Citi plans crisis derivatives Author: Laurie Carver Source: Risk magazine | 08 Feb 2010 Categories: Derivatives Topics: Citi, hedging, liquidity crisis bankrupt Credit specialists at Citi are considering launching the first derivatives intended to pay out in the event of a financial crisis. The firm has drawn up plans for a tradable liquidity index, known as the CLX, on which products could be structured that allow buyers to hedge a spike in funding costs. Like the untraded US rates liquidity index (USRLI), the CLX is constructed as a sum of the Sharpe ratio – deviations from the mean divided by...