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Dhimant Shah, credit derivatives trader at ABN AMRO in Singapore, recently resigned, according to officials at the firm. He reported to Arne Groes, global head of credit markets trading in London. Shah's whereabouts could not be determined by press time. Groes did not return calls. Shah moved to trading from the credit structuring side earlier this year as part of a restructuring effort following the departure of two senior staff to UBS (DW, 5/27).

Lyxor Asset Management, a French asset manager with USD10.81 billion in alternative assets under management, is seeking investment banks to write options on a tracker fund it created last summer that replicates the MSCI Hedge Invest Index, Alain Dubois, chairman of the board, told DW sister publication Alternative Investment News last week.

Canadian gas producer Paramount Resources has entered into option-based strategies to hedge its exposure to natural gas prices over the coming winter, according to Aaron Thompson, controller in Calgary, Alberta. The term of the hedges runs from November until March 2004, he said. Bank of Montreal and CIBC World Markets were counterparties on the hedges.

End users, such as in the Australian equity market have been using collars and other derivative strategies to lock in gains resulting from the domestic equity market's dramatic appreciation over the last several months. Since March, the All Ordinaries Index has climbed from lows around 2,744 to highs near 3,330. Last Wednesday the index closed at 3,274.

A growing appetite for capital protected products and alternative investments are two of the most significant trends influencing pan-European investment product structuring at both retail and institutional level and both are, to a large extent, dependent on derivatives.

Credit Suisse First Boston has hired Gianluca Lesiana, a structured equity products salesman covering the Italian market at Bear Stearns in London, as a director in a similar role. Lesiana will report to Vito Elia, director in equity derivatives. Rebecca O'Neill, a spokeswoman for the company, confirmed the move. Lesiana could not be reached for comment.

Volumes in dry freight derivatives are set to double next year as end users, such as utilities and coal shippers, look to hedge out the rising cost of moving freight, according to market participants. Philippe van den Abeele, managing director at Clarksons Securities, a London-based shipping broker, estimated the total financial value of dry freight derivatives traded over the last year was around USD20 billion, a five-fold increase year-on-year.

Citigroup Global Markets has transferred Joe Lizzio, co-head of sovereigns, agencies and supranationals trading in New York, to the newly created position of product and sales manager for North American structured credit products. Lizzio reports to Steve Jones, head of global structured credit products, said Danielle Romero, spokeswoman in New York. Neither Lizzio nor Jones returned calls.

One-month implied volatility on dollar/yen leapt to 10.8% last Wednesday, up from 10.1% the previous week as the greenback continued its gradual slide against the yen in the spot market. The dollar traded at JPY108 in the spot market Wednesday down from JPY109.6 the week before, said a New York-based trader. With outstanding trades on the currency pair being heavily favoring yen calls/dollar puts, any small move in spot keeps implied volatility on the currency pair high, he explained. One-month 25-delta risk reversals stood at 1.8% in favor of yen calls last week, compared with 1.3% the week before.

Fergus MacDonald, v.p. in credit derivatives at Goldman Sachs in New York, has left the firm. MacDonald could not be reached. Bruce Corwin, spokesman in New York, did not return calls by press time.

Investors have been piling into five-year credit default-swaps on the Philippines sovereign in the last two weeks on the back of uncertainty shrouding presidential elections scheduled for May, as well as the tough domestic economic situation. "The election is now under the spotlight," said one credit head. Dealers are concerned that a victory for populist candidates could derail ongoing reforms. In addition, rumors of an impending sovereign debt issuance triggered demand for credit default protection.

Richard Kennaugh, former co-head of credit derivatives trading at Chase Manhattan Bank in New York, has resurfaced at Deutsche Bank in London. Kennaugh takes the new position of managing director, head of trading for Europe in the firm's loan exposure management group, according to Harriet Benson, spokeswoman in New York. He reports to Stuart Lewis, regional head of Europe, she said. Neither Kennaugh nor Lewis responded to messages.