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HSBC Investment Management intends to trade U.S. Treasuries opportunistically as a mixture of U.S. economic data creates opportunities in the market. Tim Sullivan, London-based senior director of global fixed income, and responsible for £2.2 billion in assets, says the U.S. "keeps coming out with some curious data, creating chances to put on trades."

Jack DiMaio, head of fixed income for North America at Credit Suisse First Boston, is moving to sister outfit Credit Suisse Asset Management (CSAM) to take a senior global position. One CSFB insider noted that while the exact role has not yet been finalized, DiMaio is tipped to fill the vacant position of global ceo, reporting into Jeffrey Peek, vice chairman of CSFB. DiMaio declined comment, while Peek did not return calls left with his assistant.

The Credit Risk Mitigation subcommittee of the Basel Committee on Banking Supervision has said it will recommended that restructuring is not required as a definition of a credit event in credit-default swaps in order for the buyer to get regulatory capital relief, except where the protection buyer has no control over restructuring events. Robert Pickel, ceo at the International Swaps and Derivatives Association in New York, welcomed the move saying the decision demonstrates more latitude on the issue than Basel has previously shown. He noted, however, that the final say on the matter rests with the Basel committee.

Susquehanna Investment Group, one of the largest options trading firms in the U.S., has recruited Bob Gillis, director and trader in the New York portfolio trading and sales trading team at Merrill Lynch, said an official familiar with his plans. Gillis could not be reached. Kelli Crudo, spokeswoman at Susquehanna, confirmed the appointment, but declined further comment.

A threshold structure is an intuitively appealing alternative to standard equity put options for creating a guarantee. An investor defines a target asset that needs downside protection. This target asset is often an equity index but it could also be a pool of hedge funds or almost any other type of investment that can be traded. Downside protection is achieved by systematically rebalancing the investor's portfolio into a security that will mature at some desired threshold level (e.g. the zero coupon bond) whenever the portfolio declines in value relative to that threshold. If the target asset rises in value, all else being equal, then funds are rebalanced out of the bond back into the target asset in order to maximize upside participation.

Banc of America Securities plans to make new hires for its New York-based equity derivatives trading operation, said officials familiar with the firm. It could not be determined whether the recruits will fill newly created positions or replace departed staffers. Jennifer DiClerico, spokeswoman at BofA in New York, did not return calls.

Credit Lyonnais is planning to hire a weather derivatives marketer in the first quarter and is interviewing candidates. The firm hired Peter Brewer, structurer in weather derivatives in London, from Aquila in May to build up its presence in the weather market, and because Credit Lyonnais has seen adequate demand for weather derivatives products, it would like to have a marketer dedicated solely to the effort, Brewer said. Currently the products are sold through marketers that sell a wide range of products, including weather derivatives.

An expected resurgence in mergers and acquisition activity in Australia this year will likely filter into over-the-counter equity derivatives, according to Aussie equity professionals. "Last year it was rather lackluster but it seems to be back on the radar," said one equity head. As the economic environment has stabilized after the shock of Sept. 11, corporates in Australia are again looking at M&A.

Credit derivatives traders and investors are awaiting the resolution of outstanding credit default swaps (CDS) on TXU Europe Group and market professionals say the outcome likely will set a precedent for how the CDS market responds to future bankruptcies. TXU Europe filed for bankruptcy in November but CDS contracts were written on TXU Europe Group.

Five-year credit protection on El Paso Corp. dramatically widened last Wednesday, blowing out to 1,250 basis points, from 1,000 bps where it had traded the previous week, said a New York-based trader. The move followed an announcement by the energy company last Wednesday of its intention to cut its dividend by as much as 82%, sell USD2.9 billion in assets and cut capital spending, the trader noted.

Fitch Ratings expects to change the ratings methodology it uses for collateralized debt obligations to bring it in line with the methodology it uses on n-to-default structures, according to Stefan Bund, senior director in London. The agency published a report on the importance of correlation in rating n-to-default products last week.

Euro/dollar risk reversals continued to favor euro calls/dollar puts last week, but interest in the risk reversal dropped last week as investors who were long euro calls took profits. Traders said the 25-delta risk reversal fell to 0.45% Thursday from 0.9% earlier in the week and implied volatility stayed in a range from 10.2-10.6%.