Societe Generale has reported increased interest in unleveraged long credit trades based on the iTraxx Crossover Europe index, and has launched a product to take advantage of this demand.
The Rubicon zero-coupon notes only pay off at maturity, after five years. They are being sold at a substantial discount from the nominal amount, 54% to 55% at the current high spread levels in the Crossover index.
The Crossover index comprises the 50 most liquid speculative-grade CDS on European companies.
The week on Risk.net, July 7-13, 2018Receive this by email