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The credit-default swap market was starting to prepare for a Parmalat credit event last week. Traders made the switch from quoting prices in basis points to charging a cents-in-the-dollar figure as DW went to press on Thursday. The move was triggered by Standard & Poor's downgrading the Italian dairy producer six notches to CC/C.

Credit-default swap spreads on U.S.-based supermarket chains including Safeway, Albertson's and Kroger were pushed out further last week after a West Coast protection buyer snapped up around USD100 million of default swaps on the grocers. The names were already reeling from drastic cuts in earnings because of ongoing labor strikes.

SAC Capital Management has hired Colin Rust, former proprietary equity derivatives trader at Lehman Brothers in New York, in a similar role. Rust declined comment. Peter Nussbaum, legal counsel in Stamford, Conn., did not return calls. SAC is the world's 33rd largest hedge fund manager, according to Institutional Investor's hedge fund rankings.

Pricing-orientated payoff computer languages form the vast majority of existing financial product language implementations, but they face serious limitations for valuing structured products on past, present, and future dates. A new class of context-neutral contract computer languages offers key properties to overcome the challenges of time travel.

"We are not launching futures. We are licensing an exchange to do this."--Lars Hamich, executive director at Dow Jones Indexes, commenting on the firm's strategy for developing a credit derivatives futures markets, for complete story, click here.

The two major credit derivatives index providers, TRAC-X and iBoxx, are both attempting to launch futures, but are attacking the project in opposite ways. iBoxx is setting up two consultative groups, one for dealers and one for investors, to come up with the ideal future, whereas Dow Jones Indexes, the administrator of TRAC-X, plans to leave the product development to licensed exchanges. Both groups have a similar timeframe, with iBoxx going for the first-half of the year and Dow Jones looking at either the June or September roll date for credit derivatives transactions. Neither, however, would name exchanges they might use or detail likely contract specifications.

Nationwide Building Society has entered interest rate swaps to convert two recent fixed-rate U.S. dollar notes into synthetic floating-rate liabilities. Sarah Hill, senior trader in the treasury, declined to reveal how much of the issues it converted, but said, "The two fixed rate issues were swapped back into floating to fit our current funding profile."

Only in New York...To celebrate the opening of its branch on Lexington Avenue and 43rd Street in Manhattan, an actor dressed as Fleet Bank's logo danced through the streets while bank representatives gave out cookies and contest entry forms attached to a keyholder.

This chart, provided by Citibank/Salomon Smith Barney Inc., tracks bid-ask prices for par credit facilities that trade in the secondary market. It also tracks facility amounts, ratings, pricing and maturities.

Richard Carey, a managing director in Credit Suisse First Boston's loan group, on sponsor-to-sponsor sales.

Denis Gould, head of the sterling investment-grade team at AXA Investment Management, commenting on his firm's move to buy corporate bonds that offer relative value (see story, page 5).