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Derivatives Week Learning Curves

  • Hedging Against The CLO Reg Cap Cliff

    The credit crunch has focused a lot of attention on bank capital ratios. With recent large write-downs in asset values, the implementation of Basel II's risk based capital requirements and the possible introduction of further changes following the Basel Committee's December consultation paper, banks face the prospect of holding increasing levels of regulatory capital as the assets they own deteriorate in both credit and rating quality.

  • Equity Structured Products And The Market For Index Correlation Part II

    This is Part II of a two-part Learning Curve on equity index correlation. Part I, which appeared last week, explained how many retail structured products are long correlation. Part II begins with another example of a worst-of product that is long correlation, the daily range accrual note, and concludes with a section on outperformance options and the market for equity correlation.

Previously in Derivatives Week

  • CME/Citadel Restructure JV

    The joint clearing venture between CME Group and Citadel Investment Group has been restructured to focus solely on clearing, shelving the Citadel-led electronic execution platform for credit default swaps trading, CMDX.

  • Hawaiian Fund Lands More Ex-B of A Traders

    Olivier Droulers, a former head of index flow trading at Bank of America Merrill Lynch in London, and Emmanuel Slezack, who took over when Droulers was made redundant in March, have joined Hawaiian hedge fund Evolution Capital Management.

  • Barclays Restructures USD12.3B In Toxic Assets

    Barclays Capital is restructuring USD12.3 billion of structured credit assets through a sale to Protium Finance, a newly created Cayman Islands fund. Protium will pay C12 Capital Management—a new management company led by Stephen King, former head of Barclays’ principal mortgage trading group, and Michael Keeley, member of Barclays’ management committee covering European financial institutions—USD40 million a year to manage the assets.

  • Meteor Offers Dual-Linked Structure

    London-based Meteor Asset Management today launched what it calls its Prima Platinum Plan, a five-year investment with returns linked to the FTSE100 and the S&P500.

  • Indonesian Master Translation On Deck

    The International Swaps and Derivatives Association has commissioned a Bahasa translation of the 2002 ISDA Master Agreement.

  • Calif. AG To Investigate Credit Raters

    Edmund Brown, the attorney general of the state of California, has announced the launch of an investigation into the role credit-rating firms may have played in the current crisis.

  • Citi Looks To Unload Smith Barney Stake

    Citigroup is looking to get rid of its 49% stake in the Morgan Stanley Smith Barney joint venture, according to Vikram Pandit, Citi’s ceo.

  • Lawmaker Looks To Expedite Lehman Claims

    Rep. Gregory Meeks (D-N.Y.) is spearheading an effort to speed up the settlement of claims by Lehman Brothers creditors.

  • ICE In Pact To Automate OTC Trading

    IntercontinentalExchange and ConvergeEx have entered into an agreement that will integrate ConvergeEx’s order management system with the ICE’s platform for over-the-counter derivative trading.

  • BIS Backs Standardized OTCs

    The Basel Committee on Banking Supervision has thrown its support behind the standardization of derivatives as a way of using risk-mitigation techniques to reduce systemic risk.

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One Year Ago

    One Year Ago In Derivatives Week

    Five-year credit-default swap spreads on Bank of America gapped out to a new high of 217.5 basis points amid fears that the bank would be nationalized. [The worries proved unfounded. In December, the bank paid back the USD45 billion it had received from the Troubled Asset Relief Program. At press time, five-year CDS on the bank were at 131.1bp, tighter than that of Goldman Sachs at 133.1bp, according to CMA DataVision.]

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