Credit variance swaps surface


Variance swaps have emerged in the credit derivatives market, giving traders a tool to gain exposure to the future level of volatility in credit indexes. Last month, Credit Suisse and London-based hedge fund Solent Capital Partners, executed a credit variance swap referenced to one of the European iTraxx indexes.

The payout of the swap is equal to the notional multiplied by the difference between the realised variance of the index and a pre-agreed variance strike. The size of the trade, the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here