Derivatives - All Articles

  • S&P Strangle Built

    One buysider has sold a few billion dollars in notional strangles with out-of-the-money puts and calls on the S&P 500 over the past six months.

    • 31 Jan 2011
  • FICC Revenues Plunge At European Banks

    Revenue from fixed-income, fx and commodities trading at European banks is expected to plummet 35-40% in the latest round of earning reports compared with a year earlier, according to analysts.

    • 31 Jan 2011
  • Credit Derivatives Arb Benefits From European Volatility

    The European sovereign debt crisis has resulted in elevated volatility in European credit indices.

    • 31 Jan 2011
  • BarCap, Deutsche Bank Tops In Quality

    Barclays Capital and Deutsche Bank were named quality leaders for 2010 by Greenwich Associates.

    • 31 Jan 2011
  • CDS On Gulf Nations Widen Sharply

    Credit default swap spreads on debt issuers in the Gulf Cooperation Council widened as a result of political upheaval in Egypt.

    • 31 Jan 2011
  • Clariden Scores German First

    Clariden Leu has partnered with Fundmatrix, the German distribution agent, to offer its first UCITS III-compliance insurance-linked securities in Germany.

    • 31 Jan 2011
  • BoA Merrill Joins Dubai Equity Derivatives Market

    Bank of America Merrill Lynch has become the first general clearing member on Nasdaq Dubai’s equity derivatives market.

    • 31 Jan 2011
  • Wells Unit Joins CME To Clear Interest-Rate Swaps

    Wells Fargo Securities has joined CME Group for clearing of over-the-counter interest-rate derivatives.

    • 31 Jan 2011
  • Walker Crips Debuts Second Issue Of Index-Linked Kick-Out

    Walker Crips Structured Investments has launched the second issue of a structured product linked to the performance of FTSE 100, EuroStoxx 50 and S&P 500.

    • 31 Jan 2011
  • Scotia Expands Fixed Income

    Scotia Capital has hired Cesare Roselli as managing director and head of sovereign, supranational and agency origination in Europe, a part of its global fixed-income team in London.

    • 31 Jan 2011
  • Eusipa Seeks Separate Risk Classification From UCITS

    The European Structured Investment Products Association has urged the European Commission to conduct a study for the development of a so-called risk classification system for packaged retail investment products, such as structured products, that is separate from UCITS risk classifications set out by the European Securities and Markets Authority.

    • 31 Jan 2011
  • Knight Proffers Delta Options Algo

    Knight Capital Group has completed the rollout of a new delta adjusted options algo. The delta adjusted strategy allows a trader to calculate movement for both an option and the underlying stock simultaneously to create a delta hedge.

    • 31 Jan 2011
  • Equity Bigwig Fullalove Joins UBS

    Mike Fullalove, the former head of equity derivatives at Nomura in London, has joined UBS in a new role as global head of alternative fund distribution, also in London, according to a memo seen by Derivatives Week.

    • 31 Jan 2011
  • China Opens Derivatives To Asset Managers

    The recently-approved new over-the-counter derivative rules from the China Banking Regulatory Commission will open the derivatives market to asset managers as well as dealers, according to a report by Allen & Overy lawyers.

    • 31 Jan 2011
  • One Year Ago In Derivatives Week

    U.S. Senate Banking Committee members Jack Reed (D-R.I.) and Judd Gregg (R-N.H.) came out in support of a limited enduser exemption to clearing under coming U.S. over-the-counter derivatives regulations.

    • 28 Jan 2011
  • Derivatives Losses Spike Japanese Bankruptcies

    A growing number of small and midsized Japanese firms have filed for bankruptcy as a result of losses from derivatives bought to hedge currency exposure.

    • 28 Jan 2011
  • Morgan Stanley Debuts Gilt-Backed Product

    Morgan Stanley has rolled out its FTSE Gilt-Backed Growth Plan 7, the latest issue of its six-year collateralized structured product.

    • 28 Jan 2011
  • HSBC Appoints Canadian I-Banking Head

    HSBC has appoint Jeff Allsop head of is Canadian investment banking business.

    • 28 Jan 2011
  • SocGen Expands Derivatives Biz In U.S.

    Société Générale is looking to expands its derivatives and risk businesses in the U.S.

    • 28 Jan 2011
  • Goldman Names EM Chief

    Goldman Sachs has named Michael Evans as head of emerging markets.

    • 28 Jan 2011
  • Fulcrum To Launch Active Commodity Fund

    Fulcrum Asset Management plans to launch an activity commodity fund this quarter as a separate unit of its Fulcrum Alpha macro fund.

    • 28 Jan 2011
  • "For those of you that aren't familiar with the [National Futures Association], you may have to be soon, as members. That may just be the way it is. We're [possibly] going to have to rely on them a little bit more."

    --Scott O'Malia, commissioner at the Commodities Futures Trading Commission, on the likeliness of the Commission having to delegate some Dodd-Frank Act implementation to self-regulating organizations.

    • 28 Jan 2011
  • Credit Derivatives Data

    • 28 Jan 2011
  • Regulatory Alert

    The following is a roundup of selected current regulatory proposals, notices and directives collected from official bulletins and other sources which are deemed reliable. The chart is updated each issue. To notify DW of new measures call Rob McGlinchey in London at (44-20) 7303-1789 or e-mail RMcGlinchey@euromoneyplc.com. Shaded items indicate a new or updated entry.

    • 28 Jan 2011
  • A Rally Curtailed

    The strong rally that has taken hold of the sovereign market since Jan. 10 came to an end last week.

    • 28 Jan 2011
  • Financials Drive European Outperformance

    One of the stories of 2011 has been the outperformance of European stocks over U.S. stocks, with the EuroStoxx 50 up over +7% in comparison to the U.S. which is only +3.5% higher. The financial sector has been one of the main drivers over this decoupling, with the European Financials Sector index having gained over +8% on the US Financials Sector.

    • 28 Jan 2011
  • Daniel Sandmeier Q&A

    Sandmeier is president of the Swiss Structured Products Association and head of structured products marketing and distribution at Credit Suisse in Zurich.

    • 28 Jan 2011
  • Pricing Curves In OTC Valuations

    Historically, financial institutions used a single standard curve to value derivatives. Recently market participants have started to move away from a single curve for both discounting and forecasting. Instead, they are using multiple curves, each playing a specific role in valuation. Forecast curves continue to be based on Libor, but are built specifically for different tenors. Also, a significant number of participants construct discount curves based on overnight indexed swaps rates.

    • 28 Jan 2011
  • Firms Tout USD/JPY Implied, Realized Structure

    Low realized volatility levels relative to implied volatility levels on the U.S. dollar/ yen has stagnated fx activity this week, and spurred fx structurers to pitch options that allow investors to pay for implied volatility that is more closely aligned with realized levels.

    • 28 Jan 2011
  • SIFMA Seeks Swap Risk Management Exemption

    Banks that expect to register as swap dealers or major swap participants, but already are subject to a prudential regulator’s risk management standards, should be allowed to comply with these rather than new standards planned by the Commodity Futures Trading Commission, according to the Securities Industry and Financial Markets Association.

    • 28 Jan 2011
  • MS Touts Bullish Taiwan FX/Equity Hybrids

    Morgan Stanley strategists are pitching equity/fx over-the-counter hybrids on Taiwan equity indices and the Taiwan dollar against the U.S. dollar as they take bullish views on both asset classes in the coming year.

    • 28 Jan 2011
  • Goldman Markets Social Network Structure

    Goldman Sachs is marketing three-year delta one certificates in Switzerland, linked to what it calls a social network basket.

    • 27 Jan 2011
  • Derivative Values Jump 9% In Q3

    The market value of derivatives in bank trading books rose 9% across all regions in the third quarter, according to The Bank for International Settlements. “The evolution of the dollar during the quarter probably played a significant role in this increase,” said one market official, commenting on the currency’s strengthening.

    • 27 Jan 2011
  • LCH CEO Shocked Over Lower Capital Clearing Requirement

    Roger Liddell, the ceo of LCH.Clearnet, has expressed shock at a provision in the Dodd-Frank Act that lowers the minimum capital standard for membership in a clearinghouse to just USD50 million.

    • 27 Jan 2011
  • Republican Lawmakers Call For Simpler, Cheaper OTC Regs

    Two members of the House of Representatives have picked up on President Barack Obama’s intention to streamline government by calling for simpler and less costly regulations to govern the over-the-counter derivatives market.

    • 27 Jan 2011
  • China Extends Derivatives Trading To Asset Managers

    The China Banking Regulatory Commission has extended derivatives trading to asset management firms, though it limited their use to hedging purposes for less-experienced companies.

    • 27 Jan 2011
  • CFTC May Impose User Fees To Fund OTC Enforcement

    The U.S. Commodity Futures Trading Commission may impose user fees on traders to fund enforcement of new derivatives regulations if the agency doesn’t receive an adequate budget, according to Bart Chilton, a CFTC commissioner.

    • 27 Jan 2011
  • Aspect Fund To Use Swaps

    Aspect Capital has rolled out its Aspect Diversified Trends Fund, a Ucits III version of its flagship Aspect Diversified Programme.

    • 27 Jan 2011
  • GSAM Frontier Equity Fund

    Goldman Sachs Asset Management has launched the Goldman Sachs N-11 Equity Portfolio, which will invest in the so-called ‘next 11,” frontier countries.

    • 27 Jan 2011
  • CFTC Proposes Canceling Reporting Exemptions

    The U.S. Commodity Futures Trading Commission has proposed tougher regulations that cancel previous reporting exemptions for funds, commodity pools and commodity trading advisers.

    • 27 Jan 2011
  • Italian Clearing Unit Boosts LSE Revenue

    The London Stock Exchange reported that revenue from its central counterparty operations grew by more than 300% in the last quarter of 2010 thanks largely to investment funds held by Cassa di Compensazione e Garanzia, its Italian clearing business.

    • 27 Jan 2011
  • ESMA Clearing Powers Set For Snip

    Powers of the European Securities and Markets Authority to decide which over-the-counter derivatives can be cleared are being trimmed even before the pan-European regulator has had a chance to formerly weigh in on the issue.

    • 27 Jan 2011
  • Aussie Co. Loses On FX Option

    Australian paper company PaperlinX has reported an AUD17 million (USD16.92 million) valuation loss on a 2.5-year currency option purchased in Dec. 2009, according to a market update from the company.

    • 27 Jan 2011
  • Deferred Life Swaps On Horizon

    Swaps to hedge the risk that deferred members, or people who have stopped contributing to a pension fund but have not yet retired, will live longer than expected are being tipped to appear in the U.K.

    • 27 Jan 2011
  • U.S. Funds Play German Euro Exit

    Some U.S. funds have been buying options and option spreads against the euro, driven by the idea Germany could exit the single currency in the next two years, according to fund managers and structurers on both sides of the Atlantic. The structures have received a spurt in interest as funds zero in on sovereign debt concerns in the region.

    • 26 Jan 2011
  • Swap-Rule Deadline Called Unrealistic

    Scott O’Malia, a member of the U.S. Commodity Futures Trading Commission, called a July deadline for completing rules to govern the swaps market unrealistic.

    • 26 Jan 2011
  • Goldman Derivatives Partnership Hit For Taxes

    The Internal Revenue Service has filed a federal tax lien against Goldman Sachs Mitsui Marine Derivatives Products over USD1.55 million in unpaid taxes from 2009.

    • 26 Jan 2011
  • Banks Punished Over FX Violations In Korea

    South Korea’s Financial Supervisory Service has lowered the ceiling for fx derivatives at domestic branches of Crédit Agricole and United Oversees Bank after they exceeded their limits on how big a proportion of their equity capital the contracts could represent.

    • 26 Jan 2011
  • Japan To Check Derivatives-Sales Compliance

    Japan’s Financial Services Agency is planning to inspect financial institution to determine whether they are complying with voluntary sales regulations for derivatives and other high-risk products.

    • 26 Jan 2011
  • Ex-Merrill Prop Pair Join Brevan

    Jason Feasey and Jenna Collins, two former proprietary traders from Bank of America Merrill Lynch, have joined Brevan Howard, the London-based hedge fund.

    • 26 Jan 2011
  • BarCap Debuts Oeic Kick Out

    Barclays Capital has rolled out its IFSL Barclays Defined Returns Autocall Fund 1, its first structured product wrapped in an Oeic.

    • 26 Jan 2011
  • BlackRock: All-To-All Trading Could Cause Flash Crash

    An all-to-all format of pricing and trading over-the-counter derivative swaps could lead to a flash crash in the interest rates market, according to Peter Fisher, vice chairman at BlackRock.

    • 26 Jan 2011
  • Buysiders Extend CDS Basket Tenors

    Investors in equity tranches of baskets of corporate credit default swaps are lengthening the tenors of their trades.

    • 26 Jan 2011
  • LCH Touts Omnibus Opt-Out For Endusers

    Regulators need to allow derivative endusers the opportunity to opt-out of utilizing an omnibus style clearing account with its clearinghouse in a swap post-Dodd-Frank, said Roger Liddell, ceo of LCH.Clearnet at TabbForum’s Derivatives Reform: Preparing for Change conference yesterday in New York.

    • 26 Jan 2011
  • Euro Reg Raises U.S. Swaps Concerns

    The European Securities and Markets Authority has written to the heads of the Securities and Exchange Commission and the Commodity Futures Trading Commission to express fears over plans for the registration of non-U.S. swap data repositories.

    • 26 Jan 2011
  • CFTC Commish: Dodd-Frank Delegation Likely

    The Commodity Futures Trading Commission will likely have to delegate some Dodd-Frank Act implementation to self-regulating organizations and not necessarily just the National Futures Association, according to Commissioner Scott O’Malia.

    • 26 Jan 2011
  • China Eases Planned Credit Derivatives Controls

    The China Banking Regulatory Commission has approved more lenient rules for the use of credit derivatives.

    • 26 Jan 2011
  • Taiwan To Scope OTC Clearinghouse

    The Taiwan Financial Supervisory Commission plans to evaluate creating an over-the-counter derivative central counterparty.

    • 26 Jan 2011
  • Robeco Rolls Out Fund To HK

    Robeco Investment Management has filed documents with the Hong Kong Securities and Futures Commission to begin offering its U.S Large Cap Equities D USD shares fund to Hong Kong investors.

    • 26 Jan 2011
  • FSA Proposes Tough Complex-Product Measures

    The U.K.’s Financial Services Authority has proposed several measures relating to complex products including a ban on non-advised sales and raising the qualification requirements for advisers who deal in the products.

    • 25 Jan 2011
  • Spending Cuts Could Undo Derivatives Regs, Says Frank

    Rep. Barney Frank (D-Mass.) said spending cuts proposed by Republicans in the House of Representatives could undo derivatives regulations.

    • 25 Jan 2011
  • Japanese Lenders Urged To Help FX Derivatives Losers

    The Japanese Bankers Association has urged domestic lenders to “do something” to help businesses that suffered losses from fx derivatives products they bought from banks.

    • 25 Jan 2011
  • ISDA Backs Self-Regulation Of Swaps Market

    The International Securities and Derivatives Association has come out in favor of self-regulation of the swaps market.

    • 25 Jan 2011
  • StanChart Names MENA Credit-Trading Chief

    Standard Chartered has named Rupesh Hindocha as regional head of credit trading for the Middle East and North Africa.

    • 25 Jan 2011
  • Peru Limits Derivatives

    Peru’s bank regulator, SBS, has approved a limit on the use of derivatives designed to reduce volatility in the country’s fx market.

    • 25 Jan 2011
  • Cantor Names Global Equities Chief

    Cantor Fitzgerald has named Jarred Kessler as global head of equities.

    • 25 Jan 2011
  • Europe Eyes Rating Agency Bar On Sovereign Ratings

    Credit rating agencies could be banned from rating the sovereign debt of E.U. countries, under pre-legislative amendments put forward by some members of the European Parliament’s Economic and Monetary Affairs Committee.

    • 25 Jan 2011
  • U.S.-EU Regulatory Convergence Still Mixed

    Convergence between the U.S. and Europe on regulations affecting the cash and synthetic securitization markets remains mixed, according to a panelist at the Practising Law Institute’s 10th annual Securities Regulation in Europe conference in London.

    • 25 Jan 2011
  • BarCap Structured Products Salesman Departs

    Adam Barrett, head of northern European distribution for structured products at Barclays Capital in London, has left the firm.

    • 25 Jan 2011
  • BarCap Ups Asia Dispersion Trading

    Barclays Capital plans to focus more on dispersion trading and volatility swaps on single name stocks in 2011 in Asia.

    • 25 Jan 2011
  • Traders Eyes New Credit Derivative

    A new type of credit derivative appears to be on the horizon, one based on the correlation between interest rates and risk premiums in the credit market.

    • 24 Jan 2011
  • Optiver To Launch Derivatives Trading In Q3

    The Dutch marketing firm Optiver has announced that it will begin trading derivatives in the third quarter of this year on its Order Machine platform known as Tom.

    • 24 Jan 2011
  • OTC Collateral Processing Platform Being Developed

    MarkitSERV, Depository Trust & Clearing Corp., MarkitSERV and AcadiaSoft are jointly working on a multi-functional collateral processing platform for the over-the-counter derivative market.

    • 24 Jan 2011
  • SEC Proposes Tougher Standard For Broker/Dealers

    The U.S. Securities and Exchange Commission has proposed that broker/dealers meet the same fiduciary standard as registered investment advisers.

    • 24 Jan 2011
  • MS Launches Capital-Protected Pair

    Morgan Stanley has rolled out a pair of capital-protected products--the Morgan Stanley FTSE Simple Growth Plan 12 and the Morgan Stanley Protected Growth Plan 39.

    • 24 Jan 2011
  • U.S. CDS Tighten To 12-Month Low

    Credit default swap spreads on U.S. corporate bonds tightened to their lowest level in a year on growing evidence that the economy is recovering at faster pace.

    • 24 Jan 2011
  • Skandia Adds EM FX Debt Fund

    Skandia Investment Group has added a local fx emerging-market fund to its debt-focused offerings.

    • 24 Jan 2011
  • Gilliat Offers ‘Twin Win,’ Kick Out Plans

    Gilliat has begun offering its Gilliat Twin Win product and a February version of its Precious Metals Kick Out.

    • 24 Jan 2011
  • SunGard Calls For Independent OTC Valuation

    Software developer SunGard said independent valuation of over-the-counter derivatives will become more important with the ratification of UCITS IV.

    • 24 Jan 2011
  • UBS Launches M&A Index-Linked Notes

    UBS has launched the first delta one structured notes tied to its new mergers and acquisitions index.

    • 24 Jan 2011
  • RBC Taps Pearce For Credit Trading Role

    Ian Pearce, formerly co-head of asset-backed securities and sterling credit trading for derivatives and cash at UBS in London, will join RBC Capital Markets in London as head of European credit trading in February.

    • 24 Jan 2011
  • Buyside Unprepared For Regs, Says BNY

    Buyside firms are largely unprepared for the post-Dodd Frank over-the-counter derivatives environment and need to work toward a more balanced relationship with the major dealers through technology buildouts and adherence to a new set of industry best practice standards, according to a report.

    • 24 Jan 2011
  • BarCap Pitches Equity/FX Japan Play

    Barclays Capital strategists are recommending 10-year trades playing cheap Nikkei implied volatility off of relatively richly priced U.S. dollar/yen implied volatility.

    • 24 Jan 2011
  • CFTC CCP Member Rule Draws Dealer Ire

    Some dealers are concerned a Commodity Futures Trading Commission proposal on regarding membership criteria for dealers in central counterparty clearinghouses could open the door for entities who lack market-making experience in credit default swaps. They may, in turn, misuse capital that should be reserved in the case of default.

    • 21 Jan 2011
  • Cash Bonuses In Europe Hit 80%

    Some U.S. firms have been reportedly paying European staffers up to 80% of their bonuses in cash. Among them, JPMorgan has reportedly been paying some employees in a range of 40-80%. A JPMorgan spokesman declined comment, but an official with knowledge of the situation said the firm’s pay policy was not much different from other firms.

    • 21 Jan 2011
  • Brazil Sells Out Reverse FX Swaps

    Banco Central do Brasil has sold reverse fx swaps contracts in its second such offer of the year.

    • 21 Jan 2011
  • BNP To Expand Prime Brokerage

    BNP Paribas plans a major expansion of its prime brokerage business, according to Sam Hocking, global head of prime brokerage sales.

    • 21 Jan 2011
  • NEST Plans Shariah-Compliant Equity Fund

    The National Employment Savings Trust is planning to market a global equity fund that is compliant with Shariah law.

    • 21 Jan 2011
  • CSAM Hires Credit Specialist As COO

    Credit Suisse Asset Management has hired Stephen Stonberg as coo for alternative investments.

    • 21 Jan 2011
  • Morgan Hires Interest-Rates Chief To Boost Fixed Income

    Morgan Stanley has hired Glenn Hadden as global head of interest rates in an effort to increase revenue from fixed-income trading.

    • 21 Jan 2011
  • SocGen Offers OTC Base-Metal Derivatives In China

    Société Générale has begun selling over-the-counter base-metal derivatives in China.

    • 21 Jan 2011
  • Deutsche Bank Shuffles Origination Heads

    Deutsche Bank has named Simon Roue as head of equity origination for Japan.

    • 21 Jan 2011
  • One Year Ago In Derivatives Week

    The U.S. Securities and Exchange Commission's new structured products unit kicked off a wide-ranging search for fraud in the over-the-counter derivatives market.

    • 21 Jan 2011
  • Primary Issue Mezz Spreads Narrow

    Spreads on mezzanine bonds in new issue collateralized loan obligations have tightened dramatically in the past four weeks, with bankers listing some tranches that have tracked in by as much as 150 basis points.

    • 21 Jan 2011
  • "If we don't get extra money--and so far I personally have no reason to believe we are going to get more money--then I think the National Futures Association will have to bear the brunt of examinations."

    --Ananda Radhakrishnan, director of the Commodity Futures Trading Commission's Division of Clearing and Intermediary Oversight, on the need for a boost in the agency's funding.

    • 21 Jan 2011
  • Sovereigns Surprisingly Docile

    The sovereign credit markets had rallied sharply in the run-up to the Eurogroup/Ecofin meetings on January 18-19. Rhetoric from various high-ranking European officials, including European Commission President José Manuel Barroso, had given rise to optimism that the E.U. would abandon its caution and take a more radical approach to the sovereign debt crisis.

    • 21 Jan 2011
  • Trade Repositories & Regulation

    With the move towards establishing central clearinghouses and data repositories, politicians and regulators around the world are debating whether to establish a national central clearinghouse and national data repository for over-the-counter derivatives in their jurisdictions. Given the globalization of this market, the proliferation of data repositories would actually impede the ability of the international regulatory community to assess global systemic risk. While the impulse is for each jurisdiction to implement its own data repository, this approach would prove to be counterproductive in the long run.

    • 21 Jan 2011
  • Clariden Liquidates FoF

    Clariden Leu's SAAF II Global Fund has been liquidated, a move that will likely generate capital losses for investors in open-ended structured notes that reference the performance of the fund.

    • 21 Jan 2011
  • JPM Launches Index For Equity Structures

    JPMorgan has launched an index tailored towards equity structured product investors, the ETF Efficiente 5 Index, which contains a basket of 12 exchange traded funds and the JPMorgan Cash Index USD 3 Month.

    • 21 Jan 2011
  • MS Asia EQD Structuring Chief Exits

    Adam Crawford, head of equity derivatives structuring for the Asia Pacific at Morgan Stanley in Hong Kong, left the firm this week, according to officials.

    • 21 Jan 2011