Derivs - Credit

Fast money investors have been racing to sell at-the-money straddles on iTraxx Main and Crossover following a rally in three-year Greek government bonds on expectations that the country would be granted a loan extension by Germany.

Jacques Aigrain, chairman of LCH.Clearnet Group Limited and LCH.Clearnet Ltd. based in London, is stepping down and will be succeeded by Lex Hoogduin, current board member who is based in Amsterdam.

Representatives from the Financial Services Agency of Japan and the European Securities and Markets Authority have signed a memorandum of co-operation related to clearing houses in Japan.

Hedge funds and credit valuation adjustment desks are taking profit on a 10-year basis trade between cash and credit default swaps on Italian government bonds.

Asset managers are selling credit default swaps on the iTraxx Senior Financials index and buying CDS on iTraxx Main in relative value trades that play both the Greece settlement and diverging moves in interest rates.

Hedge funds and real money investors are looking at trading flatteners on the iTraxx Main, expecting the start of quantitative easing in Europe to push all spreads tighter, therefore, benefiting such a strategy.

European investment grade credit has comfortably outperformed its US counterpart over the past 12 months. Based on the differing fortunes of the respective economies in the two regions, this might seem surprising. But the basis between the Markit iTraxx Europe and the Markit CDX IG indices demonstrates the trend quite clearly.

Sears could be the next American retailer to default according to analysts at Markit, who said CDS on the name imply that Sears has a 66% default probability over the next five years and 25% over the next year, following the RadioShack default.

Sears could be the next US retailer to default, according to analysts at Markit, who said that credit default swaps on the name implied that the firm had a 66% default probability over the next five years and 25% over the next year, following the RadioShack default that was declared on February 9.

The Australian Securities and Investments Commission has decided to reject a proposal that would require large foreign subsidiaries of Australian authorised deposit-taking institutions and Australian financial services licence holders to report their over-the-counter transactions to data repositories.

Structured products such as iTraxx tranches are set to make a comeback as credit yields shrink ever further, driving investors to look for alternatives, according to strategists at Société Générale.

The International Swaps and Derivatives Association is proposing a Standard Initial Margin Model process for multi-asset swap transactions to reduce initial margin and to promote transparency via risk-based modelling for market participants.