Derivs - Interest Rate

Barclays is advising investors to take a short-volatility position in EUR rates by selling EUR 5y*5y straddles versus strangles. The rationale is the expectation that EUR structured note issuance will spike in Q1 of 2013, leading to higher option supply and a fall in long-expiry volatility.

BlackRock is looking to increase the amount of fx transactions that it settles via Continuous Linked Settlement, Chris Vogel, global head of fixed-income and currency trading for the USD3.67 trillion asset manager, told DI in an exclusive interview.

JPMorgan has launched a multi-asset class trading platform called JPMorgan Markets, bringing pre-trade, trade and post-trade functionality on one platform.

The Arcadia Group’s staff and senior executive pension schemes are considering hiring a new manager to invest in interest rate and inflation swaps during the third quarter this year, as part of a planned shift into liability-driven investments.

UBS in Tokyo has decided to halt trading of fixed income derivatives with U.S. counterparties and clients. A number of firms have taken similar steps to limit the chance of running afoul of the new Dodd-Frank rules, according to one market official.

It is now over two years since the term swap execution facility first appeared in Title VII of the Dodd-Frank Act as part of the reform to bring more transparency to swaps trading.

Derivatives desks are scoping growth areas across asset classes for this year, but they’re targeting specific slices within the major underlyings.

Structured product investors in Asia are fast turning to deals denominated in local currencies as reliance on the U.S. dollar declines in the region. Filippo Olivetti, managing director and co-head of markets structuring for Asia Pacific at the Royal Bank of Scotland in Tokyo and Stefan Masuhr, managing director and co-head markets structuring Asia Pacific in Singapore, said the flow will grow in 2013. “This is simply driven by the fact that local investors in countries like Malaysia, [South] Korea and Indonesia simply don’t care for USD as much,” Masuhr told DI in an interview.

An International Swaps and Derivatives Association service allowing buysiders and sellsiders to amend and share ISDA Master Agreements to be in compliance with Dodd-Frank business conduct rules is seeing a pick-up from buysiders, Robert Pickel, ceo, told DI in an extensive interview.

A slew of varying payer spread strategies on EUR swap rates are being pitched as core trades for this year.

The establishment of clearinghouses in Asia Pacific will increasingly place greater pressure on the resources of major dealers, as investment banks attempt to negotiate the differing approaches in different markets.

Jeff Ross, ex-principal in derivatives and fixed income sales and head of repo sales at Bank of America, has joined London-based debt capital markets trading and research brokerage Yorvik Partners as a partner in London.