Structures/Options - Credit Derivatives - Credit - Markets - ICAP.com

Structures/Options

ICAP's structured credit desk provides pricing and execution in a range of products derived from the plain vanilla credit default swap (CDS). These fall largely into two categories:

Options (Put, Calls, Straddles) on the iTraxx Indices (Europe, Xover, HiVol) are actively traded, increasingly liquid, and are often a lower cost alternative to expressing views on credit volatility. Options on many single name CDS are also frequently traded.

Correlation products comprise First-to-Default Baskets and Standardised Index Tranches on iTraxx Europe. These are homogenous versions of CDO Tranches, quoted from Equity (0-3%) to the Super Senior (12-22%) Tranche. Tranches on the DJ EM diversified index are also quoted interbank.

More complex hybrids continue to evolve, such as Constant Maturity CDS and Recovery Default Swaps, but as yet are less liquid.