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Meridian Management is using new cash and the sale of some Treasuries and agencies to capture spreads on investment-grade corporates that are at historical wides. Pat Moon, a managing principal for $100 million in taxable-fixed income, says the last 18 months have provided a unique opportunity to buy corporates that have undergone spread-widening amid concern about slower economic growth. He recently purchased several million dollars of Baa3/BBB rated Dana Corp.'s 63/4% notes of 3/1/04, whose wide spread, currently about 580 basis points over comparable Treasuries, Moon attributes to wider concern about a downturn in the auto parts industry and their exposure to liability for using asbestos in some of their brake pads. "Our feeling is their exposure is minimal," he adds.

Lyon Street Advisors has sold about $200 million worth of investment-grade corporates over the past six weeks to buy agencies and Treasuries, thereby locking in the profits from the January rally. Mitchell Stapley, who manages $2 billion for the Grand Rapids, Mich.-based firm sold its lower rated investment-grade paper, but is still overweight after adding corporates in November and December. Stapley sold PotashCorp 71Ž8% notes of '07 (Baa2/BBB), Citibank 75Ž8% notes of '36 (Aa2/AA-), and Ford 7.45% notes of '31 (A2/A), and bought the safer Treasuries and bullet agencies with durations of seven to 10 years.

Adrian Hyde, managing director and co-head of credit derivatives trading at Chase Manhattan in New York, has left J.P. Morgan, under which most credit derivatives activity from Chase has been subsumed following the merger between the two firms. "I'm assessing my options now," he said, noting that he's looking to stay in credit derivatives.

Institutional investors last week clamored in vain to buy at-the-money puts on shares of Deutsche Börse, which sold shares via an initial public offering a week ago. Cosme Osborne, equity derivatives trader at Citibank in Frankfurt, said the bank declined brokers' requests to sell puts on the stock because there is not yet a listed market on which it can hedge out the risk. Stock options are typically listed on the Eurex a month after an IPO.

Mike Koegler, v.p. derivatives marketing to financial institutions at J.P. Morgan, has taken the new position of managing director, in derivatives marketing to financial institutions at Bear Stearns in New York. Peter Croncota, senior managing director and global head of fixed income and credit derivatives marketing at Bear Stearns in New York, said "Mike is the kind of guy you hire when he's available." He added that the bank's institutional client base is steadily growing, and Koegler will ensure quality coverage. Koegler markets fixed income, credit, and equity derivatives, but historically has focused on interest-rate products. Going forward he will work with all three areas.

Banc of America Securities has hired Alan Grumet, v.p., corporate equity derivatives marketing at J.P. Morgan in New York, in the new position of principal, structured products. Trained as a lawyer, Grumet has done extensive work with tax and accounting products. The bank hired him because clients always demand new structures, said Chris Innes, managing director and global head of marketing for equity financial products in New York. "We would have hired him last year, if we could have," conceded Innes. Grumet reports to Innes and Trevor Ganshaw head of convertible capital markets.BofA Securities was attractive because of its client platform, depth of corporate relationships, and quality of talent already on the team, said Grumet.

Banc of America Securities has hired a five-strong group of proprietary risk arbitrage traders from RBC Dominion Securities in New York. The group, headed by Jeremy Frommer, director at RBC, joined BofA earlier this month, according to a spokeswoman for BofA Securities. Frommer referred calls to Van Nguyen, managing director and global head of equity derivatives trading at BofA in New York. Nguyen declined comment.

Copulas are an innovative tool in finance to separate marginal distributions, for example of single asset returns, from their dependence structure in modelling multivariate distributions. In principle this allows for the whole variety of univariate distributions that have been developed and introduced into finance in recent years, for example, heavy-tailed distributions, to be used as marginals. Merging the marginals and describing co-movements is left to the copula. Dependence structures expressed by copulas are not fully determined by linear correlation, as is the case with the multivariate normal distribution. Some classes of copulas additionally allow for capturing so-called tail dependence, describing, such as co-movements of asset returns conditional on one being (extremely) negative or positive. With this feature, copulas extend the notion of multivariate normals that is widely used for multi-dimensions, yet the complexity regarding parameters needed to describe certain copulas does not increase proportionately.

Deutsche Bank last week closed out a trade designed to profit from short-term increases in the Mexican peso versus the U.S. dollar. In the original trade, which clients were advised to put on about 10 days ago, the client bought a European-style two-month at-the-money-forward dollar put struck at MXN9.96 and sold a European-style dollar put struck at the spot level, MXN9.75. This cost the client about 1.1% of the dollar notional, said Christian Stracke, v.p., Latin American local markets strategist for Deutsche Bank in New York. The trade makes money as the Mexican peso appreciates against the dollar.

London eateryThe Rock Garden has entered what market professionals say is the first weather derivatives contract protecting a restaurant against an inclement spring. Stephen Doherty, director of Speedwell Weather Derivatives--which brokered the transaction--said this is the first deal of its type and signifies the expansion of weather derivatives out of the energy sector. In the deal Enron Nordic Energy sold the restaurant four call options to protect against an excess of cold days between March and June. Officials at Enron declined comment.

Charlotte, N.C.-based First Union is implementing Calypso Technology's straight-through processing system, to be used by its fixed income derivatives division. First Union wanted an IT framework with a front- to back-office capability allowing the firm to develop new financial products without affecting its efficiency, said Joe Belciglio, managing director of trading technology at First Union Capital Markets Services.