Search results for

Colonial First State Investments, the fund management arm of the Commonwealth Bank of Australia with over AUD87 billion (USD48.9 billion) under management, is considering boosting its presence in the credit-default swap market next year as an alternative to cash bonds for its AUD1.3 billion credit fund. Tony Adams, senior portfolio manager of credit funds in Sydney, said credit derivatives currently account for about 15% of the firm's portfolio but they could account for up to 30%.

The cost of euro/dollar options jumped by just under one percentage point last Thursday as the European Central Bank cut its refinancing rate by 50 basis points to 2.75%. One-month implied volatility stood at 7.5% after the cut on Thursday, having crept up from 7.4% the day before, and 6.9% a week earlier, noted a trader in New York. The euro broke through parity with the currency pair finishing at USD1.01 Wednesday, before falling back just below parity Thursday morning.

Goldman Sachs has let go Paul Murray, a weather derivatives trader in London, less than a year after he joined the firm from Enron, where he was head of weather derivatives. Murray could not be reached. Calls to Stefan van Riet, an official in Goldman's J. Aron commodity trading division to whom Murray is thought to have reported, were referred to the press office. Calls to Goldman's press office in London were not returned.

Marcellus Fund, a hedge fund recently launched by Monument Securities, is considering using over-the-counter equity derivatives within a year. Grant Cullens, cio in London, said initially the European long-short equity fund will only use exchange-traded equity derivatives, but he will consider using sector-specific OTC derivatives as the assets it manages grow.

Five-year credit protection on Ford Motor Credit blew out by 15 basis points Wednesday, following the announcement of poor results the previous day. Five-year default swaps widened to 425 basis points, up from 410bps the previous week, said one trader.

Poste Italiane, the Italian postal service, plans to add yield to its investment portfolio next year by entering fresh agreements to sell credit protection when its current credit derivatives positions expire. The company first entered the credit derivatives market early this year by selling protection on bank names with a maximum contract length of 18 months to obtain extra yield, said Massimo Catasta, financial director in Rome.

JPMorgan is in the process of closing a USD1.7 billion private managed synthetic collateralized debt obligation in Asia. Mahesh Bulchandani, managing director and head of structured credit products in Tokyo, confirmed the deal and said, "This is the largest one in Asia."

Credit derivatives houses including JPMorgan and BNP Paribas expect to launch local Asian currency-denominated credit derivatives next year. "For Korea, Hong Kong and Singapore, the demand is there--it's really a matter of market makers being convinced there's enough depth in these markets," said Chris Nicholas, managing director and head of Asian credit markets at JPMorgan in Hong Kong. "I'd be very surprised if this didn't happen in certain jurisdictions," said Brian Lazell, Asia-Pacific head of credit markets at BNP in Hong Kong.

The Basel Committee on Banking Supervision has issued two working papers on securitizations, including synthetic securitizations, and has proposed minimum capital requirements for securitizations contained in Technical Guidance under the committee's "Quantitative Impact Study" ("QIS") 3. The second working paper ("WP2") and QIS 3 were released in October, and on Nov. 21, the committee issued a series of Frequently Asked Questions and responses regarding the revised capital standards for banks it proposed in January.

Société Générale is rewarding one of its brightest marketing stars with a new job in the Golden State where he will set up a fund derivatives office. Stanislas Debreu, global head of equity derivatives sales and marketing, who is considered one of the biggest names in the business, is swapping 16-hour days and gray winters in Paris for the blue skies of Los Angeles for personal reasons, according to an official. Debreu, who is partly responsible for putting SG in the top tier of equity derivatives houses, will market guaranteed funds and alternative investment products to West Coast investors when he relocates in January. Debreu declined comment.

Data recently presented by Standard & Poor's that contain wildly diverging actual recovery rates for defaults in collateralized debt obligations have left many credit derivatives professionals scratching their heads. The data show the U.S. dollar amount CDO investors were able to recover on corporate credits after the names had defaulted and highlight what some consider to be a deeply flawed mechanism for calculating recovery values.