This one is crazy. A derivative product to be sold by Citi which will payoff if Citi-like entities fail. Because the govt will bail them out?????
From Risk Magazine,
“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….
Read the full story here