Derivs - Credit

The settlement auction results for bonds and loans referencing bankrupt publisher Tribune Co. landed wide apart this afternoon. The CDS recovery value on the bonds came out at 1.5%, after an interim result of 3.5%, whereas the recovery for LCDS landed at 23.75%.

A significant tightening in the iTraxx financials index has prompted speculation banks are offloading credit default swap hedges after clearing their books of toxic assets at the end of last year.

Five-year credit default swaps on Anheuser-Busch Companies Inc. pulled in more than 60 basis points this morning on news the St. Louise, Mo., brewer will issue a large chunk of debt from a new holding company in the wake of its merger with InBev.

Details have emerged about how NYSE Euronext subsidiary Liffe and LCH.Clearnet are setting margins for credit default swaps cleared through their newly launched clearing platform—the first such platform to go live.

Spreads of synthetic European AAA asset-backed securities are remaining wide as the New Year gets underway, having gapped out slowly since early December.

Credit default swaps on Russia, which last year blew out beyond the levels of Iceland, were the most active sovereigns traded last month, according to data from broker GFI Group.

Longevity swaps are being tipped as a prime investment opportunity for 2009 as the financial crisis highlights their lack of correlation with other asset classes.

Bullish investors trading Europe’s iTraxx indices next year are likely to turn to relative value opportunities, after liquidity in single names has begun to dry up.

Rob Reoch, founder of London-based structured credit derivative consultancy Reoch Credit Partners, has teamed up with Alessandro Ciravegna, a private banking veteran, to launch a global macro fund.

The first launch of an exchange-based clearing model for credit default swaps, by NYSE Euronext subsidiary Liffe and LCH.Clearnet, will solely have capability to clear European index trades. Single-name trades will follow.

The Bank of Thailand is set to introduce fx regulations early next year that will set out currency denomination and hedging requirements for all over-the-counter trades.

Credit default swap spreads on Ireland sat at 178 basis points this morning—20% tighter than last Monday—after the government moved to inject EUR5.5 billion (USD7.7 billion) into three of its banks.