Derivs - Credit

Greg Smith, the now-former head of Europe, Middle East and Africa equities derivatives trading in Goldman Sachs’ London office, scathing op-ed in today’s New York Times set off a wave of reaction around the blogo- and twittersphere.

The auction to determine credit default swap payout for holders of Greek bond protection will be held 10 days after the International Swaps and Derivatives Association’s determinations committee decided the country had a credit event.

Starting tomorrow, Greece will no longer be a part of Markit’s Western European sovereign credit default swap index, known as the SovX, since the International Swaps and Derivatives Association’s determinations committee declared last week that the country had a credit event.

The Europe, Middle East and Africa Credit Derivatives Determinations committee of the International Swaps and Derivatives Association has determined today that Greece has triggered a credit event by restructuring its bonds.

There were no prizes for guessing which issue dominated the credit markets this week: Greece.

Hedge funds and credit valuation adjustment desks have been trading five-year quanto credit default swaps on banks in Italy, Spain and Portugal, reference entities that are new to the quanto CDS market this year.

Private equity firms and equity hedge funds have been buying protection on mezzanine and super-senior tranches of the Markit iTraxx Main, an index of European investment-grade corporate credit default swaps, to take position for defaults on leveraged buyout loans maturing in 2013 and 2014.

Standard Chartered strategists are advising investors to buy a six-month U.S. dollar, Chinese onshore yuan non-deliverable forward outright, with an entry at 6.2740 and an exit at 6.3165.

Barclays Capital, Goldman Sachs and JPMorgan Chase are all tied for first place in Greenwich Associates’ ranking of leaders in over-the-counter commodities derivatives for 2011 with a 41% market penetration.

Jill Sommers, a Republican commissioner on the U.S. Commodity Futures Trading Commission, said inadequate coordination between U.S regulators and their foreign counterparts regarding the international reach of the Dodd-Frank Act could disrupt the global swaps market.

Nasdaq OMX has added equity-based indices to provide exposure to spot prices of commodities.

Swiss clearinghouse X-Clear said it is considering creation of a central securities depository based in the euro zone and is actively looking at acquisitions.