Search results for

Credit default-swap spreads of London-based aluminum and steel-maker Corus Group tightened roughly 20 basis points last week as initial panic over U.S.-imposed steel tariffs died down slightly and the broader market moved tighter. Mid-market five-year protection was quoted at 400 basis points Thursday, about 20bps tighter than at the beginning of the week. Spreads had widened roughly 50bps the previous week on news of the steel tariff. "Initially the market tried to push it higher, but now it is basically trading flat to where it was [before the tariff was announced]," said one trader. However, he noted Corus and other European steelmakers have underperformed. "The general trend has been for credit to come in, but steel has effectively lagged whilst pretty much everything else--oil, retail, paper and tobacco--has all come in even more," another trader in London added.

James Parascandola, a credit derivatives trader at IntesaBci in New York, has left the firm, according to a firm official. Parascandola, who resigned from the firm about three weeks ago, reported to Paolo Josca, head of credit derivatives in New York.

Deutsche Bank has hired Danielle Merone, a fixed-income derivatives sales professional covering hedge funds at Credit Suisse First Boston, in a similar position in London. She left CSFB in the middle of last week, according to an official at the firm. Merone is on gardening leave and could not be reached.

Deutsche Bank's equity derivatives group in London is structuring a product that will allow discretionary account holders to take on exposure to a basket of listed and privately held water companies, in what is believed to be the first product of its kind. Shachi Shah, v.p. global equity derivatives in London, said the payout will be based on an index of water companies, which her department is currently drawing up. The firm expects to raise approximately EUR100 million (USD88 million) for the product when it goes live within three months. Shah declined all comment on how the product will be structured.

Deutsche Bank is preparing a USD5 billion balance sheet synthetic collateralized debt obligation that is expected to hit the market in May, according to a market official who is familiar with the deal. The product is being structured as a replacement for Deutsche Bank's 1999 Blue Stripe CDO, which has a three-year call that will mature in May.

SwapsWire, an electronic derivatives trading platform owned by 23 dealers, including Morgan Stanley,Credit Suisse First Boston andMerrill Lynch, is set to start brokering over-the-counter derivatives trades next week, according to interest-rate derivatives professionals. Henry Hunter, chief marketing officer at SwapsWire in London, said it has taken since the beginning of last year to develop the platform. Still, "in the realm of complex technology projects it's been a relatively short" gestation period, he added. He said the launch is imminent, but declined to give an exact date. Hunter said SwapsWire will help interest-rate derivatives dealers become more efficient. "We're not looking to significantly change the way business is done, we're looking to make it cheaper and less risky," he said, declining further comment.

One-week U.S. dollar/ Japanese yen implied volatility hovered around 11% Wednesday coming down from its high of 15% a week earlier as last week's surprise yen rally lost steam and investors bought dollar calls/yen puts. The majority of the positions were three-month options with strikes between JPY135 and JPY140. Spot was at JPY129.5 compared to JPY128.6 during the yen's rally a week earlier. Investment banks were the big players in the market. "The major currency pairs have been really subdued. People were taking up short positions and the front end of the curve has really flattened out," said one options trader in New York.

ADIG Investment, a German retail fund manager with EUR27.4 billion (USD24 billion) in assets under management, has structured a guaranteed equity-linked note using an equity put option as the guarantee. The five-year fund is referenced to a basket of global equity indices comprising equal amounts of the Standard & Poor's 500, Dow Jones Euro STOXX 50 and Topix, according to Thomas Heib, head of portfolio insurance in the financial engineering department in Frankfurt. The five-year notes are being targeted to retail investors. "A lot of investors suffered big losses in actively managed sector funds, so there is a trend to get back into the market and to not just bet on one horse but to have the whole market," he said. "The idea is to get investors back into the market" as the global economy appears poised to head higher.

Bear Stearns has hired Bill Bamber, senior v.p. of structured products at HSBC in New York, as an equity derivatives structurer at Bear Stearns in New York. During his stint at HSBC, Bamber reported to Russell Schreiber, fellow senior v.p. of structured products, according to Linda Stryker-Luftig, spokeswoman at HSBC.

The cost of 10-year sovereign Japan default protection surged roughly seven basis points wider to 60bps last week on the back of a string of downgrades by Moody's Investors Service and a subsequent flurry of trading activity. Among the more active players last week, Goldman Sachs turned heads after reportedly snapping up USD50 million in Japanese sovereign default swap protection, a transaction that is approximately five times the average size of a single trade. "You don't have to buy that much of Japan to make it move," said a trader in London. Another in Tokyo added that daily volume for the 10-year doubled to roughly USD100 million per day Tuesday and Wednesday.

Kansai Electric Power Co. and Kyushu Electric Power Co. are separately considering entering their first weather derivatives contracts to hedge against a cold summer reducing the revenue they generate from powering air conditioning units, according to officials familiar with the companies' plans.

HypoVereinsbank has structured an innovative EUR1.6 billion (USD1.4 billion) synthetic collateralized loan obligation that offers investors exposure to medium-sized German corporates, according to an official at the bank in Munich. The deal contains a static pool of loans, differentiating it from the only other securitization Hypo has done under the Promise banner with German state-owned bank KFW. That deal, as well as all the other Promise deals KFW has been part of in the last two years, had revolving pools of loans. The official said the static pool was used for economic reasons but declined to quantify any cost benefit.