CBOE launches basket credit products

The exchange will list three credit event binary options products on July 31: they will be based on baskets of reference entities from the automobile and construction sectors, and on a basket of high-yield securities. Each will have a notional face value of $100,000; the basket constituents and weighting have not yet been revealed, nor have the exact credit events which would trigger a payout.

The products will pay out on each credit event in the basket, and will continue to trade until every reference entity has suffered a credit event, or until the product expires. Expiry dates have been set for September 2008 and September 2012.

CBOE issued its first exchange-traded credit derivatives last month, but so far has not seen significant demand for the single-name products; nor has Eurex, which was first into the sector earlier this year. But Joe Levin, the exchange's head of products, told Risk last month: "As we anticipated, it's a very slow start. We do get a lot of enquiries, but we haven't done a trade yet."

See: Credit derivatives disappoint

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net 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 indvidual account here: