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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%.

Credit portfolio risk managers at several firms in Europe, including ABN AMRO and JPMorgan, are attempting to kick-start a bilateral credit default protection market to better manage their exposure to names that are not among the approximately 120 most actively traded. Risk managers either can't find quotes or are quoted mile-wide bid/offer spreads on names outside the 120 list, according to market officials. The solution, which could dramatically increase the depth of the credit derivative market, may be to match up natural buyers and sellers of protection on a given name or group of names, because, unlike dealers, both buyers and sellers have an incentive to arrive at transactable prices, said a credit portfolio manager.

Al Vinjamur, co-manager of a quantitative group at hedge fund manager SAC Capital Advisors in New York, is reportedly considering the launch of his own U.S. equity long/short fund. Reached at home, Vinjamur denied having plans to leave SAC or launch a new fund, but added that he is taking some time off. "I'm very happy working at SAC," he said. "I've no plans to leave."

JPMorgan next month is bringing aboard Han Joon Kim, v.p. in fixed income covering Korean corporates at Goldman Sachs in Hong Kong, in a similar role for its rates desk in Seoul. "We didn't think our size was big enough to fully tap the market--we wanted to hire a senior guy," said M.H. Kim, treasurer in Seoul, to whom Han Joon Kim will report. Officials familiar with the situation said Kim wanted to relocate to Seoul for family reasons.

Keith Jacobson, managing director and former head of the recently disbanded strategic solutions group (SSG) at Merrill Lynch in New York, has left the firm. After SSG, a specialized group responsible for structuring and marketing derivatives-based transactions, was merged into Merrill's derivatives sales division last November, Jacobson's role was eliminated (DW, 11/10). Jacobson quit late last month after failing to find a suitable role within the firm, explained one Merrill insider.

Andrew Feldstein, managing director and co-head of North American structured products and derivatives marketing at JPMorgan in New York, has resigned. Michael Dorfsman, a JPMorgan spokesman in New York, confirmed the resignation, adding that Feldstein is exploring other options within JPMorgan or in partnership with the firm. Calls to Feldstein's office in New York were not returned.

Introduction Currency fund and currency overlay programs have become the flavor of the month for investors. These products both utilize bespoke and often confidential trading models to take advantage of the volatile currency markets. Funds use models to predict when spot, forward or sometimes option trades should be placed to generate return, while overlay programs use the same models to make hedging decisions. The fund products can, at their best, generate healthy annual returns (in some cases 7%-10% of the face value of the trades), while good overlay programs offer option-like protection and the possibility of 1%-3% return enhancement. These are the results from the best, of course. Choosing the right overlay provider or currency fund is a critically important decision.

Merrill Lynch is looking to structure principal protected notes on an index of Chinese equities that for the first time will be re-balanced via the constant proportion portfolio insurance method. Principal protected products offer clients a way to tap China's growing market with limited downside risk, explained John Robson, director of structured products in the global equity markets group in Hong Kong. "Many people are interested in China but are worried about the risks," he said.

"We want to alleviate common concerns from hedge fund investors: lack of transparency, lack of liquidity and hubris."--Nick Waltner, hedge fund manager at Kulshan Capital Management, on plans for his fund. For complete story, click here.

Nationwide Building Society has entered an interest rate swap to convert a recent GBP200 million (USD330.04 million) offering into a synthetic floating rate liability. Andy Hutchinson, assistant treasurer in Northampton, U.K., said the thrift decided to enter the transaction because its lending portfolio consists of mostly floating-rate debt. He explained that Nationwide does not always convert fixed-rate to floating-rate debt, but looks at its current debt portfolio to determine whether it needs to enter a new swap to hedge interest rate exposure. He declined to disclose Nationwide's target fixed-to-floating-rate ratio.

A Question of Greed?

Société Générale has hired Anneke Van Hoorn, trader on the European medium-term notes desk at JPMorgan in London, as a cash and credit derivatives marketer to German funds in London. Marcus Ribka, head of cash and structured credit sales to Europe (ex-France) in London, said Van Hoorn takes a new position. SocGen is expanding the group in anticipation of capturing business from funds as they divest equity positions and look to credit products for higher returns. Van Hoorn reports to Simon Lawless, head of the German fund sales group in London. Van Hoorn started at SocGen last Monday. Lawless referred calls to Ribka.