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Banc of America Securities has hired a five-strong group of proprietary risk arbitrage traders from RBC Dominion Securities in New York. The group, headed by Jeremy Frommer, director at RBC, joined BofA earlier this month, according to a spokeswoman for BofA Securities. Frommer referred calls to Van Nguyen, managing director and global head of equity derivatives trading at BofA in New York. Nguyen declined comment.

Copulas are an innovative tool in finance to separate marginal distributions, for example of single asset returns, from their dependence structure in modelling multivariate distributions. In principle this allows for the whole variety of univariate distributions that have been developed and introduced into finance in recent years, for example, heavy-tailed distributions, to be used as marginals. Merging the marginals and describing co-movements is left to the copula. Dependence structures expressed by copulas are not fully determined by linear correlation, as is the case with the multivariate normal distribution. Some classes of copulas additionally allow for capturing so-called tail dependence, describing, such as co-movements of asset returns conditional on one being (extremely) negative or positive. With this feature, copulas extend the notion of multivariate normals that is widely used for multi-dimensions, yet the complexity regarding parameters needed to describe certain copulas does not increase proportionately.

Deutsche Bank last week closed out a trade designed to profit from short-term increases in the Mexican peso versus the U.S. dollar. In the original trade, which clients were advised to put on about 10 days ago, the client bought a European-style two-month at-the-money-forward dollar put struck at MXN9.96 and sold a European-style dollar put struck at the spot level, MXN9.75. This cost the client about 1.1% of the dollar notional, said Christian Stracke, v.p., Latin American local markets strategist for Deutsche Bank in New York. The trade makes money as the Mexican peso appreciates against the dollar.

London eateryThe Rock Garden has entered what market professionals say is the first weather derivatives contract protecting a restaurant against an inclement spring. Stephen Doherty, director of Speedwell Weather Derivatives--which brokered the transaction--said this is the first deal of its type and signifies the expansion of weather derivatives out of the energy sector. In the deal Enron Nordic Energy sold the restaurant four call options to protect against an excess of cold days between March and June. Officials at Enron declined comment.

Charlotte, N.C.-based First Union is implementing Calypso Technology's straight-through processing system, to be used by its fixed income derivatives division. First Union wanted an IT framework with a front- to back-office capability allowing the firm to develop new financial products without affecting its efficiency, said Joe Belciglio, managing director of trading technology at First Union Capital Markets Services.

Two-year protection on France Telecom widened 30 basis points to 120bps last week after the telecom company launched a convertible bond offering. Five-year protection widened from 120bps before the convertible was offered to 140bps on Thursday. Some hedgers opted to use the five-year maturity because it is more liquid than the two-year. Louis Landeman, European telecom analyst at Standard & Poor's in Stockholm, said France Telecom may use some of the proceeds from the convertible to finance its acquisition of Orange from Vodafone Group. If the company does so, France Telecom's leverage will increase, leading to a potential downgrade from its current A rating. If instead it raises the funds it needs for the acquisition via an initial public offering for Orange, it will use the proceeds of the convertible to refinance existing debt, which will not increase its total debt burden.

Rheinmetal, a German-based aerospace, defense, and automobile technology company, is preparing to cut its derivatives use soon as it adopts International Accounting Standards (IAS). Matthias Schoof, head of the treasury and finance department in Munich, said it uses barrier swaptions to hedge interest-rate risk from floating-rate liabilities but fears it will have to stop this when it adopts the IAS this year.

Credit default swaps on Hutchison Whampoa traded actively early last week after its subsidiary Hutchison Whampoa International announced Feb. 2 it would issue USD1.5 billion in Yankee bonds to refinance existing debt. Five-year credit default swap pricing on the credit ballooned on the day of the announcement by 15 basis points to 145 bps, before settling in to around 133bps by Wednesday, said traders and brokers in Singapore and Tokyo. Five-year credit default swaps traded several times Feb. 2 and last Monday, at 145bps and 135bps respectively. It then traded at 131bps Thursday.

The Reserve Bank of India is expected to make a decision toward the end of the month on whether to allow derivatives brokers to charge for their services. In 1992 brokers in India were forbidden from charging commissions following a series of scandals in which brokers violated regulations and raised concerns of their manipulating the markets, saidB. Ratnam, chief executive officer at theFixed Income Money Market and Derivatives Association in Mumbai. Cash equities and foreign exchange brokers were exempted from this regulation. With derivatives markets in India heating up, players have been pushing for derivatives brokers to be exempted as well.

Brian Grover, v.p., equity derivatives sales focusing on hedge funds at J.P. Morgan in New York, has taken the new position of director, head of over-the-counter equity derivatives sales to institutional investors at Credit Suisse First Boston.