Derivs - Credit

The bid/offer spread has significantly contracted since US regulation requiring certain products to be traded on swap execution facilities became effective. UBS’ aggregation model Neo has seen spreads decrease on its SEF electronic order books by approximately 50%.

Joseph McIntyre, senior high yield credit analyst at Nomura in London, has left the firm. He is said to be heading to Bluecrest.

Collateral secured instrument structured products that weave in exposures to bonds to reduce exposure to the product issuer are growing in popularity among investors in Switzerland.

Hedge funds are equally selling outright options and buying out-of the-money options in iTraxx Main, suggesting investors are divided on their forward views of credit volatility in Europe over the coming months.

The apparent contradiction between optimism on economic growth and ultra-low government bond yields is preoccupying investors as we head into the summer.

Andrew Jarman, who was European head of high yield credit trading at Deutsche Bank, has joined Mizuho in the same role as part of the firm's build out in leveraged products, writes Hazel Sheffield.

Traiana has improved its CreditLink service by giving buyside clients greater functionality when trading credit or interest rate derivatives on swap execution facilities.

Hedge funds and active real money accounts are trading credit steepeners on Banco Espirito Santo after an audit found alleged irregularities surrounding debt owned by Espirito Santo International, causing a spike in volatility on the name.

Vicente Pons, the former head of fixed income trading and derivatives at Renaissance Capital in London, has set up Frontera Capital, a boutique firm focused on frontier markets.

Assets under management in the Absolute Insight Emerging Market Debt Fund have grown to more than $1 billion, driven by a spike in investor interest in absolute return strategies in emerging market debt over the last 12 months. The fund invests in credit default swaps, bonds, interest rates and currencies, among other instruments, in an attempt to provide uncorrelated and risk adjusted returns by targeting attractive opportunities in EM debt.

The European Securities and Markets Authority has floated a number of options in determining reasonable commercial basis within MiFID II, including having data suppliers’ price lists subject to full transparency and imposing specific high-level limits whereby market data services, as a proportion of total revenues, would not exceed a certain percentage.

Bloomberg has launched its own swap data repository, serving as a centralized record keeping facility for interest rate, credit, fx, commodity and equity swaps transaction data.