Derivs - Interest Rate

Ex-Deutsche Bank interest rate staffers Paul Swaddling and David Martins da Silva have launched Prism Financial Products, a buyside brokerage. Christopher Rokos, the ex-co-founder of Brevan Howard, is also involved in the launch, according to a U.K. Companies House filing.

Credit Suisse recommends receiving U.S. 3y3y versus 10y10y forward swaps in order to express a steepening and long treasury protected securities breakeven bias.

The International Swaps and Derivatives Association has published a protocol that enables parties to amend the terms of covered transactions to address future rate discontinuations.

ANZ is looking to expand its fx and rates structured flow product business in Asia, diversifying products and hiring onshore sales staff in South Korea, Taiwan and potentially Indonesia.

Recent press reports of Congressional and U.S. Commodity Futures Trading Commission investigations of possible price manipulations involving financial and energy assets have once again raised the question of what types of behavior constitute unlawful manipulation under the Commodity Exchange Act (CEA), which governs exchange and over-the-counter trading in a wide range of financial and commodities assets and values and can reach activities beyond U.S. borders.

The Hong Kong Securities and Futures Commission is leading the international charge to tackle cross-border extraterritoriality of global regulatory reforms stemming from the Pittsburgh G20 commitments, setting up a cross-border task force designed to bring industry and regulators together.

Barclays is recommending buying 3m*5y low-strike receivers that are delta-hedged as current implied volatility levels on 5y tails are low enough to benefit from volatility due to the data-dependent guidance introduced by the Bank of England’s Monetary Policy Committee.

To fade the gap in implied volatility between long-dated eurodollar and short sterling contracts, Newedge is suggesting selling long-dated at-the-money straddles on short sterling versus buying long-dated ATM straddles on eurodollars.

Barrie Feldman, the ex-head of fixed income trading at BNP Paribas in Tokyo, has joined Nomura.

The recommendations of the U.K.’s Independent Commission on Banking chaired by Sir John Vickers published Sept. 2011 will have a profound effect on banking in the U.K.

Investors should look at playing the normalization and range trading of Hong Kong dollar, U.S. dollar spreads via a seven-year forward, three year HKD/USD swap spread, with an entry at -60 and taking profit at -25.

Australian counterparties registered as U.S. swap dealers started submitting over-the-counter interest rate swaps and credit derivative trade data to the Depository Trust & Clearing Corp. this week as part of the first phase of the Australian Securities and Investments Commission’s trade reporting roll out.