Search results for

Cheyne Capital Management, a convertible bond and collateralized debt obligation fund manager with USD8 billion under management, has hired George Spentos, credit derivatives trader at Nomura International in London, as a portfolio manager in London. Spentos will report to John Weiss and David Peacock, portfolio managers at Cheyne in London. Weiss and Peacock joined Cheyne in March last year from Goldman Sachs with plans to launch a series of managed CDOs (DW, 3/25). Peacock confirmed the hire and said the firm is actively recruiting portfolio managers but declined further comment. Spentos has not yet started at Cheyne and could not be reached.

The correlation between credit-default swaps and out-of-the-money equity puts has started to decouple over the past three months and derivatives houses, including Goldman Sachs and JPMorgan, have begun pitching trades to investors to take advantage of this market change. Several convertible arbitrage hedge funds, such as one of KBC Alternative Investment Management's funds, have started using out-of-the-money equity puts as a less expensive alternative to credit-default swaps when hedging the credit risk in convertible bonds (DW, 1/5).

The likely demerger of Six Continents has highlighted a hole in the International Swaps and Derivatives Association's 2003 credit derivatives definitions and lawyers are calling for the association to start work on a supplement. Derivatives professionals want to clarify the successor language so that when a company changes its corporate structure the transfer of obligations includes debt that is refinanced, and not just shifted around.

The cost of one-month dollar/yen options rose at the beginning of last week as the yen strengthened against the dollar to JPY117. Implied volatility rose to 12% on Monday, up from 10% the previous Friday, in reaction to the weakening dollar. There was strong customer interest for buying dollar puts/yen calls in a variety of maturities, with strikes in the range of JPY112-115, traders said. Implied vol had begun to rise the previous week as the yen strengthened from JPY120.5 early in the week.

Dresdner Kleinwort Wasserstein has hired Sergio Solorzano, CDO structurer at Credit Suisse First Boston in London, as v.p. in CDO structuring. He started last week and reports to Jeremy Vice and Darren Smith, co-heads of CDOs in London. Vice said Solorzano will structure both cash and synthetic deals.

Leading derivatives houses, including JPMorgan, Goldman Sachs, and Citibank, have set a date to start using the new equity derivatives definitions in an attempt to avert legal and basis risk stemming from a chaotic switchover if firms started using the documents at different times. In a meeting organized by JPMorgan, 16 firms agreed to start using the new International Swaps and Derivatives Association definitions on May 1.

Five-year credit-default swap spreads on Ford Motor Credit jumped to 415 basis points Wednesday, after trading at 385bps the previous week, according to a New York-based trader. Large sell offs in the equity market beginning Feb. 21 forced a general widening of credit spreads, after experiencing a tightening trend the week before on the back of lowered volatility indices and a seemingly less imminent war in Iraq. Ford traditionally underperforms the overall credit-default swap market, being among the first names to widen when spreads move out, and the last to move in when they rally, he noted.

Andrew Constan, global head of equity derivatives at Salomon Smith Barney in New York and a 15-year veteran, is leaving the firm after just 18 months in the top spot. "I am leaving on the best of terms," said Constan, adding that the decision was motivated by a desire for change. Joe Elmlinger, global head of sales and structuring in equity derivatives, will take over the head role.

General Motors Acceptance Corp. has issued what is believed to the first Dutch residential-mortgage backed securities deal, in which the interest-rate risk is hedged. In this EUR400 million (USD430.74 million) securitization the special purpose vehicle has entered an interest-rate swap with Citigroup, in which it pays the fixed rate it gets from the portfolio of mortgages and receives three-month Euribor, the rate it needs to pay on the notes. In previous transactions the issuer has had to hold the risk of interest rates falling and homeowners refinancing their mortgages, which is also known as prepayment risk.

Goldman Sachs has reconfigured its London-based collateralized debt obligation group. The firm has split its synthetic and cash CDO teams and brought the cash business into the same group with principal finance and securitization, according to an industry official. The synthetic CDO group is now a stand-alone entity.

Napier Scott has published a remuneration survey of credit derivatives traders and structurers. Managing directors of synthetic structuring in Asia are the biggest earners, netting around GBP1.35 million (USD2.13 million), while their poorer New York colleagues get GBP1.1 million. See below for the full matrix from associate upwards.