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ABN AMRO plans to build up its total-return swap activities in the U.S. by creating more exotic products with longer maturities. John Haggerty, director in credit derivatives, global financial markets in New York, said the firm will likely hire sales professionals, and possibly traders, to help develop the business line in the short to medium term.

The Australian credit derivatives market has bucked a global trend and shrunk over the last year. Last week's Australian Financial Markets Association's survey showed credit derivatives volumes were down about 20% to AUD22 billion (USD12.1 billion) from AUD28 billion. In contrast the British Banker's Association's recent survey showed the global market had grown from USD1.189 trillion to USD1.952 trillion over the same period (DW, 9/23).

Azam Mistry, former Asian head of derivatives marketing and structuring at HSBC in Hong Kong, has joined Native American Securities in New York as head of derivatives marketing and sales after approximately five months out of the market. Mistry, a former director at the International Swaps and Derivatives Association, is a veteran of the derivatives market and the hire is a coup for the Native American Securities, according to market officials in Hong Kong. The firm advises institutional clients, such as pension funds, about derivatives structuring and pricing and then gets quotes from derivatives houses.

BNP Paribas and HSBC plan to start trading onshore Thai baht foreign exchange options before year end. "We'll have an onshore options book by the end of the year," said Panop Svetarundra, fx sales at BNP in Bangkok. More exporters in Thailand are looking at options as an alternative to forward transactions and liquidity is increasing, added Svetarundra, explaining the move. Officials at HSBC also said they aim to have an options book and systems in place before year end and will focus on client flows. Both firms currently offer onshore spot and forward transactions.

Derivatives houses, including JPMorgan, Deutsche Bank and Barclays Capital, have started serving and receiving notices on credit-default swaps referenced to Marconi, according to firm officials and traders. However, the saga is not over yet as protection buyers have 30 days after serving the notice to give a notice of intended physical settlement, in which they can detail what they plan to deliver as the defaulted obligation. There is still debate about which of Marconi's assets will satisfy the contingent liability rules and qualify as a deliverable obligation.

Dresdner Kleinwort Wasserstein is structuring a EUR2.4 billion (USD2.3 billion) managed synthetic collateralized debt obligation with Invesco Asset Management. The CDO, dubbed Lisa, is referenced to a pool of global credit-default swaps, according to an official familiar with the deal.

Entergy-Koch Trading plans to launch temperature and precipitation indices for the Nordic region before year end. The power trading company, which has teamed up with the Swedish Meteorological and Hydrological Institute and Svensk Krafmäkling for the effort, expects to start trading on the index in December, said Mark Callaway, director of weather origination in London.

Fortis Bank Hong Kong is planning to beef up its fixed income hub in Hong Kong over the course of the coming year. "We want to build up [the department] to 20 people by early 2004," said Philippe Dirckx, head of interest rate derivatives in Hong Kong, noting he is looking to double the fixed income sales and trading team from its current 10 staffers. "We restructured the business last year and it took some time to get the approval process going," said Dirckx, explaining the rationale for the buildup. Fortis reorganized its fixed income business at the end of last year (DW, 12/2) with Dirckx assuming leadership for the division.

The models used to create a time-series of survival probability rates for a default swap can be quite complex, but we can simplify the main points in the process:

Goldman Sachs plans to centralize its credit trading activities in Tokyo and has combined its Asian credit and convertible bond trading teams. The firm is moving its five-strong Hong Kong credit derivatives team to Tokyo and expects to start trading for the whole Asian time zone out of Japan in January, according to Orlando Camargo, spokesman in Tokyo. The firm will keep its credit derivatives marketing and sales activity in Hong Kong.

Wuerttembergische Hypo is structuring a EUR1 billion (USD975 million) credit-linked note and looking for a firm to distribute it. The German mortgage bank is issuing the note to remove risk from its balance sheet and optimize its return on equity, according to an official in Stuttgart.