Derivs - People and Markets

The International Swaps and Derivatives Association’s decision to hold an auction to determine the settlement price of credit default swaps referencing rescued mortgage lenders Fannie Mae and Freddie Mac could spark big losses for protection buyers.

RBC Capital Markets issued a five-year 100% principal-protected note last week linked to a basket of global blue-chip stock indices.

Andrew Ellner, an equity derivatives pro who set up a systematic trading business at Lehman Brothers and was previously a principal at Credit Suisse, has formed a new fund.

The new loan-only credit default swap awaiting approval from the International Swaps and Derivatives Association will not have a cancellation feature.

The Financial Accounting Standards Board is facing stiff opposition to its plans to change accounting for hedging activities.

Lyxor Asset Management is planning a push into the U.K. with its volatility funds.

Kratter Capital, an equity options hedge fund led by Clarium Capital alum Matt Kratter, is profiting from what it views as a market characterized by zig-zags in stock prices and high volatility.

Chetankumar Shah, head of credit trading for Asia ex-Japan at Deutsche Bank in Singapore, may be set to join former colleague Rajeev Misra, who is establishing a credit derivative hedge fund in London.

JPMorgan is planning a fund that will base a series of equity derivative trades globally off early signals of Chinese inflation.

Barclays Capital has added Daniel Weiner as an associate director of structured investment solutions in New York.

Credit events at monoline financial guarantors have the market buzzing about how well the mechanisms for settling credit default swaps referencing monolines will hold up.

Andreja Cobeljic, a senior index derivatives trader from Goldman Sachs in London, has joined hedge fund CQS.