Deutsche Bank has been marketing a suite of credit volatility structures to distributors since early June and the lucky investors that bought into these products are now walking away with returns that range from 15% upwards on a one-month investment thanks to the timely July spike.
Credit spreads on the five-year iTraxx Europe index of credit default swaps CDS started July at about 25bp, widened to about 36bp by July 25 and then sky-rocketed to almost 70bp by July...
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