Derivs - Interest Rate

Worst-of option strategies utilizing the U.S. dollar as ‘legs’ to pit the Australian dollar against the yen will provide attractive fx opportunities on the back of sovereign debt concerns outside of the eurozone in 2011.

Goldman Sachs is set to issue USD60.86 million worth of seven-year step-up callable fixed rate notes tomorrow in the U.S.

A recent proposed rule by the Securities and Exchange Commission implementing shareholder voting procedures on executive compensation packages will largely exclude lower-level employee bonuses, including derivative traders who on occasion make more than their executive bosses, according to lawyers in New York.

The South Korean Financial Services Commission plans to enhance regulation on some aspects of over-the-counter and listed derivatives next year, including margin requirements, according to its recently-released 2011 Financial Policy Agenda.

Mandating daily portfolio reconciliation on swaps between financial entities would not raise costs for swap dealers and major swap participants, according to staff members from the Commodity Futures Trading Commission.

Ratings of interest rate swaps in hybrid adjustable rate mortgage bonds may die off in the next couple of years as the hedging mismatch between the underlying loans and the securities expires.

Securities and futures regulators should make it clear that annuities and other insurance contracts are not swaps and, therefore, not subject to being regulated as such, according to the Committee of Annuity Insurers.

The Royal Bank of Scotland has hired David Stuff, head of JPMorgan’s U.K. structured product sales team in London, as a director within its multi-asset structured product sales team, also in London.

The Depository Trust & Clearing Corporation is working on expanding its automated cash flow matching and netting service for over-the-counter equity derivatives to non-dealers.

Structured products linked to the consumer price index are likely to become an attractive alternative to U.S. Treasuries over the next few weeks, according to structured product officials.

Morgan Stanley strategists are recommending worst-of baskets on Asia ex-Japan energy and material stocks as a cheap hedge against inflation risk in the first half of 2011.

Malaysia will continue to tighten over-the-counter derivative regulation and investor protection measures for structured products in the coming decade, according to Tan Sri Zarinah Anwar, chairman of the Malaysia Securities Commission.