Search results for

The African Development Bank has entered an interest rate swap on a recent CHF300 million (USD226.1 million) bond to convert it into a floating rate liability. Thiebaut Julin, manager of the capital markets division in Paris, said the agency always enters interest rate swaps on its fixed-rate debt offerings because it has a policy to maintain floating-rate liability exposure. In the swap, ADB pays LIBOR minus a spread and receives the 1.5% coupon on the bond. The tenure of the swap matches the bond's five-year maturity, Julin noted.

Barclays Capital has hired Ed Somekh, senior managing director and marketer at Bear Stearns in New York, for a senior derivatives role. Linda Wynns, spokeswoman at Barclays in New York, confirmed the hire, but declined further comment.

Seoul-based Korea First Bank, with assets totaling over USD32.2 billion, plans to set up an interest rate derivatives trading book in the second half of this year. Jin Hang Lee, treasurer, said while the bank currently offers interest rate derivatives to its clients, these are hedged back-to-back transactions, and it wants to establish a proprietary book to trade swaps and options. "We'll start with simple swaps at first and then move to the next level," said Lee. He expects the board of directors to rubber stamp the plans by the second quarter. The existing trading team will handle the duties but Lee said as the operation grows he will consider adding more traders.

Citigroup has combined its emerging markets credit derivatives operations, which have traditionally operated separately within the group's corporate and investment bank and Citigroup International. Sumit Roy, global head of credit derivatives in New York, will head the new group in addition to his existing responsibilities. There will not be other management changes, according to Roy. Citigroup International is a separate division within Citigroup, which works across all products areas on a global basis.

AXA Investment Managers is planning to structure its first emerging market collateralized debt obligation in the coming months. The CDO, dubbed Symphony in continuation of a musical theme started with its Jazz transaction last year, is likely to be a hybrid synthetic and cash deal of around USD300 million, according to an official familiar with the transaction. The European asset manager has teamed up with Morgan Stanley to structure the 12-year deal. Officials at Morgan Stanley and AXA Investment Managers declined comment.

Derivatives houses, reportedly including Citibank, Deutsche Bank and BNP Paribas, have built up millions of dollars of mark-to-market losses on cross-currency interest rate swap positions in Korea. The value of the positions plummeted after the spread between cross-currency interest rate swaps and domestic swaps widened because Moody's Investors Service downgraded its outlook on the sovereign's A3 rating. One head of swaps at a U.S. firm in Seoul estimated most foreign firms have suffered mark-to-market losses of USD3-10 million in the last few weeks. Richard Tesvich, spokesman at Citibank, Anastasia Chye, spokeswoman at Deutsche Bank, and Virginie Ourceyre, spokeswoman at BNP Paribas, declined comment on the swap positions.

One-week euro/dollar implied volatility shot to 11.7% Thursday morning from 10.1%-10.6% Monday as traders bought euro puts/dollar calls. Traders said a slew of trades were executed at strikes of USD1.09 as well as a yard of options struck at USD1.0875 that traded on Wednesday. The bulk of the options were bought when spot was between USD1.10-1.15.

Neil Mason, European head of interest rate trading at Bank of America in London, resigned from the firm last week. Rob Kitchen and Larry Weithers, interest rate swap traders in London, also left the bank. Reasons for the departures could not be determined by press time. A spokewoman at BofA declined comment.

Derivatives houses, including ABN AMRO and Barclays Capital, and end users are starting to insist on putting collateral behind derivatives transactions in a move that could make derivatives more expensive for smaller institutions and end users. It will penalize the small institutions because they often do not have collateral management systems that allow them to invest collateral that banks post with them.

HFR Group, a Chicago-based hedge fund research firm and asset manager, plans to launch a series of investable global hedge fund indices and is in negotiations with around five banks, including Dresdner Kleinwort Wasserstein and Rabobank, to provide structured products referenced to the indices. "It's a very big move," said an individual familiar with the fund derivatives industry. As more investors move capital into hedge funds there is a race to develop hedge fund benchmarks and products structured on them, according to bankers. So far, Standard & Poor's is believed to have the only global investable hedge fund index and BNP Paribas is in the process of structuring derivatives, including principal-protected notes and hedge fund linked swaps and options, referenced to the index. Louise Beeson, spokeswoman at DrKW, and Henrietta Hirst, spokeswoman for HFR in London, declined comment.

HSBC Securities has hired Craig Martone, managing director in interest rate sales at Morgan Stanley, for a senior fixed income role in New York. Martone will head up the firm's interest rate activity in the U.S., comprising interest rate sales, agencies and swaps, according to an official familiar with the position.

Barclays Capital has hired Jaime Astarloa, deputy head of derivatives sales for corporates in Spain at JPMorgan, as a director in its corporate risk advisory group in London, also covering Spain. Astarloa will report to Stephen Jones, head of European corporate derivatives marketing in London. Astarloa will be part of a team that markets debt capital markets products as well as all derivatives products to corporates. Jones confirmed the hire and said Astarloa is not replacing anyone, but the firm is adding to the team opportunistically to expand its sales reach further into continental Europe. Astarloa has not yet started and could not be reached.