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Credit Suisse First Boston is readying two credit-default swap indices, one for the U.S. and one for Europe. The move comes hot on the heels of JPMorgan's and Morgan Stanley's recent announcement that both will make markets in the same synthetic default swap indices. CSFB's indices are being developed to improve the firm's credit derivatives research abilities, according to Krishna Memani, global credit strategist in New York. As part of the effort CSFB is hunting for its first dedicated credit derivatives strategist in New York.

Fund derivatives business in Europe, including Dresdner Kleinwort Wasserstein, Société Générale and Deutsche Bank, are beginning to go after the USD6 trillion pension fund market in the U.S. as a potential source of investment. Mehraj Mattoo, managing director and global head of alternative investments in London, said U.S. pension funds have begun to show interest in investing in hedge funds through structured products that provide some capital protection.

Short-term U.S. dollar/Canadian dollar implied volatility jumped last week as investors bought at-the-money straddles while the Canadian dollar strengthened against the greenback. One-week implied vol spiked to 7.75% from 7% and one-month implied vol rose to 7.75% from 7.2%, which traders described as a big move for the currency pair. Investors bought at-the-money straddles in which they purchased a Canadian dollar call/dollar put and bought a Canadian dollar put/dollar call as the Canadian dollar strengthened from CAD1.44 on Monday to CAD1.4210 Thursday.

Discovery Capital Management, with USD900 million under management, is considering launching a second hedge fund, which would be a multi-strategy product and use more derivatives than its existing fund. Harry Krensky, co-manager of the Discovery Global Opportunity Fund, said the new fund may include strategies such as long/short equity, macro, model and discretionary trading as well as invest in emerging markets.

Dexia Municipal Agency, the funding arm of Dexia's public finance and financial services business line, has entered interest-rate swaps on two recent bond offerings. It converted a EUR1 billion (USD1.12 million) and a EUR500 million fixed-rate offering into floating. Florence Lemonnier, head of investor relations in Paris, said it is the company's policy to use interest rate swaps to convert all fixed-rate debt into floating-rate.

Derivative officials in India expect an onshore credit derivatives market to get the go ahead later this year. "This will happen within the next six months," said Srinivasan Varadarajan, treasurer at JPMorgan in Mumbai, adding that the products should be available after the upcoming launch of interest rate (DW, 6/30) and foreign exchange options (DW 4/28/02) in the coming weeks.

The International Swaps and Derivatives Association has postponed the date for firms to start using the 2003 credit derivatives definitions. No date has been set, but ISDA will give its members at least 10 business days before implementation, according to Louise Marshall, policy director in New York.

The user's guide for the 2002 equity derivatives definitions will be circulated among the International Swaps and Derivatives Association's equity derivatives definitions working group within the next couple of weeks. The final version is expected to be released this summer, according to Glen Rae, v.p. and general counsel at Goldman Sachs in New York and chairman of the working group. The guide will provide a section-by-section analysis of each article of the definitions and will also discuss certain issues that pop up in customized confirmations.

JPMorgan has hired Valerie Rademacher, executive director in foreign exchange sales to German corporates at Goldman Sachs in London, to head fx sales to German corporates, and Kris Sjoberg, an official at Citigroup, as head of fx sales to Scandinavian corporates. Both Rademacher and Sjoberg report to Eric Robin, co-head of fx sales to Europe.

JPMorgan has hired David Haldane in the equity derivatives group at HSBC in London, as head of equity derivatives trading in Sydney. He now reports to David Ferrall, co-head of equity in Sydney. Ferrall said Haldane, who started last week, handles both listed and over-the-counter equity derivatives and is a replacement for Duncan Cameron, equity derivatives trader, who was recently reassigned to Tokyo in a similar role. Cameron declined comment.

Merrill Lynch has relocated Chris Jackson, senior salesman in equity program trading in New York, to London for a similar role. Mike Stewart, global head of portfolio trading in New York, said Jackson will add stability to the team which recently lost Zach Tuckwell, head of European equity portfolio trading to Dresdner Kleinwort Wasserstein (DW, 3/31). Jackson reports to Stewart and confirmed the move.