Derivs - Credit

Barclays Capital researchers are recommending trades to take advantage of the expected convergence between credit spreads and equity prices and volatility of MGIC Investment, the U.S.’ largest mortgage insurer.

Investors had to digest a negative rating action on one of the biggest G7 countries last week. Standard and Poor’s announced on Wednesday that it had placed Japan’s AA- rating on negative outlook, citing the huge reconstruction costs from the March 11 earthquake and tsunami.

Spreads of single-name corporate credit default swaps and credit indices should resume tightening after market participants return from the U.K. public holiday May 2, a change from recent years, wrote strategists at Société Générale in London.

Derivatives trading books of dealers globally fell sharply in the fourth quarter, according to the Bank for International Settlements.

Nomura Holdings today reported a 55% year-on-year growth in over-the-counter fixed income derivatives trading volume, despite fixed income wholesale global market revenue falling from JPY308 billion (USD3.769 billion) to JPY259.8 billion (USD3.179 billion) from fiscal year 2009 to FY2010.

Credit index trader Tosin Buraimoh has left Société Générale in London for Barclays Capital.

HSBC Bank (China) has deregistered the credit risk mitigation warrant it issued at the end of last year on a five-year bond issued by Petro China Company Ltd.

The excessive tightening of subordinated credit default swaps compared to senior CDS should drop off as concerns over new Solvency II-compliant debt ease, according to researchers at Barclays Capital in London.

Anuj Thakur, a credit index and options trader at HSBC in London, has left the firm.

Earlier this month, Reporter Mike Kentz spoke to Robert Pickel, executive vice chairman of the International Swaps and Derivatives Association in New York, in the final installment of our series of interviews on swap execution facilities and derivatives regulation.

Citigroup has promoted Mike Pringle to the new position of head of global equities trading. Pringle has been head of equities for Europe, Middle East and Africa since 2009.

European sovereign credits entered yet another fragile stage last week after rumours of a Greek debt restructuring circulated around the market.