Crossover converges on CDX HY as Fed, earnings and heavy technicals take hold
Big moves of single name credits continue to hold sway over the iTraxx Europe Crossover credit default swap index, whose underperformance of US counterpart CDX HY has extended during the past week amid a big technical repositioning of flows

Market favours retrospective over forward-looking approach to Ibor benchmark fallbacks, says Isda
New benchmark fallbacks for derivatives contracts that reference interbank offered rates are likely to be based on the “compounded setting in arrears rate” and the “historical mean/median approach to the spread adjustment”, the International Swaps and Derivatives Association has said

Credit sell-off has room to run and pricing is out of whack, says BNP Paribas
The credit market sell-off could have further to go despite recent widening and is “in the process of a late-stage business cycle unwind”, according to a strategist note seen by Creditflux

10 bidders line up for Astaldi CDS auction as Morgan Stanley swaps in for Mizuho
There will be 10 participating bidders to an auction to settle Astaldi credit default swaps, with the Determinations Committee unanimously approving Morgan Stanley’s involvement as Mizuho dropped out

Astaldi credit event auction deadline looms for participating bidders
Firms wishing to take part next week in a credit event auction to settle Astaldi credit default swaps have until 5pm London time today (23 November) to submit participating bidder letters to the Determinations Committee

European CDS index tightens inside US even as bonds languish
Credit derivatives markets have hit a key point of trend reversal this week, with the iTraxx Europe five-year CDS index trading inside its US counterpart CDX IG for the first time since May

UK and EU seek to quell post-Brexit derivatives hiatus fears, but race is on
The UK has ramped up efforts to avoid a cliff edge and minimise hiatus risk for over-the-counter derivatives after Brexit, with the UK Treasury publishing draft regulations to amend onshored European Market Infrastructure Regulation. But, with the 30 March exit looming large, lawyers warn that transitional uncertainty will continue to rattle the market until the plans find European Union accord

Astaldi CDS holders face Thursday deadline on auction deliverables
Market participants with exposure to Astaldi have until 5pm London time tomorrow (8 November) to submit any other potential deliverable obligations into the auction to settle the company’s credit default swaps

Sears CDS auction deliverables rejected due to lack of docs and identifiers, says DC
An auction to settle credit default swaps referencing Sears Roebuck Acceptance Corp did not include several obligations on its initial list of deliverables due to lack of documentation or isin/cusip identifiers, the Americas Credit Derivatives Determinations Committee has said

Seven deliverables valid for Sears CDS auction, as seven others split DC panel
There will be seven obligations deliverable into an auction on 14 November to settle credit default swaps referencing Sears Roebuck Acceptance Corp, the Americas Credit Derivatives Determinations Committee has decided. But members of the 15-strong DC were split over whether to include another seven potential deliverables that did not make the cut

UK prepares derivative regs for no-deal Brexit
The UK Treasury is seeking to amend onshored European Market Infrastructure Regulation (EMIR) legislation as it battles to avoid the risk that the country will leave the European Union without an effective regulatory framework for over-the-counter derivatives, central clearing counterparties and trade repositories in the event of a no-deal Brexit

Sears CDS deliverables to be decided Friday ahead of 14 November credit event auction
The Americas Credit Derivatives Determinations Committee will meet this Friday (26 October) to decide auction terms and deliverable obligations for credit default swaps referencing Sears Roebuck Acceptance Corp

Astaldi credit event auction will have two deliverables, says DC
Only two Astaldi bonds are deliverable into an auction to determine the final price of its credit default swaps, the Determinations Committee has indicated

Experienced SRT specialist parts ways with Apollo
A big name in the significant risk transfer (SRT) market has left Apollo Global Management in London

Isda extends deadline for derivatives benchmark consultation
The International Swaps and Derivatives Association has extended the fast-approaching deadline for its consultation on derivatives benchmark fallbacks, to allow more time for responses

Man Numeric launches credit platform and appoints co-heads of credit
Man Numeric, the quantitative investment business of Man Group, has launched a new credit unit and appointed two officials to lead the business

Hard Brexit threatens systemic cliff edge for derivatives, warns joint paper
A no-deal Brexit could have a systemic effect on derivatives markets as it would immediately restrict EU 27 firms from transacting with UK entities and acting as clearing members to UK central counterparties, a group of major trade bodies has warned in a paper published today

ArrowMark builds in London with big SRT hire
ArrowMark is one of the biggest investors in the SRT market, but unusually it conducts most of its business out of the US. It has now added to its presence in London with an experienced official joining its SRT business

Astaldi triggers first credit event in iTraxx on-the-run indices for nine years
Astaldi has triggered a bankruptcy credit event, the Isda-hosted EMEA Credit Determinations Committee has ruled

Astaldi credit event question hangs in balance as EMEA DC meets
The fate of credit default swap contracts referencing Astaldi could be decided today, with the Isda-hosted EMEA Credit Determinations Committee meeting to decide if the Italian builder has triggered a bankruptcy credit event

Isda and Linklaters roll out test version of initial margin docs service
Five and a half months of partnership between the International Swaps and Derivatives Association and Linklaters has borne fruit, with the launch of a test version of an online tool that will allow firms to electronically negotiate and execute initial margin (IM) documentation

Astaldi credit event question posed as its distress weighs on iTraxx Crossover
Astaldi, a constituent of iTraxx Crossover, has been referred to ISDA-hosted Credit Determinations Committees as a possible bankruptcy credit event – less than two weeks after the index rolled into a new series

Santander issues £1.1 billion SRT featuring UK project finance loans
Banco Santander has completed a £1.12 billion significant risk transfer through a transaction dubbed Fitzroy 2018-1 CLO

CFTC to loosen cross-border rules for swaps
The US Commodity Futures Trading Commission (CFTC) is looking to ease its cross-border swaps regulation

IHS Markit launches derivatives initial margin calculator
IHS Markit has launched an Initial Market Calculation Service to help market participants prepare to meet regulatory requirements for non-cleared derivatives trades across credit, commodities, equities, FX and interest rates