Free content

Implied volatilities on the iTraxx indices are closing in after mushrooming almost 20% in the past month, but the sharp moves in vols have failed to attract players into credit options.

Nam Ho Lee, former v.p. and fixed income trader at Morgan Stanley in Seoul, has set up an investment firm in Korea which may employ over-the-counter equity products down the road.

PIMCO Europe is gearing up to manage its first syndicated synthetic collateralized debt obligation referencing investment-grade corporates.

Structurers are looking to lever super-senior tranches of synthetic asset-backed securities, panelists said.

Transparent pricing is needed to create a liquid ABCDS market in Europe, according to panelists.

The Royal Bank of Scotland has boosted its Japanese fixed income business with two senior hires in new positions.

The Royal Bank of Scotland has hired Priscilla Lau, a collateralized debt obligation structurer at CIBC World Markets in London, for a similar role.

Following on from last week's Learning Curve discussing the basics of swap provider diclosure under Regulation AB, part two delves into timing and indemnification issues.

A revised template of the cash or physical settlement for CDS on ABS, otherwise known as the European template, has been designed to replace the "disliked and unworkable" original version, said speakers.

Although there was talk of doom and gloom in the European ABCDS market, Ganesh Rajendra, managing director and head of securitization research at Deutsche Bank in London, said his firm's U.S. desk is trading multi-billion volumes of single-name CDS on ABS and ABX index product every month.

--Nam Ho Lee, former v.p. and fixed income trader at Morgan Stanley in Seoul, on why his newly launched investment firm VNS Investment Advisors may use OTC equity derivatives.

Morgan Stanley and Tricadia CDO Management have priced a USD400 million synthetic collateralized debt obligation squared, using credit-default swaps to reference collateralized loan obligations and CDOs of asset-backed securities.