Search results for

Bank One, the sixth-largest bank holding company in the U.S, is planning to launch a credit derivatives operation in London. The firm plans to hire a team of between six and 10 traders and structurers. Bank One believes there is a promising business opportunity in Europe for the credit derivatives market and fears it will "miss the boat" if it doesn't act soon, according to an official. The firm is active in the European foreign exchange, interest rate and equity derivatives markets.

BNP Paribas is relocating Francois Carnet, Asia head of equity derivatives in Hong Kong, to New York in the coming weeks in a move that is seen as an effort to revive the firm's U.S. operation. Carnet will replace Vuk Bulajic, head of U.S. equity derivatives in New York, who resigned on Wednesday. It could not be determined by press time whether Bulajic was pushed aside or left of his own accord. Carnet declined comment and Bulajic could not be reached. A spokeswoman in New York was unable to provide a comment by press time.

Banc of America Securities has hired Leif Andersen, a senior quant in Gen Re Securities quantitative research department, to fill a newly created position in New York covering the global credit derivatives market. Andersen, who joined BofA two weeks ago, said his exact title has yet to be established, but added that he will be concentrating on global credit derivatives quantitative research at first and then begin branching out to cover structured products and other asset classes. He reports to Nessan Fitzmaurice, chief technology officer and head of quantitative research. Fitzmaurice declined comment.

Crédit Agricole Indosuez plans to hire a managing director and two additional directors in its New York credit derivatives operation. The move is part of a global credit market push, according to an official. Last September the firm launched its first Asian credit derivatives desk in Hong Kong (DW, 9/23/01) and New York is the next market it is looking to tap because of the increase in North American end users, specifically hedge funds, mutual funds and insurance companies.

Bayerische Landesbank will launch a EUR2.5 billion commercial mortgage-backed securitization, one of the largest-ever from Germany, within the next 45 days. The deal, called Nymphenberg, will securitize commercial property loans from seven European countries, according to a banker involved with the deal. The deal will be structured using derivatives, but the final structure has not been determined. Commerzbank Securities is the lead manager.

Credit Suisse First Boston has promoted Chris Carter, head of equity trading, equity derivatives and convertible sales and trading for the Asia Pacific region in Hong Kong, to global head of equity options. Carter, who will work from the firm's New York office, replaces Maurits Schouten, who resigned about three weeks ago, according to a firm official. Carter reports to Phil Vasan and Paul Calello, co-heads of CSFB's global equity derivatives and convertibles group. Calls to Carter, Vasan and Calello were referred to CSFB spokeswoman Victoria Harmon, who declined to comment.

David Charles, head of risk management at Gen Re Securities in Tokyo, has joined Deutsche Bank's group market risk management team in London. A Deutsche Bank official in London said there is ongoing movement in and out of the group, declining to specify whether this is a new position. The group is responsible for managing all market risk across the bank's activities, of which the largest component is trading, the official added. Charles could not be reached for comment. The group is headed by Richard Evans, chief risk officer. Evans was traveling last week and could not be reached.

Andrea Minetti has returned from a 12-month sabbatical from Deutsche Bank in London as a managing director and head of southern European equity derivatives sales. Minetti, previously head of fixed-income derivatives sales in Italy, replaces Maria Binaghi, who is herself taking a sabbatical for personal reasons, according to Yassine Bouhara, head of global equity derivatives. Deutsche Bank plans to add a total of 12 equity derivatives professionals and expects to announce further hires in the coming weeks, Bouhara said. He declined to divulge further details while the firm is finalizing employment contracts. Binaghi was traveling and could not be reached.

Foamex International, a manufacturer of polyurethane foam with USD1.25 billion in revenue last year, is considering entering its first interest-rate swap to even its ratio of fixed-to-floating debt, according to George Karpinski, treasurer in Linwood, Pa. The company has about USD500 million in fixed-rate debt and some USD300 million in floating-rate debt. "It's definitely something we've been thinking about. Right now we're pretty heavy on the fixed debt side," he added.

Crédit Agricole Indosuez has hired Medes Ma, trader in the Asian credit trading group for treasury and capital markets at HSBC in Hong Kong, in a new role as credit trading manager for Indosuez's recently established credit derivatives desk in Hong Kong. "This hire further increases our capacities to grow a liquid market in Asia," said Loïc Fery, head of credit derivatives-Asia at Indosuez in Hong Kong. Ma, who starts at the end of the month and will handle trading for both Japanese and non-Japan Asian credits, will report to Fery. Ma was on gardening leave and could not be reached.

Valuing options on a fixed exchange rate, or on any asset price set by official decree, is problematic. To the casual observer, such options may seem illogical, since the cash rate does not move. Yet active markets have existed on such options despite explicitly pegged exchange rate regimes. Exchange rate crises in which currency pegs were abandoned, such as Mexico (1994), Russia (1998), Brazil (1999), and Argentina (2002) have also shown that options with strikes outside the band are not worthless. Such options can offer valuable information about the probability of a peg holding over a given period. Following is a basis for pricing and evaluating such options using practical methods, and some simple estimation techniques for relative valuation.

Merrill Lynch has hired Takuya Iwasaki, v.p. in foreign exchange at Morgan Stanley, as a director of foreign exchange, handling options trading in Tokyo. He reports to Masayoshi Takegawa, head of foreign exchange trading in Tokyo.