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Robeco plans to attract Dutch pension funds to its latest collateralized debt obligation by linking some of the notes to European inflation. Erik van Leeuwen, v.p. and CDO manager in Rotterdam, the Netherlands, said the AAA tranche of CDOs is now the hardest tranche to sell so it is offering the notes with inflation or in fixed and floating form.

Five-year credit protection on Sears Roebuck Acceptance Corp. narrowed to 250 basis points last Wednesday, in from 370bps where it had traded the previous day, on news it is considering selling its credit card business, said a New York-based trader. Reaction to the news was initially positive with spreads narrowing as tight as 200bps. Later in the day, however, Standard & Poor's announced it had placed the firm on negative watch, which blew spreads out to 275bps, before protection settled into a trading range of 240-250bps, he noted.

What Is A One-Touch Option? Internationally active market participants are always subject to changing foreign exchange rates and hedge their exposure by trading an immense variety of options worldwide.

JPMorgan has hired Mark Leung, director in Asian derivatives and bonds at UBS Warburg in Hong Kong, for its rates desk in Singapore. "It's an interesting opportunity," said Leung, noting that he will handle a wider array of products--including complex interest rate options in the regional currencies. Leung, who had a stint as an interest rate trader at JPMorgan in Singapore several years ago, starts next month. He will report to Edmund Ng, in Singapore. Ng was traveling and could not be reached. Joanne Shephard, spokeswoman at JPMorgan, declined comment.

"We stay away from the esoteric deals."--Pierre-Emmanuel Juillard, head of securitization and structured credit at AXA Investment Managers in Paris, explaining the asset management giant's strategy for buying asset-backed securities. For complete story, click here.

UBS Warburg has hired Sheree Ma, v.p. and credit derivatives marketer at JPMorgan in Hong Kong, for its structured products desk. Deborah Ho, regional head of distribution in Singapore, said, "She will be part of our structured products group," noting Ma will cover China, Hong Kong and Taiwan. In this new role, Ma will focus both on credit and interest rate products. "We're old [JP]Morgan colleagues," said Ho. Ma, who starts in the coming weeks, will report jointly to Ho and Lee Knight, managing director in the fixed income division in Tokyo. Ma could not be reached.

Caissa Capital Management will consider entering variance swaps in its soon-to-be-launched Volatility Opportunity Fund, which employs a volatility arbitrage strategy. Ron Henley, partner in New York, said variance swaps are attractive for vol arbitrage players because they give a pure play on volatility, which is a more direct form of execution than other techniques, such as buying delta. As a relatively young industry, however, the fund manager would need to feel comfortable that the variance swap market is sufficiently liquid before entering into any such products, he noted. A variance swap entails the exchange of a future realized variance of an asset against a fixed nominal variance.

Firms in the U.S., including Deutsche Bank, Lehman Brothers and JPMorgan, are developing synthetic collateralized debt obligations referenced to CDOs in a trend that is likely to double the size of the market, said officials at these firms. Increased volumes in the CDO secondary market as well as wide spreads, may be encouraging the move, according to David Schwartz, CDO researcher at Morgan Stanley in New York. Nik Khakee, director in structured finance at Standard & Poor's in New York, said S&P has traditionally rated around two such deals a year, but predicts that number may double this year.

Northern Rock, a U.K.-based lending and savings bank, entered a cross-currency swap on a recent EUR600 million (USD634.89 million) bond offering to convert it into a sterling-denominated floating-rate liability. Pete Horner, head of derivatives in Newcastle-Upon-Tyne, U.K., said the bank converts all of its fixed-rate debt into floating-rate and all non-sterling denominated issues into sterling to match its asset base. The maturity of the swap matches the maturity of the bond.

Is that an exploded dye pack in your pants, or are you just happy to see me? A bank robbery suspect learned his lesson the hard way last week. Shortly after a National City Bank was robbed, John Gladney was spotted by the police walking strangely and in apparant pain about a block away from the bank. He had stuffed the money, which contained an explosive dye pack, down his pants and it exploded near his groin. He was captured and charged with aggravated robbery.

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.

Dresdner Kleinwort Wasserstein has hired Zach Tuckwell, head of European equity portfolio trading at Merrill Lynch, in a similar role in London, and expects to announce up to 10 additional hires in the group in New York, Tokyo and London. Dresdner is finding more demand for portfolio trading and is opportunistically building its presence, according to an official familiar with the plans. Tuckwell will report to Tim Clorite, global head of portfolio trading. Clorite referred calls to the press office. Louise Beeson, spokeswoman at Dresdner in London, did not return calls at press time.