US asset manager Capstone Holdings has bought a portfolio of distressed derivatives from RV Capital, which last week ran into financial difficulties to become only the second market-maker to default on Liffe since merchant bank Barings 12 years ago.

Paul Britton, chief executive of Capstone, which specialises in a little-known hedge fund strategy called volatility arbitrage, said his firm had rescued the assets from a difficult situation. Capstone trades in equities, commodities, fixed income and money markets from New York and London.