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State Street Research & Management, with USD40 billion in assets under management, is working on a money-market eligible puttable note and is also considering selling credit protection referenced to asset-backed securities, its first such structures. Ron D'Vari, managing director and head of specialty products and structured finance in Boston, said the money market program will address market appetite for short-term money market structures as investors grapple to determine the direction of the economy. Recent corporate downgrades have eaten into the flow of AAA money market instruments, making this a good time to issue, he noted.

Crédit Agricole Indosuez is working on three synthetic collateralized debt obligations with equity tranches of around three times the normal size. The CDOs have first-loss tranches of 6%, according to Loic Fery, managing director and global head of credit derivatives and structures in London.

Nick Wood, managing director and co-head of the U.S. institutional equity derivatives sales group at Citigroup Global Markets in New York, has moved to Susquehanna International Group in a similar role. Wood reports jointly to Drew Milstein and Don Hart, co-heads of institutional sales in Bala Cynwyd, Pa., according to Kelli Crudo, spokeswoman in New York. In addition, Wood has a regional reporting line to Dave Silber, manager of the New York office.

Prominent derivative houses in Asia, including Credit Lyonnais, Deutsche Bank, HSBC and Merrill Lynch, are looking to join the list of firms entering the Chinese 'A' share equity market which recently opened to foreign investors. The market kick-started with Citigroup, Morgan Stanley, Nomura Securities and UBS (DW, 6/15) as well as Goldman Sachs (DW, 7/14) receiving the first batch of licenses. "The initial response has been phenomenal--we have received a lot of interest from a wide range of investors," said Justin Kennedy, managing director in Asia-Pacific equity derivatives at Citigroup in Hong Kong.

Deutsche Bank has structured what is thought to be a first-of-a-kind note with a guaranteed return and a maturity that fluctuates depending on underlying interest rates. The concept, dubbed Target Redemption Note or TARN, can be used for any type of investment strategy but the most popular form is proving to be around an inverse floating rate note, according to Rashid Zuberi, director in interest rate derivatives in London.

One-month implied volatility on euro/dollar options worked its way back to last week's level of 9.9% Wednesday, having dipped as low as 9.45% on July 18. The end-of-week drop in volatility was largely influenced by a wind down leading into the weekend with options players not wanting to hold long-dated options, according to one trader.

Merrill Lynch has promoted Michael Freda, co-head of U.S. portfolio trading in New York, to head of portfolio trading for the Europe, Middle East and Africa (EMEA) region. Michael Stewart, head of global portfolio trading, has been running the EMEA desk since Zach Tuckwell's departure in March for Dresdner Kleinwort Wasserstein. Stewart said, "I wanted to take some time to get to know the desk and find the right person for the job."

Alan Mittleman, an interest-rate swaps trader at Credit Suisse First Boston, is heading to Bear Stearns to take a similar role. He replaces Edward Rich, managing director in interest rate swap trading, who left last month (DW, 6/15), according to a professional familiar with the hire. Mittleman and Rich could not be reached.

Merrill Lynch has hired two structured products marketers for insurance and pension fund clients in its structured equity group in London. Johan Nordin, on the institutional sales and structured products desk at D Carnegie in Stockholm, will cover the Scandi market, and Eric Dutruit, equity derivatives salesman to the Benelux region at Commerzbank Securities in London, will join in similar role, according to Joachim Willnow, EMEA head of the structured solutions group at Merrill in London.

Pinault Printemps Redoute, an international luxury goods company, has entered an interest rate swap to convert part of the proceeds from a recently issued six year EUR750million (USD859 million) bond into floating. Juliette Psaume, a spokeswoman, said that it was an internal accounting decision to have part of the liability at a fixed interest rate and part in floating rate. The swap and the bond mature in 2009.

Moody's Investors Service will, for the first time, release its methodology for rating collateralized debt obligations referenced to credit-default swaps. Yuri Yoshizawa, v.p. and senior credit officer in New York, said the methodology will also include a new haircut on recovery rates. The rating agency has analyzed CDOs referenced to corporate debt since 1997, but this will be the first time it has come out with a consolidated explanation of the processes and factors it looks at to rate the deals on a global basis, she said. Moody's plans to release the methodology this week. Fitch Ratings has already published its ratings criteria and Standard & Poor's plans to (DW, 7/7).