Search results for

The International Swaps and Derivatives Association is preparing to launch in the coming weeks a daily Hong Kong dollar interest-rate swap fix that would act as the benchmark for all derivatives transactions longer than one year. The move is expected to boost volumes and aid the development of more sophisticated interest-rate instruments, such as constant-maturity swaps and cash-settled swaptions. Angela Papesch, head of ISDA's Asia-Pacific office in Singapore, said, it is looking to go live around June 25. The association will conduct a daily poll of 16 firms to determine the floating rate they offer counterparties rated single A and above on swaps with maturities of one through five, seven, and 10 years, she explained.

WestLB is prepping its first two synthetic arbitrage CDOs, which it plans to begin marketing late this month or early next. The first of the two will be managed and the second will be static, according to Janet Tavakoli, executive director in credit derivatives in London. The deals are being driven by customer demand, she said.

Different regulation for securitized equity products throughout Europe has hindered the development of the sector and ensured a prominent role for the lawyers, according to Johan Grootheart, managing director and global head of structured product sales and origination at Deutsche Bankin London.

Merrill Lynch has hired Peter Buettner, director and co-head of the correlation group at Deutsche Bank in London, as a director in exotic credit derivatives trading. Buettner, who started last week, reports to Neil Walker, head of credit derivatives trading in London, according to Walker.

Morgan Stanley is reshuffling its investment-grade and emerging market credit derivatives trading teams to meet increasing volumes and better grasp a deteriorating credit environment. Robert Breden, who had run the synthetic emerging market book from London, is in the process of moving to Tokyo where he will be co-head of Japanese and Asian credit derivatives trading with Richard Thomas. Nick Riley, who had been head of credit derivatives trading for Europe, Middle East & Africa in London, said he starts this week in Breden's old role, but will be based in New York. Breden and Thomas were out of the office and unavailable for comment.

Merrill Lynch is reorganizing its London cash and derivatives credit trading teams along industry lines and expects to mimic the reorganization in New York and Asia in the coming months. Merrill is initiating the reorganization now to take advantage of potential pricing discrepancies between various cash and derivative credit instruments, according to Dale Lattanzio, managing director and head of European high-grade and credit derivatives trading in London. The move reflects greater liquidity in credit-default swaps, meaning that demand for default swaps is now moving in lock step with demand for cash bonds.

Salomon Smith Barney is adding an offshore equity derivatives trading desk for India to its Hong Kong office and Morgan Stanley is looking at setting up a similar operation. Salomon's desk will offer market-access products, which give offshore players participation in onshore products via over-the-counter transactions, targeting such instruments as forwards, equity options and swaps as well as proprietary and customer strategies for India, according to Justin Kennedy, managing director of Asia Pacific equity derivatives in Hong Kong.

National Australia Bank in London has hired Peter Rothwell, credit trader at Deutsche Bank Australia in Sydney, and has transferred Hulya Yilmaz, manager in securitization, from NAB's Sydney office.Yilmaz and Rothwell were unavailable for comment.

The cost of one-month U.S. dollar/euro options rose last week as the dollar sank to USD0.945 Wednesday, its lowest level against the common currency in 17 months. Implied volatility rose to 9.9% late Wednesday from 9.5% at the start of the week, according to options traders in New York. A weaker dollar tends to lead to higher volatility. They said continued declines in the U.S. equity markets are causing weakness in the dollar. "There's a lack of capital inflow as a result and given the fact that the dollar is a deficit currency, you need money coming in for the dollar's value to remain high," noted one trader. He and others reported strong buying interest in one- and three-month euro calls/dollar puts with strikes ranging from USD0.95 to parity. The euro's run pushed 25-delta risk reversals further in favor of euro calls at 0.9 vol, up from 0.8 vol at the beginning of the week.

Recent months have heralded change on many fronts for the derivatives industry in Germany. New legislation and supervisory regulations and directives together with recent judicial decisions and developments in the fields of tax and accounting spell a time of opportunity and new challenges for market participants.

"This is a pretty big restructuring."--Nick Riley, head of credit derivatives trading for Europe, Middle East and Africa at Morgan Stanley in London, talking about a reorganization of the firm's credit derivatives department. For complete story, click here.

WestLB is reorganizing the structure of its global asset securitization, principal finance and credit derivatives group, and John Paul Garber, managing director and head of the group, is leaving the firm. Garber has been with the firm for 11 years, four of which were spent in London and the remainder in New York, according to an individual familiar with the situation. Garber does not have concrete plans for what he will do next. Garber and John Godfrey, spokesman for WestLB, declined comment.