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Société Générale is structuring what is thought to be the first synthetic collateralized debt obligation referenced to high-yield corporates. The deal references a pool of 70 North American corporates rated B plus to BBB plus. Synthetic high-yield deals have not been done before because the credit derivatives universe is predominately investment grade and there is little liquidity in the high-yield sector, according to an investor. An official at SG, however, said it can use correlated products such as bonds and equities if liquidity in a name completely dries up.

"The debate comes down to whether this is a death contract or a deterioration contract." --Mark Timmis, director and head of credit derivatives trading at Credit Suisse First Boston in London, on the debate over including restructuring as a credit event. For complete story, click here.

The transactions described in Part I centered around issuers seeking to improve their capital ratios without exposing potential investors to the typical risks of an investment in capital securities. The first example discussed in Part II involves a transaction in which a senior unsecured creditor achieves a preferred position against other senior unsecured creditors, without taking collateral from the borrower.

Credit-default swaps spreads on Volkswagen widened about 10 basis points ahead of the company's EUR4.5 billion (USD5.1 billion) bond offering, with trading remaining volatile as the company increased the size of the deal before pricing. Traders said swaps were trading at about 53 basis points two weeks ago and as the deal was announced began to inch out. On Monday, spreads widened to 75 basis points from the low 60s, traders said. "Before the deal priced [on Tuesday], the spreads bounced around, especially when the size of the deal changed," noted one trader. The initial size of the offering was EUR3 billion and at one time during the pricing it looked like it was going to be increased to as much as EUR5 billion, traders said.

Credit derivatives and CDO professionals gathered at New York's Metropolitan Hotel last week for the Strategic Research Institute's 6th Annual Combined Summit on CDOs & Credit Derivatives. Senior Reporter, Karen Brettell, filed the following stories:

Synthetic collateralized debt obligations have borrowed a lot of technology from their cash equivalents, but there is still more to learn, according to conference attendees.

Wachovia Securities has hired five professionals to work in structured credit sales, which includes synthetic collateralized debt obligations and plans to make further appointments in its London office. The hires have been made to support growth in the firm's global product origination business, according to John FitzHugh and Walter Dolhare, managing directors and co-heads of global structured products sales in Charlotte, N.C., to whom the new hires report.

J.P. Morgan, for the second straight year, is the market's top loan trading desk, according to investors polled in Loan Market Week's annual survey. The bank ranked first in overall par desk and swept the board in distressed. Credit Suisse First Boston moved into second place after coming in third in 2002. Following CSFB was Citigroup, which climbed four spots from seventh place last year and stood out as the most improved par desk. For subscribers, results and analysis are contained in the enclosed supplement and are available on our Web site at http://www.loanmarketweek.com/lmw/lmwSecureArticleEntry.asp.

On the doorstep, . . .Loose Change has reported on bank robberies, which are mostly failures and often ludicrous, across the globe throughout the years. But last week, staffers did not have to look any farther than the retail J.P. Morgan Chase bank right next door. Alleged perpetrators hit the Union Square branch last week, though if reports can be believed, the news is not surprising. Fueled by so-called "note jobs," in which a lone man demands money from a teller without showing a weapon, the number of bank robberies in New York has risen steadily since January. As of May 4, there have been 199 bank robberies in New York so far this year, a 300% increase.

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.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.

BondWeek is the leading news publication for fixed-income professionals, covering new deals, structures, asset-backed securities, industry and market activity.