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Dexia Municipal Agency, the funding arm of Dexia's public finance and financial services business line, has entered interest-rate swaps on two recent bond offerings. It converted a EUR1 billion (USD1.12 million) and a EUR500 million fixed-rate offering into floating. Florence Lemonnier, head of investor relations in Paris, said it is the company's policy to use interest rate swaps to convert all fixed-rate debt into floating-rate.

Derivative officials in India expect an onshore credit derivatives market to get the go ahead later this year. "This will happen within the next six months," said Srinivasan Varadarajan, treasurer at JPMorgan in Mumbai, adding that the products should be available after the upcoming launch of interest rate (DW, 6/30) and foreign exchange options (DW 4/28/02) in the coming weeks.

The International Swaps and Derivatives Association has postponed the date for firms to start using the 2003 credit derivatives definitions. No date has been set, but ISDA will give its members at least 10 business days before implementation, according to Louise Marshall, policy director in New York.

The user's guide for the 2002 equity derivatives definitions will be circulated among the International Swaps and Derivatives Association's equity derivatives definitions working group within the next couple of weeks. The final version is expected to be released this summer, according to Glen Rae, v.p. and general counsel at Goldman Sachs in New York and chairman of the working group. The guide will provide a section-by-section analysis of each article of the definitions and will also discuss certain issues that pop up in customized confirmations.

JPMorgan has hired Valerie Rademacher, executive director in foreign exchange sales to German corporates at Goldman Sachs in London, to head fx sales to German corporates, and Kris Sjoberg, an official at Citigroup, as head of fx sales to Scandinavian corporates. Both Rademacher and Sjoberg report to Eric Robin, co-head of fx sales to Europe.

JPMorgan has hired David Haldane in the equity derivatives group at HSBC in London, as head of equity derivatives trading in Sydney. He now reports to David Ferrall, co-head of equity in Sydney. Ferrall said Haldane, who started last week, handles both listed and over-the-counter equity derivatives and is a replacement for Duncan Cameron, equity derivatives trader, who was recently reassigned to Tokyo in a similar role. Cameron declined comment.

Merrill Lynch has relocated Chris Jackson, senior salesman in equity program trading in New York, to London for a similar role. Mike Stewart, global head of portfolio trading in New York, said Jackson will add stability to the team which recently lost Zach Tuckwell, head of European equity portfolio trading to Dresdner Kleinwort Wasserstein (DW, 3/31). Jackson reports to Stewart and confirmed the move.

Dresdner Bank is suing Bankgesellschaft Berlin because of the latter's refusal to pay out on a credit default swap referenced to Marconi, the troubled telecom company whose restructuring last fall triggered millions of dollars of payouts on credit derivatives protection. Marconi's restructuring highlighted loopholes in credit derivatives documentation, leading to disagreements about what qualifies as a trigger for protection and what can be delivered against a contract. Most of the outstanding contracts on Marconi have been settled, according to dealers and end users, but BGB appears to be one of the last hold outs.

Domestic securities houses in Korea have recently executed the first equity-linked notes onshore after receiving licenses to trade the products. "The first weeks have been very encouraging," said Hong Shik Kim, head of proprietary trading and derivatives at Good Morning Shinhan Securities in Seoul. He added that notes encompassing knock-out call options on the KOSPI 200 index are proving popular with retail investors and that over USD200 million has been sold in the past few weeks. Kim said that for the more exotic notes, domestic houses are hedging the over-the-counter options with international players. Typical notes range from USD10-50 million.

Morgan Stanley has hired Richard Cohen, head of Pacific Rim credit derivatives at Merrill Lynch in Tokyo, in a new role as v.p. in credit derivatives trading in Hong Kong. Cohen is a well-known veteran in the region's credit mart, according to rival traders (DW, 2/2). Simon Locke, spokesman at Morgan Stanley, said Cohen has joined in Tokyo but is moving to Hong Kong in the coming weeks to handle trading for credit derivatives and structured credit products for non-Japan Asia.

One of the least-understood aspects of option pricing is how to account for holidays and weekends when looking at short-dated option prices. Intuitively options have low premiums if there is a smaller window of opportunity to extract value from the gamma. The question is: how do traders calculate this exactly?