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Taipei-based Dah An Commercial Bank recently entered a TWD1 billion (USD29 million) three-year interest-rate swap as a partial hedge for its TWD5 billion fixed-rate car loan portfolio. It is considering entering further swaps next year to convert its entire fixed rate loan portfolio into a synthetic floating-rate asset as interest rate hikes are expected in 2002, when Taiwan's economy is tipped to recover, according to Darren Chiu, fixed income trader at the bank in Taipei. In the recent swap Dah An pays a fixed rate of 2.85% and receives the floating 90-day commercial paper rate, which was at 2.5% last Monday.

UBS Warburg is looking to hire a London-based negotiator for its derivatives contracts with counterparties in Europe, the Middle East and Africa. An official in the credit risk management documentation group in London said the role would involve tailoring separate master agreements that the firm agrees with each of its counterparties, within International Swaps and Derivatives Association guidelines.

Joe Hegener, managing director and global head of non-investment grade credit derivatives and collateralized debt obligation business at TD Securities in New York, has been promoted to head investment banking and securities in the U.S. His promotion is part of an ongoing integration project by the firm that entails joining its products groups with its corporate financing business, Hegener said. Hegener has replaced Gordon Paris, who left the firm last month, according to a company official, who declined further comment. Hegener reports to John MacIntyre, global head of investment banking and Mike MacBain, head of global debt capital markets.

Virgin Atlantic is looking to hire a derivatives-savvy group treasurer. The second-largest U.K. airline plans to hire a treasurer to manage, among other duties, the airline's foreign exchange and interest-rate exposure. The hire would be a replacement for Andrew Avann, group treasurer, who recently left Virgin, according to Reiner Siebert, manager of insurance and risk management in Crawley, U.K. Siebert declined comment on where Avann has gone.

Winterthur Investment Management Corp., a New York-based firm managing $2.2 billion in assets in a number of subsidiaries for the Swiss insurer, is seeking to add at least $100 million in triple-B rated corporates. The firm's president, Reto Koller, says it wants to take advantage of the wide spreads available in new issues with a triple-B rating in cyclical industries such as oil, basic industries and consumer cyclicals. He says such issues are currently available at wide spreads due to the "war economy." He cites J.P. Morgan Securities research showing that spreads on auto parts companies' bonds were out 92 basis points as of Nov. 2, since Sept. 11. Spreads on automotive companies' issues are out 85 basis points during the same time frame, while paper and forest products are out 66 basis points.

Lombard Odier is shortening the duration of European government bonds in its £2.5 billion global fixed-income portfolio, 80% of which is government bonds, and has just begun to sell off positions in five- to seven-year German and French government bonds. London-based Steven Murphy, senior investment analyst, says the firm will add to its positions in 30-year Spanish and Italian government paper to capitalise on their relative cheapness versus German bunds, but will maintain the majority of the portfolio in cash, thereby keeping duration short. Italian and Spanish 30-years were trading at about 20 basis points over 30-year bunds recently, but have since gapped out to 35-40 basis points over. Once there is a sustained recovery in the global equity markets, which Murphy considers to be the leading indicator of an economic recovery, the firm plans to buy in the three- to five-year range across the board in Europe's so-called core markets.

Bidding at last week's benefit auction (see story, page 2) got competitive as the night wore on, with charitable party-goers vying for one unusual item: lasik surgery. At one point, a specs-wearing dealer with his eye on the prize asked that all other vision-impaired party-goers "just clear the room." Then, as the stakes got higher, he offered to go Dutch with a fellow bidder. "What's your top price?" he asked. "I'll go $1,000. If we win, we'll each get one eye done."

McGlinn Capital Management will rotate 7% of its portfolio, or $91 million, from Treasuries into an evenly-weighted allocation of corporate and mortgage bonds. J.P. Weaver, portfolio manager, says he is waiting for pass-through spreads to widen by an additional 10 basis points versus Treasuries before buying the mortgage bonds. Last Monday, the 6% Freddie Mac pass-through traded at 152 basis points off the 10-year curve. He has already begun the corporate move. To finance the trade, Weaver will sell the short and intermediate part of the Treasury curve, on the view that Treasury yields are at their lowest levels in 10 years, especially on the shorter end of the curve. He remains bullish on long-term Treasuries, anticipating the curve will steepen.

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.

Trading on credit-default swaps referenced to Enron and Dynegy dried up last Thursday as Dynegy appeared to be moving closer to acquiring a stake in its struggling rival, according to traders. Trading volumes on Enron, which just a few weeks ago was trading every day, was non-existent as the acquisition talks intensified, said traders in New York. "There's no flow at all. The only thing we're seeing is firms' unwinding previous trades," said one trader. Most of this business came from hedge funds that had previously bought protection. Another trader said "it's hard to offer protection on risk that's just hanging out there." Trading flows on Dynegy, which were already thin--averaging about one trade every three months--followed the same path as Enron.

J.P. Morgan has launched what it believes is the first high-yield credit-default swap index representing the five-year credit risk of a linear basket of 100 junk bond issuers, according to officials at the firm. "The main reason we did this is because until now, there have been no good alternatives to trade the market as a whole from the long and short side," said Angie Long, head of high-yield credit derivatives trading in New York. The product has been correlated to traditional high-yield bond indices and will allow clients to both invest and hedge their exposure to the U.S. high-yield market through the use of high-yield credit derivatives. The product is designed to cater to clients looking to allocate assets in high yield, Long said.