Derivs - FX

South Korean authorities have changed their stance on a transaction tax on over-the-counter derivatives and are looking to impose a capital gains tax.

European banks may move their market making activities in equities and debt securities outside the US to stay under the $50bn threshold for new capital requirements agreed by the US Federal Reserve at the end of February, lawyers said.

Andrew Jarman, ex-European head of high yield credit trading at Deutsche Bank in London, has left the firm.

Strategists at Bank of America Merrill Lynch are recommending investors sell credit default swaps on seven to 10 year French credits noting that the credit default swap/cash basis is especially positive.

Ukraine has a long history of weak credit quality. Indeed, one has to go all the way back to August 2011 to find 5-year CDS levels tighter than 500bps.

Institutional investors are increasingly entering at-the-money put spreads on the S&P 500 in a bid to protect against further declines in US equities while profiting from the current high level of convexity in the volatility market.

Institutional investors that acquired vanilla options on sterling against the US dollar ahead of the Verizon-Vodafone deal that took place on February 21 have moved to sell the instruments back into the market due to a lack of volatility in the currency pair.

A spike in dollar/renminbi (onshore) following fixings from the People’s Bank of China has opened an opportunity for investors to go long renminbi volatility via one-month at-the-money straddles, buying a call and selling a put with the same strike.

Hellebore Capital Management is launching a new credit derivatives index arbitrage fund, which aims to profit from the relative value between a credit derivatives index and all of its members.

Stream Capital, the Geneva-based advisory and execution firm, has hired Fabrice Toledano, a former director in mutual fund and hedge fund structuring in London, as a director focusing on structured credit.

Société Générale has launched digital warrant payouts on the Eurostoxx 50 Volatility Index (Vstoxx), the first of their kind on the underlying. The new payouts will complement the existing call and put warrants the firm already offers on the Vstoxx.

Brokers could be squeezed out of the marketplace as the sellside increasingly turns to electronic platforms to match trades. That’s the view of Niall Cameron, global head of credit trading at HSBC, speaking at the 9th Annual European Market Liquidity Conference hosted by the Association of Financial Markets in Europe in London on Tuesday.