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The Americas derivatives community came together in New York to recognise and celebrate outstanding achievements across the industry
The derivatives market gathered in London on Thursday night to celebrate its leading players
Internal restrictions mean SSAs issue fewer CMS-linked notes
JP Morgan and Dutch pension fund PGGM transacted derivatives margin trade
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Pension funds are entering into total return swaps on the Eurostoxx 50 to collect carry, driven by low volatility in other classes and the knock-on effect of the European Central Bank’s recent announcement regarding its liquidity programme. The funds are buying short term and selling long term TRS on the underlying in an effort to collect positive carry and roll-down.
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Laurent Ichard, ex-co-head of equities distribution at JPMorgan in London, has joined Citigroup as head of pan-Asia equity derivative flow sales in Hong Kong. -
Tighter Chinese liquidity conditions backed a bid in short CNY swaps on Thursday. A continuation of this pressure is expected to drive flattening pressure across the 2s/5s slope into the end of the quarter. Meanwhile, Nomura has outlined a short-end CNH IRS trade idea, Moody's expects China's credit ratings to withstand the rebalancing challenge and the UK has tightened its CNY trading ties, writes Deirdre Yeung of Total Derivatives.
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Examiners investigating investment banks' compliance with the Volcker rule in the US will scrutinise any recent mergers of trading desks into single entities.
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Hedge funds are increasingly entering one-year conditional variance swaps on the S&P 500 that typically use knock-in features, or other conditional characteristics, to cheapen the swap in a bid to benefit from the low volatility in US equities.
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Old Park Capital’s Maestro strategy has made returns of more than 2% separately in April and May, despite decreasing market volatility. The resilient performance comes after it extended the strategy to the S&P alongside the Eurostoxx, benefiting from extended futures trading windows.
