Derivs - Credit

Market participants may have been making the shift to adopting overnight indexed swap (OIS) discounting for swap portfolios since 2007, but this year the focus has shifted to include the challenges surrounding credit valuations and a whole host of other complications.

Jamie Gavin, ex-executive director of operations and global head of change for listed derivatives and over-the-counter clearing at Morgan Stanley, has joined brokerage Newedge as head of institutional OTC clearing sales for the UK.

Central counterparty clearing houses should have more "skin in the game" to keep them from liquidation, according to panellists debating CCP risk at the 35th annual Bürgenstock forum for global derivatives markets in Geneva on Wednesday.

A senior officer from the European Securities and Markets Authority warned on Thursday that submitting data to trade repositories is not enough to fulfil the legal obligation to report derivatives transactions in Europe, and that market participants must take steps to ensure the pairing and matching of trade data they file.

Some smaller dealers in Canada are grappling with the operational build out in order to comply with the Canadian over-the-counter derivatives reporting requirements set to begin on October 31.

Overall credit default swap notional reported to swap data repositories last week increased 34% from the previous week, according to data from the International Swaps and Derivatives Association. This follows two weeks of a consistent uptick in CDS notional, with a combined increase of 64%. Overall interest rate derivatives that was reported, only increased by 5%.

UBS has brought its futures business under the fixed income umbrella in New York as it continues the move away from principal-based trading to an agency model.

The start of the Shanghai-Hong Kong Stock Connect collaboration between the two cities’ exchanges will open a number of arbitrage and thematic trading opportunities, such as playing the different effects on the China A and H-share market.

Buy- and sellside firms with bilateral arrangements with exchanges may find time and resources are under pressure from the migration of Liffe UK derivative products to ICE Futures Europe, which started on Monday and will continue through to mid-November.

Hedge funds, real money and some credit valuation adjustment desks increasingly hedged flows in credit options this week, amid fears over the Scottish referendum result.

Hedge funds are looking to implement relative value trades on European indices, going long iTraxx Main and shorting the Eurostoxx 50 or long CDX investment grade and short S&P500, expecting synthetic credit indices to outperform stocks around the roll of the iTraxx and CDX indices on September 22.

The International Swaps and Derivatives Association made an eleventh hour decision to extend the deadline for market participants to sign up to its credit derivatives definitions protocol on Friday, after ISDA was flooded with last minute adherents and market participants calling for more time.