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Goldman Sachs has reportedly let go Zar Amrolia, managing director and co-head of the firm's corporate derivatives marketing group in London. Amrolia was believed to have been told on Friday that he no longer had a job at Goldman, according to an individual familiar with the matter. Amrolia did not return a message left on his cell phone. Rebecca Nelson, spokeswoman in London, did not return calls by press time.

Merrill Lynch has hired Chris Ricciardi, head of U.S. CDO origination at Credit Suisse First Boston in New York, to head the firm's global CDO structuring and origination business. Merrill reportedly hired Ricciardi because Mac Taylor, managing director and head of global structured products in New York, will take control of more areas of the firm and wants to add another layer of management for the day-to-day running of the CDO business, according to a Merrill insider.

Banc of America Securities is readying a second synthetic securitization of residential mortgages after debuting its first such product last December, said BofA officials. The firm's first deal, dubbed RESI (Real Estate Synthetic Investments), is thought to be the first of its kind in the U.S. Jennifer DiClerico, spokeswoman in New York, did not return calls.

Jérome Camblain, senior managing director and European head of fixed income distribution and derivatives at Bear Stearns in London, will retire from the firm in late spring to spend more time with his family. Peter Albano, senior managing director and global head of emerging markets in New York, is moving to London to take Camblain's responsibilities.

Export Development Canada, a Canadian government-backed trade financier, has entered into foreign exchange swaps in order to convert non-U.S. dollar debt issues into greenbacks, as well as converting note sales from fixed-rate offerings into synthetic LIBOR-based floating rate liabilities. An official at EDC in Ottawa said the financing body swaps all non-U.S. dollar issues into the currency. Debt is issued in various currencies in order to ensure diversification in its debt portfolio, as well as to reach a broader array of investors. Capital raised from the debt issues is used to support Canadian exporters and investors internationally. Meanwhile, EDC typically converts fixed rate issues into LIBOR-based debt in order to match revenues with interest rate risk, said an official familiar with the firm.

Cheyne Capital Management, a convertible bond and collateralized debt obligation fund manager with USD8 billion under management, has hired George Spentos, credit derivatives trader at Nomura International in London, as a portfolio manager in London. Spentos will report to John Weiss and David Peacock, portfolio managers at Cheyne in London. Weiss and Peacock joined Cheyne in March last year from Goldman Sachs with plans to launch a series of managed CDOs (DW, 3/25). Peacock confirmed the hire and said the firm is actively recruiting portfolio managers but declined further comment. Spentos has not yet started at Cheyne and could not be reached.

The correlation between credit-default swaps and out-of-the-money equity puts has started to decouple over the past three months and derivatives houses, including Goldman Sachs and JPMorgan, have begun pitching trades to investors to take advantage of this market change. Several convertible arbitrage hedge funds, such as one of KBC Alternative Investment Management's funds, have started using out-of-the-money equity puts as a less expensive alternative to credit-default swaps when hedging the credit risk in convertible bonds (DW, 1/5).

The likely demerger of Six Continents has highlighted a hole in the International Swaps and Derivatives Association's 2003 credit derivatives definitions and lawyers are calling for the association to start work on a supplement. Derivatives professionals want to clarify the successor language so that when a company changes its corporate structure the transfer of obligations includes debt that is refinanced, and not just shifted around.

The cost of one-month dollar/yen options rose at the beginning of last week as the yen strengthened against the dollar to JPY117. Implied volatility rose to 12% on Monday, up from 10% the previous Friday, in reaction to the weakening dollar. There was strong customer interest for buying dollar puts/yen calls in a variety of maturities, with strikes in the range of JPY112-115, traders said. Implied vol had begun to rise the previous week as the yen strengthened from JPY120.5 early in the week.

Dresdner Kleinwort Wasserstein has hired Sergio Solorzano, CDO structurer at Credit Suisse First Boston in London, as v.p. in CDO structuring. He started last week and reports to Jeremy Vice and Darren Smith, co-heads of CDOs in London. Vice said Solorzano will structure both cash and synthetic deals.

Leading derivatives houses, including JPMorgan, Goldman Sachs, and Citibank, have set a date to start using the new equity derivatives definitions in an attempt to avert legal and basis risk stemming from a chaotic switchover if firms started using the documents at different times. In a meeting organized by JPMorgan, 16 firms agreed to start using the new International Swaps and Derivatives Association definitions on May 1.

Five-year credit-default swap spreads on Ford Motor Credit jumped to 415 basis points Wednesday, after trading at 385bps the previous week, according to a New York-based trader. Large sell offs in the equity market beginning Feb. 21 forced a general widening of credit spreads, after experiencing a tightening trend the week before on the back of lowered volatility indices and a seemingly less imminent war in Iraq. Ford traditionally underperforms the overall credit-default swap market, being among the first names to widen when spreads move out, and the last to move in when they rally, he noted.