Derivs - Interest Rate

Global hedge funds and large asset managers are looking at entering relative value swap trades which play a possible correction in both the Australian and Japanese 10y interest rate curve, paying Japanese yen 10y10y rates and receiving Australian dollar 10y10y rates.

The Depository Trust & Clearing Corp. has landed approval as Japan’s first third party-trade repository, as the Japan Financial Services Agency moves to implement an April 1 deadline for the reporting of over-the-counter derivative trades.

The Australian Securities Exchange will start voluntary dealer-to-dealer clearing of over-the-counter Australian dollar-denominated interest rate swaps July 1.

Credit Suisse thinks 6m7y risk-reversals on the U.S. Treasury yield curve offer positive carry, potential upside and risk-off tail hedges.

The proposed requirements on loss allocations arrangements for central counterparties to cover non-default losses may put U.K. CCPs at a significant disadvantage to their European and U.S. competitors.

The Royal Bank of Scotland is recommending investors buy bullish option structures on the 3y forwards of Blue Eurodollars should there be a pullback in the market. The recommendation comes as net longs in Eurodollars to ultra-bond futures have surged in recent weeks and the Federal Reserve remains committed to quantitative easing for the remainder of 2013.

Registered swap dealers can now report over-the-counter trades for all five major asset classes to the DTCC Data Repository in the U.S., making it the first swap data repository to offer reporting across all asset classes.

The Korea Exchange is planning to launch voluntary clearing of Korean won-denominated over-the-counter interest rate swaps sometime between May-and-June via its central clearinghouse. Mandatory clearing will likely to start after August.

Barclays is backing a high carry strategy that also benefits in a sudden risk-averse environment by buying a 1y*5y receiver on the euro rate curve, that is partially funded with a 1y single-look 5y-30y CMS curve cap.

Japanese investment firms have either already registered as major swap participants, or are in the midst of preparing to register with the U.S. Commodity Futures Trading Commission as they near the USD8 billion swap position threshold set by the regulator.

Staffers working in derivatives units at European banks in the U.S. and Asia Pacific would be hit hard should restrictions surrounding bonus payouts from the European Union go into force.

Munich-based Assenagon Asset Management, which manages assets of more than EUR10 billion, is set to launch a credit selection fund that invests in corporate bonds and default swaps.