Derivs - People and Markets

Overall credit default swaps notional that was reported to swap data repositories last week increased by 4% from the previous week, according to data from the International Swaps and Derivatives Association. Overall interest rates derivatives trading that was reported, however, dropped by 12%.

The Royal Bank of Scotland has joined US-based futures exchange Eris Exchange to provide clearing services to clients globally.

The Royal Bank of Scotland has joined US-based futures exchange Eris Exchange to provide clearing services to clients globally.

Investors should consider volatility swaps should the correlation between euro/sterling and sterling/dollar turn positive, therefore widening the volatility spread between the two currency pairs. Sterling/dollar has recently been skewed to the upside, while euro/sterling has dropped since Bank of England governor Mark Carney threatened to hike interest rates earlier than the market expected; meaning the correlation between the two currency pairs has been strongly negative.

Maurice Nadjar-Primack, a managing director in emerging markets equity trading at Barclays in London, has left the firm.

Julien Raffelsbauer, ex-head of high yield, leveraged loans, special situations and distressed debt at BNP Paribas in London is joining HSBC in a senior credit trading role.

Tighter Chinese liquidity conditions backed a bid in short CNY swaps on Thursday. A continuation of this pressure is expected to drive flattening pressure across the 2s/5s slope into the end of the quarter. Meanwhile, Nomura has outlined a short-end CNH IRS trade idea, Moody's expects China's credit ratings to withstand the rebalancing challenge and the UK has tightened its CNY trading ties, writes Deirdre Yeung of Total Derivatives.

Tullett Prebon has launched an aggregated feed of swap data repository data for the interest rate swaps market, in a bid to increase price transparency by combining standardised post-trade data with pre-trade bids and offers.

Volatility risk premium strategies, such as volatility and correlation swaps, are becoming increasingly popular as investors look for alternative strategies to the over-crowded carry trade in the current low volatility environment.

ING has begun offering so-called sprinters based on the NL20 index, a total return index that reflects the real performance of the 20 largest listed companies in the Netherlands.

Alvise Munari, global head of equity derivatives sales at Morgan Stanley in London, and Pierre Mendelsohn, head of Asia equity derivatives distribution in Hong Kong, have both left the firm.

This week the People’s Bank of China (PBoC) released details of China’s latest monetary easing move, a targeted reduction in the reserve requirement ratio (RRR) for certain financial institutions, writes Maia Ririnui of Total Derivatives.