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Ted Tsao, director, equity derivatives marketing at Merrill Lynch in New York, has joined Salomon Smith Barney in the new position of director, head of U.S. non-dollar denominated equity derivatives sales. He reports to Charlie Miles, managing director, U.S. derivatives sales in New York. Tsao is responsible for marketing non-dollar denominated equity derivatives from around the globe to clients in the U.S., said Miles.

Branch Banking & Trust is about to enter into a USD20 million (notional), 10-year callable interest-rate swap with a corporate client. Rich Miller, v.p., risk management in Winston-Salem, N.C., said the bank reserves the right to call after seven years. He declined to name the client, except to say that it is a corporate that has issued a bond. The rates have not been determined, but Miller estimated that the client will pay a fixed rate of around 5.45% and will receive a U.S. dollar LIBOR-based rate. The client is looking to fix its liability when interest rates are low and their long-term future direction is uncertain, he added.

Investors bought somewhere on the order of a yard in short-dated U.S. dollar calls against the yen last week, struck around JPY124 and JPY125, anticipating dollar strength as Japanese corporates reinvest money they had repatriated. Japanese corporations last week repatriated funds ahead of fiscal year end in order to book profits, said traders in New York. With the new fiscal year, they are expected to send those funds back overseas. Spot was around JPY123.5 when the trades were put on mid last week. Last Thursday, implied vol for a one-week position with a strike of about JPY124 would have been roughly 15.5%, said Craig Puffenberger, managing director and global head of foreign exchange trading at Credit Suisse First Boston in New York.

Boykin Lodging has entered into an USD83 million (notional) interest-rate swap with Fleet National Bank. The notional size of the swap matches the outstanding floating-rate debt on the Cleveland real estate investment trust's USD108 million term loan, provided by Lehman Brothers, said Paul O'Neil, cfo and treasurer. "Rates have dropped significantly over the last several months and we thought that this was the best time to lock in attractively low rates and minimize interest rate volatility," he noted. "We are a real estate company, not a bank, so we didn't want to have to bet on rate movement," he added.

Five-year credit protection prices on BHP have fallen about five basis points to 43 basis points since the announcement last month of a merger between Australia's BHP and the U.K.'s Billiton. Graham Jarvis, credit derivatives trader at Westpac Banking Corp., said there should be additional activity in the name once shareholders approve the merger in the upcoming weeks. Four trades were said to be executed on the back of the news, in the ballpark of 43bps for five year protection. BHP spreads remained at 40bps/45bps at press time for five-year protection.

Higher-than-anticipated U.S. consumer confidence levels and the European Central Bank's decision not to lower interest rates caused the euro spot to decline last week, but this did not deter some investors from buying short-term euro calls. Shortly after the ECB made its announcement, a foreign exchange trader in New York said that trading of one and two-month euro calls was still fairly heavy, with typical notional sizes of between USD100-200 million.

Standard Chartered Bank is looking to become the first bank to offer over-the-counter options on the Indian rupee. "We want to be the pioneer in bringing rupee options to India," said Madhav Shankar, manager of derivative products in Mumbai. He believes there is strong corporate interest in using currency options to hedge U.S. dollar exposure, declining to name companies it has approached. StanChart plans to approach the Reserve Bank of India for approval, Shankar said, declining to put a timeframe on the move.

Investors Management Group is planning a spending spree of up to $300 million in seasoned 7.50% conventional MBS pass-throughs over the next several weeks because it thinks the refinancing wave is over and mortgage rates will begin to back-up. Kathy Beyer, portfolio manager of the Des Moines, Iowa-based fund, says the timing reflects the fact MBS have under-performed year-to-date, and are poised for a rally should Treasuries continue to pare the gains they've made in the first quarter. This would bring her MBS allocation up to a neutral weighting on her firm's $2 billion bond portfolio, from 20% to 35%. Also, the refinancing wave that hit MBS so aggressively in the first quarter--the Freddie Mac survey of 30-year mortgage rates is now at 6.89%--makes seasoned bonds, or paper that has survived several pre-pay waves, more valuable.

Up-front fees on both pro rata tranches and institutional tranches reached their annual highs as fees on pro rata pieces jumped up to 5.2 basis points and fees on institutional pieces to 3.1 for March 2001. According to Portfolio Management Data, fees on pro rata tranches from the three months ending March 2000 were 2.9 basis points and fees on institutional tranches were 2.1 basis points for every one million dollars committed in March 2000.

Allied Investment Advisors, a Baltimore-based investment firm, will rotate from Treasuries into ABS when it thinks the Federal Reserve is done lowering interest rates, according to portfolio manager Wilmer Smith. Smith, who oversees $300 million of the firm's $7 billion in fixed-income assets, argues this will probably not be until the May 20 FOMC meeting, and he is anticipating an inter-meeting rate reduction. But, when the Fed is finished, he is ready to rotate 5%, or $15 million, of his short Treasury position into liquid AAA ABS credits in the HEL sector.

Grantham, Mayo, Van Otterloo & Co. has been buying the commercial loans of the Republic of Algeria, as well as Russian Federation 30-year Brady bonds, on the view that they provide both safety and high total return.

ABN AMRO has hired Emma Edworthy, foreign exchange options analyst at Standard & Poor's MMS in London, to boost its trading recommendations capability. Tony Norfield, global head of foreign exchange research at ABN AMRO in London, said with more currency overlay managers and corporate treasurers using foreign exchange derivatives it decided the time was right to offer regular trading strategies. The bank's research team has focused on market movements rather than trading recommendations until now. Edworthy, who started two weeks ago and reports to Norfield, did not return calls.