Derivs - Credit

Alok Modi, director in long-end and STRIPS trading at Barclays in London, is joining Morgan Stanley as head of government bond and credit default swap trading for Europe.

To take advantage of low fx volatilities versus rates vols, Société Générale is pitching a cross-asset structure in buying straddles on the euro/U.S. dollar, while selling EUR swaption straddles.

Mark Mehtonen is a Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, at Ilmarinen Mutual Pension Insurance Co. in Finland. He spoke to Managing Editor Rob McGlinchey prior to the beginning of the Chicago Board Options Exchange’s Risk Management Conference Europe, at the Penha Longa Resort in Sintra, Portugal.

Enhancing counterparty credit risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis.

Larry Tabb has carved a unique spot as an objective observer of the derivatives market over the last 10 years. His firm’s research is seen as having the pulse of buy- and sellsiders—he also has the ear of regulators as evinced by his role in the Commodity Futures Trading Commission effort to define high-frequency trading. In an extensive interview with DW, he forecasts a vastly different OTC landscape emerging over the next five-seven years. The regulatory changes will see less bespoke flow and deals concentrated in fewer hands. He also foresees teething issues as swap execution facilities get off the ground, for example through a dash to get as many products as possible made available to trade.

Interoperability of global clearing models is not only undesirable but could kill product innovation, said Phupinder Gill, ceo of CME Group, at the 34th Bürgenstock annual global derivatives markets conference in Geneva.

The capital cost of clearing for banks could lead end-users to create shadow-banking entities to clear trades, according to panelists.

Migrating clients onto newly-approved swap execution facilities could take months, despite the U.S. Commodity Futures Trading Commission Wednesday deadline for swaps trading to be moved onto the platforms.

European high-yield was in focus as several events showed idiosyncratic risk is highly relevant, despite the overbearing macro picture.

Dan Miller, global head of execution sales at BNP Paribas in Hong Kong, has left the firm.

Traiana and MarketAxess have completed the first live credit default swap index trade using Traiana’s CreditLink service to verify pre-trade credit limits, with JPMorgan as the clearing member for a buysider.

Scott O'Malia, a commissioner at the Commodity Futures Trading Commission, wants an extension to the Oct. 2 deadline for trading on a swap execution facility, he told DW on the sidelines of the 34th Bürgenstock Global Derivatives Forum in Geneva today.