Derivs - Credit

JPMorgan rose from the thirteenth most common financial reference entity in credit default swap contracts to fifth place between May 22 and May 29, according to Depository Trust & Clearing Corp. data. A spokesman said the market did not process until very recently the succession event when JPMorgan assumed Bear Stearns’ debt.

The Depository Trust & Clearing Corp. Trade Information Warehouse is working to create a library of historical data on credit default swaps in line with regulatory demands for increased transparency in the over-the-counter market.

Exchanges aiming to centrally clear single-name credit default swaps have their work cut out to meet the July 31 deadline set by the European Commission.

Credit derivative strategists at Bank of America have offered an explanation for why the basis between credit default swap indices and single names has not normalized in the wake of the recent credit rally and pickup in corporate primary issuance.

As of late July, credit default swaps triggered by restructuring credit events in Europe and North America will be settled according to five buckets corresponding to the maturity of their underlying reference obligations.

European dealers have decided on more than two fixed coupons for credit default swaps in the region, as first revealed by DWO last month (DW Online, 4/9). Going forward, new trades will bear strikes of 25, 100, 500, or 1,000 basis points, while existing trades will be re-couponed on strikes of 300 or 750 bps.

Citigroup is recommending investors play the expected convergence between credit default swap spreads on insurance names XL Capital and Allstate amid what is forecast to be a relatively uneventful 2009 hurricane season.

Bank of America has tapped Thomas Skove as a managing director and head of U.S. investment grade industrial names trading, along with five new credit traders across New York and London.

Credit default swaps on U.S. auto suppliers American Axle & Manufacturing and Lear Corp. traded wider over the course of the week after news broke that General Motors had filed for bankruptcy.

Hedge funds have been selling five-year credit default swaps on BT Group early this morning, following reports yesterday the group is to raise EUR500–600 million (USD709-851 million) via a five-year bond.

Rio Tinto five-year credit default swaps spread shrank 110 basis points to 200bps after news it had abandoned a proposed USD19.5 billion investment by Chinese state-owned Aluminium Corp of China.

BNP Paribas has hired Jared Epstein as its new head of flow credit trading in the Americas.