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Alliance & Leicester, with approximately GBP2 billion (USD2.92 billion) in capital, is considering entering the credit-default swaps market for the first time. An official at the Leicester, U.K.-based mortgage bank said it will use credit-default swaps if it determines there is no significant documentation risk. In addition, the bank would be looking at writing protection for high-grade entities. "It is all about certainty," he said, explaining that the bank would like to see clearer documentation of what defines a default and tightening of the cheapest-to-deliver rules. It is unlikely to enter the market within the next six months, he added.

One-month euro/dollar implied volatility rose last week as the euro appreciated against the dollar and reached levels not seen since Sept. 17. Implied vol reached 9.5% last Wednesday from earlier in the day when it was at 8.55%. Leveraged accounts were buying euro calls with strikes at USD0.935 when spot was trading at USD0.92, traders said. The single European currency was trading between USD0.91-0.92 at the beginning of the week.

Credit Suisse First Boston has set up a specialist marketing and sales team for major credit derivatives end users and boosted its structuring and trading capabilities. The group, dubbed flow credit derivatives coverage, is headed by Rob Lynn, managing director, according to market professionals. The firm has also hired Peter Nguyen, v.p. marketing to hedge funds and convertible arbitrage accounts at Merrill Lynch, to work in the new group. The firm set up the desk to cater to the growing demand from companies, such as hedge funds, insurance companies and banks' with large loan portfolios, who are regular users.

Covered call option writing by Japanese corporates has rocketed over the past few weeks, according to market officials. One trader said his firm is receiving around 30 requests per day, compared with 10 inquiries a month or two ago. Another estimated trades had increased by around 30%. "People are starting to believe that the economy has bottomed out," said Jim Clark, head of equity trading at UBS Warburg in Tokyo.

Bear Stearns recently moved Wee Siang Lee, associate director of credit derivatives in London, to the Tokyo desk in a similar role as part of the firm's buildup in credit derivatives in Japan. He reports to Ralph Orciuoli, head of credit trading in Tokyo. Lee said he will focus on structured transactions, such as trading baskets of credit-default swaps. "We're getting a lot of inquiries," he added.

In February the French regulator enacted a decree operating an in-depth reform and update of the legal framework for French funds, known as organismes de placement collectif en valeurs mobilières (OPCVMs), to enter into derivatives transactions. This follows the European Union's Council of Finance Ministers directives on harmonised investment funds, know as undertakings for collective investment in transferable securities (UCITS). The 2002 Decree further amended the provisions of decree (no. 89-624 September, 1989).

Merican & Partners Asset Management, with first quarter assets under management totaling USD30 million, is preparing to launch its first hedge fund in the coming weeks and will use over-the-counter derivatives. The fund, dubbed the Iris Asia Fund, will target markets between Pakistan and New Zealand, said Omar Merican, ceo in Kuala Lumpur. He noted that the multi-strategy fund will incorporate strategies such as net-long volatility including convertible bond arbitrage via asset swaps, long/short plays and risk arbitrage.

IntesaBci is reviewing its structured finance and advisory department in an effort to find possible reference portfolios for balance sheet synthetic securitizations. Andrea Fabbri, deputy head of credit derivatives in Milan, said there is a 70% chance it will securitize some of these assets and it is just a question of choosing which ones.

Macquarie Bank is considering structuring a synthetic collateralized debt obligation in Australia by year-end, which would be a first for the Sydney-based bank. "We're looking at this," said Gary Vassallo, head of derivatives. He continued that the bank currently has the in-house capabilities, given its active credit structuring desk, which has been handling products such as credit-linked notes and asset-backed securities.

Interest-rate swap traders in Korea are sitting on millions of dollars of mark-to-market losses on proprietary positions that have plummeted in value over the past month. "This shocked the market," said Scott Sohn, manager of interest-rate trading at the Korea Development Bank in Seoul. Traders entered interest-rate swaps--paying fixed and receiving floating--and bought fixed-coupon Korean Treasury bonds to hedge the position. However, the floating rate has crashed.

Emanuele Di Stefano has joined TD Securities as a derivatives marketer across all asset classes, including fixed income, equity and credit. He has joined as v.p. and director. Di Stefano would not provide any further information, including to whom he reports. Previously, Di Stefano worked at Gen Re Securities and most recently for a short time at CDC IXIS Capital Markets. Guido Rauch, head of CDC's London office and head of derivatives marketing, declined comment.

Mizuho Securities is expanding its equity derivatives operation in Japan and has brought aboard two senior traders. Chea Srun, head of equity derivatives trading at Dresdner Kleinwort Wasserstein in Tokyo, recently joined in a new role as head of single-stock equity derivatives and convertible bonds in Tokyo, along with Nav Takhar, director of equity derivatives at Toronto-Dominion Bank in Toronto, as a manager of equity derivatives trading, with responsibility for index trading. They report to Paul O'Brien, head of equity derivatives in Tokyo. "We're expanding the business," said O'Brien, noting that the securities operation has been formed from an alliance between the Mizuho Financial Group and Australia's Macquarie Bank in the last couple of years. O'Brien declined further comment.