Derivs - Credit

Overall credit default swaps notional that was reported to swap data repositories last week increased by 4% from the previous week, according to data from the International Swaps and Derivatives Association. Overall interest rates derivatives trading that was reported, however, dropped by 12%.

The International Swaps and Derivatives Association credit determinations committee has rejected a request from the law firm Schulte, Roth and Zabel to convene for a meeting to determine whether Argentina failed to meet its obligations to debt holders. The law firm believed comments made by an Argentine minister were enough to trigger a potential credit event on Argentine sovereign CDS.

The synthetic collateralised debt obligation market could see a revival in Europe, following the activation of the International Swaps and Derivatives Association’s new credit default swap definitions in September.

Flows have been mixed in credit options on iTraxx Main, reflecting the lack of a strong consensus in credit markets after the Federal Open Market Committee’s dovish statement last week.

The buy- and sell-side are divided on how initial margin should be calculated for uncleared over-the-counter derivatives, according to a new study.

Volatility across asset classes declined to record levels last week, shifting the S&P 500’s term structure, steepening the skew and opening up ratio risk reversal strategies for investors.

Julien Raffelsbauer, ex-head of high yield, leveraged loans, special situations and distressed debt at BNP Paribas in London is joining HSBC in a senior credit trading role.

Large insurance companies are buying index options or variance swaps with two-year maturities on the Nikkei 225 and TOPiX against the S&P 500 or Eurostoxx 50 as a relative value trade.

US investors are pushing out maturities on their structured products and notes, extending the transactions beyond four-to-six years in a bid to gain better yields.

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.

Examiners investigating investment banks' compliance with the Volcker rule in the US will scrutinise any recent mergers of trading desks into single entities.

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.