Derivs - Credit

A group of buysiders has launched a working group to address how buysiders should participate in the central clearing of credit default swap trades.

The auction to settle credit default swaps referencing bonds issued by Bowater Inc., now part of AbitibiBowater, yielded a final recovery rate of 15% yesterday, meaning protection sellers will pay out 85 cents for every dollar of protection sold.

Société Générale is seeing interest from Latin American in hybrid structured products that combine an equity-linked trade with a credit default swap.

Michelle Nicoletta, a Latin America credit default swaps trader at Barclays Capital in New York, is set to join Standard Chartered as its head of Americas credit trading.

Hedge funds and prop desks are buying default protection on BT Group amid news reports of poor performance at the company’s pension fund, managed by Hermes Pension Fund Management.

Vincent Gomez, a director in credit default swaps trading who left Société Générale in March, is set to join UBS as a director in high yield CDS trading.

Three new requests were put to the International Swaps and Derivatives Association’s Credit Derivatives Determination Committee yesterday as market participants that chose not to rebook trades in the wake of old succession events sought advice on their contracts.

Kai Seeger, managing director and European head of cash and credit default swap flow trading at Barclays Capital in London, left the bank last week and is set to join BNP Paribas as a managing director in CDS flow trading.

First-to-default swaps, a vanilla structure where protection is sold on a basket of equally weighted single credits, are beginning to find more takers in Europe.

Credit analysts at Morgan Stanley believe the Asia credit risk premium—the level at which credit default swaps in the region trade above their global counterparts—is unjustified.

Credit default swaps on the bank holding companies involved in the U.S. government’s stress tests did not widen as news reports of their capital shortfalls began leaking out this afternoon.

Five-year credit default swaps on BMW pulled in today by 20 basis points to 170 bps, despite the auto company reporting a first-quarter loss of EUR55 million (USD73 million).