Search results for

Banc of America Securities has hired two structured credit sales directors in its New York office. Sean Rice, director in credit structuring and marketing at BNP Paribas in New York, has joined with responsibility for financial institutions and hedge funds, while Justin Dash, who joined from Morgan Stanley, is responsible for sales to asset management firms as well as syndicating newly issued credit transactions, according to Jeff Hershberger, spokesman in Charlotte, N.C.

Credit events on synthetic collateralized debt obligations referenced to asset-backed securities are starting to become more standard as rating agency models have gotten more sophisticated. Crédit Agricole Indosuez tweaked the credit triggers on its latest deal, TRIPLAS 2, to fit Moody's Investors Service's methodology, according to a CAI official.

Deutsche Bank has hired David Greenberg, a corporate derivatives marketer at JPMorgan in New York, as a director in corporate fixed income derivatives marketing. Greenberg reports to Raj Bhattacharyya, managing director and head of corporate fixed income derivatives marketing for North America, according to Harriet Benson, spokeswoman in New York. Greenberg did not return calls and Bhattacharyya declined comment.

Eric Langille, senior managing director and co-head of New York credit derivatives trading at Bear Stearns, has left the firm. It could not be determined whether Langille, who could not be reached, has joined a competitor. Martin St. Pierre, senior managing director and co-head of New York credit derivatives trading alongside Langille, was traveling and could not be reached. Michele Agostinho, spokeswoman at Bear Stearns in New York, declined comment.

Credit-default swaps without the restructuring credit event trigger have rocketed in popularity since the 2003 International Swaps and Derivatives Association's credit derivatives definitions came into effect. These contracts, which only pay out if the reference entity fails to pay an obligation or enters bankruptcy, now account for around a third of the volume, according to traders.

Credit-default protection on Duke Capital, the intermediate holding company of Duke Energy, widened 25 basis points last Wednesday following market disappointment over the corporate's second quarter earnings announcement. Five-year protection on the name moved out to 166bps, from 145bps where it had traded seven days before, said a New York-based trader. "Duke's earnings only missed its target by a little, but the sentiment was that their earnings call didn't go well," he explained.

Dresdner Kleinwort Wasserstein has hired Chiaki Yoshiga, equity derivatives marketer at Goldman Sachs in Tokyo, as head of sales trading in Tokyo. The position is largely a sales role, but Yoshiga also executes the trades. He covers both cash and derivatives instruments. Yoshiga said he is looking to build the business and potentially hire additional staff in the coming months. He replaces Takamasa Endo, who could not be reached.

Passive hedging of currency exposure of non-domestic equity portfolios can be problematic because of fluctuations in the net asset value of the portfolio itself. The purpose of electing a passive hedging strategy is to eliminate currency risk. However, the portfolio volatility will continuously create a mismatch with the forward contracts that the manager has put in place to hedge portfolio currency risk. In practice, the impact from this can be significant. For example a sterling-based client investing into MSCI Europe and adjusting currency hedges quarterly could have lost a total of 8% in performance since 1988.

The greenback's appreciation against all the major currencies sent one-week euro/yen implied volatility jumping almost a full percentage point to 10% on Thursday from 9.25%. Over the week, the euro fell against the dollar to USD1.1225 from USD1.155 and the dollar appreciated against the yen to JPY120.54 from JPY119.43. As a result the euro weakened against the yen over the week. Euro/yen was trading at JPY137.75 at the beginning of the week but declined to JPY135.5 by the end.

Many corporate treasurers kicking back on summer vacation are missing out on the chance to snap up cheap floating rate financing due to widening swap spreads. As mortgage companies have found themselves with huge amounts of surplus cash due to the record mortgage refinancing volume in May they have dashed en masse to the interest rate swap market to put the cash to use, causing swap spreads to gap out, said Robert Gay, head of fixed income strategy at Commerzbank Securities. In the U.S. there is approximately USD6.2 trillion of mortgages outstanding, compared to the marketable U.S. Treasury bond market which sits at only USD4.5 trillion.

Joshua Siegel, co-head of credit structuring, and Matthew Mayers, structurer at Citigroup, plan to launch a hedge fund which invests in structured credit products, including synthetic collateralized debt obligations. The duo are forming a firm, dubbed Stone Castle Partners, which will run the fund, according to Siegel. He declined further comment. Mayers did not respond to messages.