Derivs - Credit

A vote for the UK to leave the European Union next week could widen the performance rift between sterling and euro bonds and send European credit default swap indices to some of their widest levels this year, Citigroup predicts.

Barclays has restructured a book of controversial local authority and housing association loans to waive its rights to amend the interest rates on the loans at given periods.

Panic around the rising likelihood of the UK choosing to leave the European Union in a referendum on June 23 sent European and US markets into turmoil this week, with volatility jumping as traders struggled to prepare for the two possible outcomes.

Falling government bond yields across Europe have meant investors have been rewarded with impressive returns so far this year. One country however, continues to lag. Portugal has seen its credit risk hover at elevated levels and its government bonds have produced negative returns this year.

The European Commission will begin using fixed income pricing data and liquidity metrics from Markit, the financial information services firm, in its research and policymaking activities.

CME Group has applauded a decision by the European Securities and Markets Authority this week to add it to add the US Chicago Mercantile Exchange to its list of recognised central counterparties based in third countries.

There is no use crying over missed deadlines, or throwing around blame. Europe will not meet the September 1 effective date for imposing margin on uncleared swaps, so US regulators now have a tough call to make on whether to delay as well.

Citadel Securities, the market making business, has made a senior FICC sales hire from Barclays to its Chicago office.

An auction this month to settle 2014-form credit default swaps referencing Norske Skog will comprise separate auctions for all four maturity buckets, the International Swaps and Derivatives Association’s EMEA Determinations Committee (DC) has confirmed, but 2003 updated contracts will only be settled in the shortest dated of these auctions.

Law firm Allen & Overy and financial services firm Deloitte are working together on a solution to help big banks comply with regulations that are due to come into force from September and require margin to be posted on over-the-counter derivatives trades.

US regulators are determined to press ahead with plans to impose margin rules on uncleared swaps from September despite the disadvantage this would cause US dealers, said lawyers, after the European Commission postponed its effective date until mid-2017.

A flurry of corporate borrowers came to market this week, but the UK’s approaching referendum on Europe has struck terror into the heart of liquidity providers across all walks of the derivatives market.