Credit default swap (CDS) options on Asian names have emerged on broker screens, with two CDS option trades referenced to Hong Kong conglomerate Hutchison Whampoa trading through brokerage firm Icap in early June.The two $10 million trades were closed with a six-month option to buy five-year protection on Hutchison Whampoa at 125 basis points with a delta strike at 116bp. Five-year credit protection on Hutchison Whampoa is currently trading around 100bp in the interbank market. Bear Stearns, BNP Paribas, JP Morgan Chase and Merrill Lynch were counterparties on the two trades.
“CDS options come naturally as a tool to enhance risk management and allow further product development in that area,” says Emmanuel Ramambason, head of credit trading Asia, at BNP Paribas in Tokyo. “BNP Paribas is quite bullish about this product family; we want to be at the forefront of its start in Asia.”
More on Credit Derivatives
Active deals seen as “the next step” after last year’s revival of static CDOs
Risk Awards 2015: BlueMountain founder is at the centre of a changing market
Innovative approach finds best CDS prices often come from the buy side
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.