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The International Swaps and Derivatives Association has issued the minutes to Oct. 15's meeting, when the U.S. credit professionals rejected the European modified modified restructuring proposals.

"For AAA notes Moody's is the harshest, but for mezzanine classes S&P tends to be the harshest."--Yukio Egawa, director in the global securitization research group at Deutsche Securities in Tokyo, commenting on the rating agencies' different methodologies for rating CDO tranches. For complete story click here.

Size Of The Market

Taishin International Bank, with a market capitalization of over TWD30 billion (USD859 million), is gearing up to make its first investment in synthetic collateralized debt obligations. "This will allow us to diversify our portfolio," said Eric Chien, head of the treasury department in Taipei. The move follows the bank's merger with Dah An Commercial Bank earlier this year.

The cost of U.S. dollar/Japanese yen options jumped last week following the announcement of the Japanese government's banking and economic reform package. One-month implied volatility rose to stand at 9.75% Wednesday, up half a percent on the week before. The week saw uncertainty over what sort of package the Japanese government would offer, said one trader. The currency pair traded at JPY123 last Wednesday, strengthening from JPY125 the week before.

Scott Stone, portfolio manager at Kansas City Life Insurance Co., says he will rotate $45-67.5 million, or 2-3% of the firm's portfolio, into mortgage-backed securities and high-yield bonds. The firm's allocated cash reserve will be used to finance these purchases. There is no particular trigger for this move. Stone says that his low cost of funds is central to his decision to add MBS, but declined to elaborate further. The rationale for increasing the high-yield exposure lies in his desire for added yield. He will make the move by buying double-B secured bonds.

To coin a phrase ... How tough are things in the market these days? Last week a banker and a CFO--on unrelated deals--used the term "back against the wall" in reference to deals in which they are involved.

The Deal Roll-off Chart, provided by Capital DATA Loanware, lists the 50 largest leveraged credit facilities in the U.S. market that are due to mature in the coming month. It is designed to provide a look at potentially available money in the market as credits are renewed or retired.

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.

AMR Investment Services is buying two-year agency debentures and corporate bonds, and selling them when it reaches 13 months to maturity. In February, assuming a 50 basis point spread between one and 1.5-year Treasuries, the firm will sell the roughly $450 million Fannie Mae 2.30% debentures of '04 that it bought last July, according to Bonnie Mitra, portfolio manager of $5 billion in fixed-income.

Invesco Asset Management is adding to its U.K. gilt positions when the bonds experience temporary weakness, in particular, on days the equity market is up. "There has been a very strong correlation between equity markets and bond yields. We're looking to buy on dips in the bond market. With bond yields at 4.75% in the U.K., gilts look to be relatively good value. Any kind of uptick in equities is a potential buying opportunity to increase exposure to gilts," says Andrew Farrell, fund manager of $2 billion in mainly U.K. government bonds.