Derivs - Credit

JPMorgan’s head of credit trading for Asia, Henry Yeung, was reportedly let go from the firm Thursday.

Ex-Deutsche Bank credit maven Rajeev Misra has battled to get his credit derivative hedge fund (DW Online, 9/5) off the ground and has made the decision to scrap the firm’s emerging market plans.

With interest rates around the globe plummeting, some market participants are beginning to wonder what would happen if the recipient of payment under a derivative contract is suddenly in the position of owing money.

Credit default swaps on GMAC Financial Services closed at 54 points upfront today, up from 53 around midday and 50 earlier on in the week.

The spread between Euribor and Eonia, the European interbank overnight lending rate, tightened dramatically this month, indicating an easing of the extreme bearishness of recent months.

After talks with Tullett Prebon broke down in September, inter-dealer broker GFI Group is still feeling acquisitive, said company executives at a press briefing at the New York Athletic Club yesterday.

Writing credit default swap protection on Tokyo-based finance company ORIX may prove an attractive option in the medium to long term as current spreads trade wider than the fundamentals would suggest, said analysts at Deutsche Bank.

The price for cash settling loan-only credit default swaps referencing Canadian door maker Masonite International Corp. has landed at 52.5%, meaning protection sellers will pay out 47.5 cents on the dollar.

The Royal Bank of Scotland is pitching a credit default swap index flattener trade after mass downgrades of synthetic credit derivatives by rating agencies.

Novations are proving a sticking point in the move to see credit default swap transactions confirmed on the same date as the original trade. Since three parties are involved in novations when counterparties trade in and out of positions, the transactions take much longer to confirm.

The non-cancelable loan-only credit default swap contract is now looking at a 2009 launch.

Investors in General Motors and Ford Motor Co. credit may get taken out at par on a combined USD23.5 billion as part of a government bailout. Such a pay down could be stimulating for the loan-only credit default swap market, where cancellation of the LCDS contracts would be a huge windfall for buyers.