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Credit-default swap trading on Nippon Steel surged early last week after Japan Metals & Chemicals filed for court protection against creditors on Feb. 22. Nippon has an 8% stake in the company. Traders said that domestic corporates with exposure to Nippon Steel were behind the trades, which totaled around JPY7 billion (USD52.1 million notional) in five-year yen-denominated default swaps. In a typical week the average volume is JPY1-2 billion. The spread on five-year protection blew out to 120-135 basis points Wednesday from 105-115bps the week before.

Doug Hiscano, managing director of marketing for corporate equity derivatives at Banc of America Securities in New York, left the firm three weeks ago, according Chris Innes, managing director and global head of equity derivatives sales in New York. Innes confirmed Hiscano reported to him, but declined further comment. An official at the firm said it is looking to replace the marketer.

Credit derivatives houses in London, including JPMorgan, Deutsche Bank and Dresdner Kleinwort Wasserstein, are working out netting agreements on credit-default swaps referenced to Marconi, the troubled U.K. telecom company, in preparation for a possible default. The move marks the first time dealers in the European market have set up contingency plans, according to several officials involved.

Eksport Kredit Fonden, the Danish export credit agency, is looking to enter a credit-default swap tied to sovereign risk to reduce its USD800 million exposure to Turkey. Lars Kolte, managing director in Copenhagen, said the agency would ideally enter an over-the-counter derivative transaction where it could offload Turkish risk, given the country's current plight, in exchange for taking on risks to other countries where it is not as exposed, such as China and Mexico. "If Turkey goes down, we're in deep [trouble]," he noted, adding, "but by doing swaps we can free up capital and create more capacity for Danish exporters."

One-month implied volatility for U.S. dollar/Canadian dollar options rose about 50 basis points after an Asian investor bought dollars early in the week in Singapore. Options trading increased on the back of the dollar weakening to CAD1.60 from CAD1.680 in Singapore trading, according to a foreign exchange options trader in New York.

Amy Yamamoto, v.p.-equity derivatives marketing at Credit Suisse First Boston in New York, resigned Wednesday, according to market officials. Yamamoto, a member of the firm's private client and retail team, reported to Michael Crooks, managing director and head of the private client retail team. Yamamoto marketed products to high-net-worth individuals.

Lehman Brothers and Bear Stearns are pitching low or no-cost foreign exchange structures to speculative investors who expect a rally in the euro, as volatility remains near record lows and makes long-term punts more attractive. One-year euro/U.S. dollar implied volatility was 9.8% Wednesday, its lowest level since September 1999. Volatility is low because euro/dollar is rangebound and the capital flows out of the eurozone have subsided.

Asahi Mutual Life Insurance, one of Japan's largest insurers, is considering increasing its use of over-the-counter equity options in the wake of a continued slump in the cash equity market. "Management will decide on this plan in April," said Masato Fujimaru, portfolio manager in Tokyo, adding that after the fiscal year ends in March, the insurer will decide on a course of action for the equity portfolio.

Three months after launching its high-yield credit-default swap index, dubbed HYDI 100, JPMorgan is offering investors exposure to BB and B rated baskets. The BB tranche offers a fixed 8.625% coupon on a basket of 55 names, while the B-rated tranche offers a fixed 9.875% coupon on 44 names, according to an official at the firm. He added that the move to include the tranches on the index was made to meet investor demand for more targeted risk exposure to the market. He declined further comment.

JPMorgan has launched an Asia hedge fund sales operation under David Barrosse, co-head of Asian derivatives at JPMorgan in London, who joined from Petra Capital in January. "We're offering the full sweep of derivatives, including futures, options, swaps and structured products but the primary importance is offering ideas," said Barrosse. He continued that the group is concentrating its efforts on a handful of global hedge funds and will provide derivatives execution as well as trade ideas for Asian investments. The group will focus on equity products but will also offer products such as asset swaps and credit derivatives, which would be used for convertible-bond arbitrages.

The International Swaps and Derivatives Association plans to take the next step in revising its original credit derivatives definitions, which date back to 1999. The trade body has sent out the new definitions in draft form and plans to hold a video conference later this month (copies of the proposals are available at www.derivativesweek.com), according to Louise Marshall, policy director in New York. The current comment period ends March 11.

Galileo Galilei wrote: "Enumerate what is numerable. Measure what is measurable and make measurable what is not measurable."