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Romita Shetty, head of structured credit and alternative investments at J.P. Morgan Securities, has decided to leave the group, according to a banker familiar with the situation. Shetty declined to comment. Michael Dorfsman, a spokesman, said Shetty is considering a variety of options within J.P. Morgan and the firm is looking to place her accordingly.

Conseco's bank debt popped up from the mid 60s into the 69-71 range after the company filed for bankruptcy late last night, but no trades could be confirmed by press time. Dealers said the filing was expected and that it was a good sign because it meant that reorganization could be completed allowing the company to emerge as a stronger entity. One trader, however, questioned whether the bank debt holders and bondholders would be able to come together on a deal. In a written statement, Conseco claims that it has received an agreement in principle from bank and bond holders to reduce the company's leverage. Repeated calls to company officials were not confirmed by press time. AES Corp.'s revamped loan has popped up roughly ten points since its balance sheet overhaul was completed last week. Dealers said $5-$10 million pieces of all tranches changed hands. The company's new "A" loan was quoted in the 94 context. The "B" loan traded between the 91-92 range, and the company's "C" loan moved in the 92-92 1/2 range. Market players said the new security package, the large coupon of LIBOR plus 6 1/2% across all the tranches, and expected asset sales propped the paper. AES management has said it expects approximately $1 billion in asset sales over the next year, according to a company spokeswoman.

Banc of America Securities has structured what is believed to be the first synthetic securitization of residential mortgages in the U.S. and is eyeballing other forms of consumer risk that could be suitable reference entities. The private deal, dubbed RESI (Real Estate Synthetic Investments), is referenced to a USD12 billion portfolio of Bank of America residential mortgages and was pricing as DW went to press, said an official familiar with the deal.

Five-year credit protection on Cable & Wireless blew out by 500 basis points at the beginning of last week after Moody's Investors Service downgraded the credit to Ba1 from Baa2. Credit-default swaps spreads were trading at 350bps/400bps before the downgrade and opened at 750bps for mid-market protection on Monday, widening out further to 850bps/900bps on Tuesday. Volume increased from the typical handful of trades per week to approximately 20 trades in the inter-dealer market from Friday through Tuesday, said one trader. Generally, volumes were thin last week because of the approaching year end, they added.

Crédit Agricole Indosuez has hired Trent Beacroft, v.p. at hedge fund Parallax Capital Management in Singapore, in a new role as Japanese head of global foreign exchange sales. He now reports to Christoph Bristiel, managing director in London. Bristiel said Indosuez wanted to bulk up its coverage in Asia with a senior hire, declining to elaborate. Beacroft referred calls to Bristiel. Prior to his stint at Parallax, Bristiel was Asian head of global institutional sales at Standard Chartered Bank.

Credit derivatives dealers have started to trade five-year credit default swap contracts with fixed quarterly maturity dates. Dealers have traditionally suffered maturity mismatches in attempting to run a balanced book, which has left them open to carrying an unhedged position should a credit event occur between maturity dates, explained one credit derivatives professional. By fixing quarterly maturity dates this permanent worry is removed, he noted.

Citigroup Asset Management Australia, with more than AUD6.5 billion (USD3.64 billion) under management, is gearing up to trade credit derivatives for its AUD4 billion fixed-income portfolio. "It's something we're considering," said Anthony Kirkham, senior portfolio manager in Melbourne, noting the firm would look at buying as well as selling credit-default swaps.

"We don't want to be left behind."-- Anthony Kirkham, senior portfolio manager at Citigroup Asset Management Australia in Melbourne, explaining its reasons for gearing up to use credit derivatives. For complete story, click here.

Tokyo-based Daiwa Securities SMBC is looking to close its first synthetic collateralized debt obligation in Japan and set up a credit trading operation in the coming months. The securities house has looked at launching credit products before (DW, 6/23) but market officials said the firm now has the customers in place and is gearing up to complete its debut yen-denominated synthetic CDO on Japanese names. The deal will be roughly USD100 million.

The price of dollar/yen options fell last week as spot remained rangebound. The currency pair traded at JPY123.5 in the spot market last Wednesday, the middle of a several-week range. One-month implied volatility stood at 9.3% last Wednesday, down from 10.25% where it had climbed in the week. The previous week spot had been trading at JPY124 and one-month implied volatility was 9.8%.

Dresdner Kleinwort Wasserstein last week hired Yingxin Gong, a marketer on the China sales team at Deutsche Bank in Frankfurt, in a new role as a structured products marketer for its Singapore desk. She now reports to Mahmood Jumabhoy, head of sales and marketing for the capital markets division in Singapore.