Derivs - Credit

Citigroup strategists are proposing a relative value trade between the iTraxx Crossover and Main indices based on the expectation the Crossover index will underperform the Main.

Credit events are a serious business. With billions of dollars at stake via credit default swaps on many of the large companies that enter the default radar, the International Swaps and Derivatives Association’s Credit Derivatives Determinations Committee can’t afford to have any gray areas clouding the legitimacy of its decisions.

The Chilean pension regulator has ruled that Undertakings for Collective Investment in Transferable Securities domiciled in Ireland are no longer approved for general investment.

Citigroup is in discussions with clients to set up secured loan facilities that would allow end users to convert a range of assets into cash to be used as collateral at clearinghouses.

After all the speculation around Federal Reserve Chairman Ben Bernanke’s Jackson Hole speech, one could be mistaken for feeling it ended as a rather tepid affair, not that some participants were complaining about this mind you.

The European Council has taken a stricter stance on pension funds clearing over-the-counter derivatives in the latest draft of the European Market Infrastructure Regulation.

It was a relatively quiet week in the sovereign world as investors were firmly focused on key economic data releases and the prospect of further quantitative easing.

Some insurance companies, who typically buy long-dated variance swaps or long-dated put options to hedge their variable annuity exposure, have instead been selling their long-dated variance positions and buying back short-dated put options in size as a substitute hedge over recent weeks.

Concerns over the pace of global economic recovery have caused spreads of European basic materials companies to widen by an average of 11% last week, according to Fitch Solutions.

The China National Association of Financial Market Institutional Investors’ is reportedly planning to require counterparties to start using its master agreement for all yuan-denominated derivatives contracts, including offshore CNH deals.

The Canadian Securities Administrators could impose undue regulatory requirements on the jurisdiction’s structured product industry if they do not amend a current proposal that attempts to regulate securitized products alone.

Sellers of protection on Irish Life & Permanent will have to pay out again after the International Swaps and Derivatives Association’s determinations committee ruled another restructuring credit event has occurred with the respect to the company.