Derivs - Credit

To take advantage of the wide spread in 30y rates in the U.S. dollar against sterling, strategists at the Royal Bank of Scotland are recommending a zero-cost payer structure.

Credit markets were given every reason to rally this week after economic data blew away expectations, the robust earnings season continued and central banks maintained their dovish stance.

Bloomberg has received temporary registration approval from the U.S. Commodity Futures Trading Commission to operate a multi-asset class swap execution facility.

JPMorgan suggests buying delta-hedged 3mx5y swaption straddles on the U.S. dollar interest rates curve to play a bullish gamma view.

State Street has joined the ranks of applicants to the U.S. Commodity Futures Trading Commission to become a multi-asset swap execution facility under Dodd-Frank, less than a week before the final SEF rules become effective.

Liquidity in emerging markets credit default swaps has dried up in recent weeks as risk-averse investors look to hedge in developed rather than emerging markets.

Investors should buy slightly out of the money September payer spreads on the iTraxx Main to hedge cheaply against a moderate widening in the next two months.

The measurement and management of counterparty risk is in the midst of a revolution. Within recent memory of most counterparty risk managers it all used to be so much simpler. Limits were set on the same basis as traditional lending, and the exposure measured against those limits was quantified using simple add-on factors applied to the notional of each transaction.

ING Investment Management International has launched a fund that will use credit default swaps on investment-grade, global-high yield and emerging market debt. The ING Renta Fund First Class Yield Opportunities Fund will scale back exposures depending on market conditions.

Liquidity in credit default swaps is just shy of a full recovery. It took a hit in the fallout from Ben Bernanke’s June 19 signal the Federal Reserve planned to start tapering quantitative easing in the U.S.

Sascha Prinz, managing director of U.S. swaps and treasuries trading, at Bank of America Merrill Lynch in London, has left the firm.

Volatility on the iTraxx Main collapsed last week as real money investors used payer spreads funded by receivers to set up short volatility hedges.