Derivs - Credit

The Basel Committee on Banking Supervision and the International Organization of Securities Commission published a consultative paper today endorsing initial margin thresholds for non-centrally-cleared over-the-counter derivatives. In response to the paper, the U.S. Commodities Futures Trading Commission has opened the public comment period for margin requirement for uncleared swaps.

Volumes in floored floater structured products in Switzerland have dropped further over recent months, with investors turning to alternative fixed income products, such as credit-linked notes.

Emmanuel Delattre, head of credit sales, Europe for the Royal Bank of Scotland in London, resigned on Wednesday.

The number of firms angling for a slice of quanto credit default swaps referencing European sovereigns has nearly doubled in the last couple of weeks.

Underlyings to be referenced in the upcoming Markit index of credit default swaps referencing central and eastern Europe, Middle East and African countries will include a slew of financial companies in the Russian Federation and the United Arab Emirates.

Pricing differences on quanto credit default swaps that pay out in euros are creating opportunities for investors to hedge their currency and sovereign credit exposure, according to Jochen Felsenheimer, managing director at Assenagon Capital Management.

Volumes in floored floater structured products in Switzerland have dropped even further over recent months, with investors instead turning to alternative fixed-income products, such as credit linked notes (CLN), in search of greater yield.

The U.S. Commodity Futures Trading Commission has approved for public comment proposed guidance on how it will apply derivatives regulations internationally, as well as a proposed phased compliance program for swaps dealers and participants both in the U.S. and elsewhere.

The investment-banking industry is experiencing a slowdown in capital markets revenues, as it shifts to a less profitable but lower risk business model, according to Standard & Poor’s.

Proposals in the Markets in Financial Instruments Directive II to reform pricing practices in the fixed income market will “seriously undermine” the ability of trading firms to provide liquidity, lead to higher trading costs for investors and make it more difficult and expensive for governments and companies to raise capital, according to TABB Group.

S&P Capital IQ announced today that it will be acquiring London-based Capital Markets Analysis, an over-the-counter credit data firm in order to establish a joint venture in its index business.

Société Générale is recommending that dealers and buysiders ignore the E.U.’s decision today to bail out Spanish and Italian banks and continue to buy the Markit iTraxx Main credit default swap index of investment grade European corporate and sell its U.S. counterpart, the CDX.IG.