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Credit derivative indices rolled into new series on Tuesday, with traders reporting a big long bias in the outgoing US and European investment grade indices among buyside participants that caused the new series to trade tighter than the level implied by fair value.
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Credit Suisse is marketing an insurance-linked security to hedge its operational risk, a class of losses which usually include rogue traders, fraud, and IT failures, at the same time as it announced an unauthorised build-up of positions in its illiquid and distressed trading businesses. -
Credit Suisse will shrink its global markets business even faster than previously planned, shutting several desks entirely, including European securitization trading, distressed credit, and long-term illiquid funding. The bank wants to shrink its trading unit to $60bn of risk-weighted assets before the end of the year, rather than $83bn-$85bn as previously announced.
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Credit derivative indices rolled into new series on Tuesday, with traders reporting a big long bias in the outgoing Series 24 of iTraxx Europe among buyside participants that caused the new index to trade tighter than the level implied by fair value.
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Credit index options prices have fallen so far following recent central bank moves that implied volatility measures are below trailing measures of realised volatility for the first time in four years.
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Franklin Templeton Investments has launched a fixed income fund that will include a range of derivative strategies, other assets such as securitized products, and the ability to go long or short.
