Derivs - Credit

Credit traders and strategists report growing interest among investors to trade iTraxx Crossover “tranchelets” — slices of the index’s 0%-10% equity tranche — amid a heightened focus on jump-to-default risk for European high yield names.

New guidance from the US Internal Revenue Service has left many tax advisers baffled about how to treat over-the-counter options on baskets of securities dictated by models.

The more settled nature of the credit market this week is very supportive for new corporate bond issuance, say traders, but has brought a reversal of the recent outperformance of iTraxx Crossover versus the Main index.

Marking the five year anniversary of the Dodd-Frank Act, the International Swaps and Derivatives Association has put forward a wish list of “targeted amendments” for derivatives regulatory regimes.

Citi has hired a high yield and distressed salesperson from Barclays to its Europe, Middle East and Africa loan sales business in London.

A continuation next week of the European credit market’s recent rally will depend on its ability to absorb new bond issues, say traders, with a flurry of “post-Greece, pre-summer” deals looking increasingly likely.

A high yield credit trader has left Citi in London and is heading to Barclays.

Greece’s position as the dominant driver of market sentiment has been unassailable in recent months. But there may be a hiatus if an agreement is reached on bridging finance for Greece, potentially leaving room for another theme to shape credit spread direction.

Lingering uncertainty over Greece put a curb on credit spread movement on Wednesday, as a Greek parliamentary vote on austerity reforms failed to materialise in time to affect the July index options expiry.

New regulations restraining the risk taking ability of dealer banks contributed to last October’s sudden and mysterious selloff in US Treasury futures and options — dubbed the “Flash Crash”.

The timing and political fallout of a Greek parliamentary vote on reforms could prove crucial for iTraxx credit index options on Wednesday, with the July expiry due to take place at 4pm.

Societe Generale has lost a senior high yield credit trader from its London operations.