Derivs - Credit

An International Accounting Standards Board review of credit risk hedge accounting standards for credit derivatives will likely make it easier for firms to account for credit default swaps in Japan.

A non-U.S. based hedge fund snapped up USD2 billion of puts on the euro/U.S. dollar from Morgan Stanley this week.

Annual revenue from equities trading at Citigroup plunged from USD2.4 billion to USD1.3 billion mostly from its equity derivatives and proprietary trading units.

Barclays Capital and Deutsche Bank remained at the top in global fixed income in market share in 2011, followed by JPMorgan Chase, according to Greenwich Associates.

The inclusion of a collective action clause on Greek debt, which could force bondholders who had earlier not voluntarily agreed to a 50% haircut on the principal, does not in and of itself trigger a credit event, but would if subsequently an investor’s coupon or principal was reduced, according to the International Swaps and Derivatives Association

Morgan Stanley has dropped four executive directors in fx and rates derivatives sales in New York. Thomas Doyle and David Zakaiem were let go in FX derivatives sales, while Noel Freeman and Tony Lopiccolo left from the rates group.

The Bank of International Settlements has flagged potential data gaps for over-the-counter derivatives trade repositories and what steps should be taken to address such issues.

Deutsche Bank and Fortinbras Asset Management have launched an Undertakings for Collective Investment in Transferable Securities fund that aims to capture trends in interest rate, commodity, foreign exchange and fixed income markets.

Some hedge funds have been looking to buy recovery swaps on European sovereign debt to play the risk debtor nations may circumvent the credit event triggers in credit default swaps.

Hong Kong is likely to see more synthetic exchange-traded funds referencing commodities and fixed income this year. Firms are targeting the asset classes on the back of a lift from a spate of ETF approvals by the Securities and Futures Commission.

The U.K. Financial Services Authority is being pressed to not regulate structured product pricing by industry groups who argue there is no evidence to back intervention.

Rabobank has hired Christian Lawrence, a fixed income and currency strategist at RBC Capital Markets in London, as an emerging market fx strategist, also in London.