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BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

Australian credit derivatives trading volumes have fallen by around a third in recent months as spreads have come in but have still not attracted protection buyers. "It's almost becoming another Japan," said one credit trader at a European house. As in Japan the lack of protection buyers, such as local banks, could make it a one-sided market and hurt volumes even more.

Loren Norton, a credit derivatives trader at ABN AMRO in New York, has moved to a similar position at Credit Suisse First Boston after less than a month at the Dutch bank. Before joining ABN Norton was a credit derivatives trader at Morgan Stanley in New York (DW, 7/20). Norton referred calls to John Gallagher, spokesman in New York, who said Norton is filling a newly created seat and has been hired as part of an effort to expand the firm's client coverage. Norton reports to David Carlson, managing director and head of the group-of-20 credit derivatives desk. Carlson confirmed the hire.

Credit-default swap spreads tightened on British American Tobacco last week following its purchase of Italy's state-owned tobacco company, Ente Tabacchi Italiani. BAT acquired ETI on July 16 for EUR2.3 billion (USD2.64 billion), EUR800 million more than the market had predicted.

State Street Research & Management, with USD40 billion in assets under management, is working on a money-market eligible puttable note and is also considering selling credit protection referenced to asset-backed securities, its first such structures. Ron D'Vari, managing director and head of specialty products and structured finance in Boston, said the money market program will address market appetite for short-term money market structures as investors grapple to determine the direction of the economy. Recent corporate downgrades have eaten into the flow of AAA money market instruments, making this a good time to issue, he noted.

Crédit Agricole Indosuez is working on three synthetic collateralized debt obligations with equity tranches of around three times the normal size. The CDOs have first-loss tranches of 6%, according to Loic Fery, managing director and global head of credit derivatives and structures in London.

Nick Wood, managing director and co-head of the U.S. institutional equity derivatives sales group at Citigroup Global Markets in New York, has moved to Susquehanna International Group in a similar role. Wood reports jointly to Drew Milstein and Don Hart, co-heads of institutional sales in Bala Cynwyd, Pa., according to Kelli Crudo, spokeswoman in New York. In addition, Wood has a regional reporting line to Dave Silber, manager of the New York office.

Prominent derivative houses in Asia, including Credit Lyonnais, Deutsche Bank, HSBC and Merrill Lynch, are looking to join the list of firms entering the Chinese 'A' share equity market which recently opened to foreign investors. The market kick-started with Citigroup, Morgan Stanley, Nomura Securities and UBS (DW, 6/15) as well as Goldman Sachs (DW, 7/14) receiving the first batch of licenses. "The initial response has been phenomenal--we have received a lot of interest from a wide range of investors," said Justin Kennedy, managing director in Asia-Pacific equity derivatives at Citigroup in Hong Kong.

Deutsche Bank has structured what is thought to be a first-of-a-kind note with a guaranteed return and a maturity that fluctuates depending on underlying interest rates. The concept, dubbed Target Redemption Note or TARN, can be used for any type of investment strategy but the most popular form is proving to be around an inverse floating rate note, according to Rashid Zuberi, director in interest rate derivatives in London.

One-month implied volatility on euro/dollar options worked its way back to last week's level of 9.9% Wednesday, having dipped as low as 9.45% on July 18. The end-of-week drop in volatility was largely influenced by a wind down leading into the weekend with options players not wanting to hold long-dated options, according to one trader.