Derivs - People and Markets

Wenbo Zhao, managing director of fixed income institutional sales for China at Goldman Sachs, had intended to resign last week but according to insiders was persuaded to stay on.

Citigroup has started pitching long equity plays to retail and institutional buyers in Asia using a dynamic allocation mechanism that leverages exposure to index performance when volatility is low and reduces exposure when volatility rises.

A Determinations Committee for loan-only credit default swaps is in the offing as the format for deciding which events trigger derivative contracts is expanded beyond corporate CDS.

An unidentified buyer built a USD1 billion one-month call on the U.S. dollar against the yen yesterday with an out-of-the money strike of JPY100. It caught traders’ attention as the position was built through the morning. Spot was trading at JPY95. The buyer was able to build much of the position with implied volatility below 14%, but implied vol began to climb as the notional grew.

Marjorie Hogan, who started the mortgage derivatives desk at Bear Stearns, has surfaced at New York volatility trading firm Capstone Holdings, where she recently began trading. As senior portfolio manager at Capstone Credit Advisors—a new unit—she is overseeing the firm’s expansion into credit.

Eric Van Bergen, an investment manager in Citigroup’s London structured credit group, has left the firm for a position at Dutch firm SNS Asset Management.

Olympia Capital Management plans to launch a credit-focused fund of funds before the end of September—the USD3 billion firm’s first fund dedicated solely to the asset class.

Calyon has lost a series of fx derivatives professionals in Asia in recent weeks.

Morgan Stanley is continuing to expand its fx sales team in New York, adding three senior fx staffers. From JPMorgan come David Zakaiem, a director, and David Rosenberg, a v.p.; and from Citigroup comes Kristen Fanarakis, a v.p.

The Securities and Exchange Commission is close to hiring a slew of derivatives professionals as part of the industry fellows program it announced in April.

The final draft of proposed derivatives legislation from the Obama administration—due out later this week—is not expected to crack down on naked credit default swaps, positions that are unhedged by the underlying credit.

Joel Telpner, a partner specializing in derivatives at law firm Mayer Brown in New York, has left the firm to join Jones Day, where he started Monday as a partner in the banking and finance practice.