Derivs - People and Markets

An age-old problem that traders have encountered when trying to price options across different points in time using volatility estimates may have a solution from a team working for Paris-based financial markets software company Murex, which will publish rather than sell the formula.

Buysiders bemoaned the pressure being heaped on them to clear their over-the-counter contracts, noting that while in principle they believe in the benefits, such as improved portability of trades, in practice it is proving costly and disruptive.

The slew of proposed regulatory reform bills are not as bad as they could have been for the derivatives industry. That was a noticeable sentiment yesterday as industry heavyweights gathered at the International Swaps and Derivatives Association’s 25th AGM in San Francisco.

Lukas Klein, head of single stock equity derivatives trading at Barclays Capital in London, has resigned.

Sharon Bowles, chair of the European Parliament’s influential Economic and Monetary Affairs Committee, backs the International Monetary Fund’s proposed global levies on non-banks in G20 countries.

The Hong Kong Securities and Futures Commission is set to largely brush aside pleas from the market for restraint on its proposals on unlisted retail structured product regulation.

Nomura plans to bulk up its fixed income, currency and commodities sales force in India.

The stark divide between regulators and major derivatives dealers was palpable this morning at the International Swaps and Derivatives Association’s annual meeting in San Francisco, when ISDA officials’ comments clashed with those of Neal Wolin, deputy secretary of the U.S. Treasury.

Five-year credit default swaps on Greece gapped out dramatically today to a record 601 basis points from a close of 485.7bp as it emerged that the level of the country’s debt was worse than first feared.

Basel III proposals to increase capital charges for counterparty credit risk could give rise to unregulated entities such as hedge funds becoming market makers in the over-the-counter derivatives market, according to a report by Standard & Poor’s.

The British Bankers’ Association has called for the Committee of European Securities Regulators to follow the U.K.’s lead on over-the-counter derivatives reporting.

Robert Popowski, the U.S. head of fixed income sales at Crédit Agricole Corporate & Investment Banking, formerly known as Calyon, has resigned.