Derivs - People and Markets

Multiple central counterparties for clearing credit default swaps are not a good idea. That’s according to research from Darrell Duffie, a finance professor at Stanford University, and PhD student Haoxiang Zhu, who also argue central clearing of only one type of instrument will bring about severe challenges when netting off exposures.

The International Swaps and Derivatives Association has all but completed a set of protocols allowing counterparties currently using the close-out approach for early contract termination in the 1992 Master Agreement to be bound instead by the 2002 methodology.

JP Morgan’s head of equity derivatives and convertibles for Asia Pacific, Patrick Moisy, is reportedly set for a move to the firm’s London office.

Three managing directors in derivative sales for Goldman Sachs in Hong Kong have left the firm.

Six alumni from Citigroup have formed a start-up to advise Street firms on unsecured counterparty credit risk arising from over-the-counter derivatives. Down the track it plans to sell contingent credit default swap protection to dealers.

With options pricing so steep amid high volatility, call and put spreads are becoming increasingly popular with private wealth clients as a way to drive down costs.

Hedge funds are navigating over-the-counter options volatility by buying worst-of calls and best-of puts on equity indices, baskets of indices and hybrid baskets containing equity indices, interest rates, exchange-traded funds and commodities.

Royal Bank of Scotland has been marketing a strategy to high-net-worth investors that allocates capital into Chinese stocks in times of growth and into a market-neutral play during a downturn.

An alternative to central counterparties and split coupons for credit default swaps being floated by NetDelta, a subsidiary of Knight Capital Group, appears to be gaining traction among some Street firms.

Interdealer broker OTC Global Holdings wants to expand its newly launched trade execution platform, EOXLive, which went live Jan. 28 for energy products, into other areas.

A pair of Deutsche Bank equity derivative staffers recently left the firm in New York, one to start a boutique and one to join a rival bank.

Credit default swaps on the U.K. widened after the nation’s Office for National Statistics yesterday classified Lloyds Banking Group and the Royal Bank Of Scotland as public sector entities, shifting an estimated GBP1-1.5 trillion (USD1.44-2.16 billion) in liabilities to the British taxpayer.