Calyon is setting up a hybrid derivatives team in London and has appointed Stephane Amsellem, global head of non euro exotics in London, to spearhead the effort. Amsellem referred questions to Virginie Ourceyre, spokeswoman, who confirmed the move. Calyon is following in the footsteps of Deutsche Bank, Dresdner Kleinwort Wasserstein and ABN AMRO, which have all established similar businesses.
The hybrids group, which sits within the interest rates, currencies and commodities division, will structure products with interest rate, inflation, foreign exchange, commodity, equity and credit exposure, noted Ourceyre.
The aim of the group is to fuse products to create higher yielding instruments, but with less risk than taking on each asset separately. Bankers said this has to be done from one department because the component parts cannot be hedged separately. Amsellem's group will focus on derivatives in which the correlation between underlyings is the primary pricing component. Some correlation products, however, such as quantos will not be structured in this group because correlation is only a minor factor in pricing these derivatives.
In his capacity as head of trading for hybrid products, Amsellem reports to Benjamin Mellul, global head of exotics, interest rate options and arbitrage.
