joined the Japan Securities Clearing Corporation’s over-the counter credit default swap clearinghouse.

Credit default swaps on Nokia tightened by 322 basis points today, on the back of the planned takeover of its mobile phone unit by Microsoft.

Demand from private bank investors in Hong Kong and Singapore was once a cornerstone for high yielding subordinated bank debt trades. That bid has backed off recently, and as SocGen’s additional tier one trade showed, it is no longer dependable — but that’s no bad thing.

The European Commission’s attempt to make the money market fund industry more robust is commendable, but the tactics it has adopted leave much to be desired.

South Korean corporations not already licensed by the Financial Services Commission are now allowed to issue certain types of non-principal protected structured products, following the implementation of a recent amendment to the country’s main financial regulation.