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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.

The Evangelical Lutheran Church pension board has been buying select corporates, as well as a relatively new type of insurance paper--general investment contract backed bonds--on the view that the glut of recent corporate issuance is forcing issuers to make attractive pricing concessions, according to portfolio manager Mark Haney. He points to a 10-year GMAC deal that is currently being marketed as an example of the favorable supply-demand technicals in the corporate market. The large A2/A auto finance company will probably have to sell its new paper next week at 215 basis points off of Treasuries, a 20 basis point concession to its existing 10-year paper.

Salomon Smith Barney is changing its U.S. High Yield Market Index in April to accommodate the fact that the average size of junk issues has grown in recent years, and to eliminate one-off issuers active in amounts less than $200 million. Rather than include every high-yield issuer with a bond of $100 million or greater, the firm has changed the criteria so that an issuer must have a minimum of $400 million in total high yield debt outstanding, with each issue worth at least $100 million.

Wilmington Trust is switching out of investment-grade energy bonds that performed well in the rally at the beginning of the year, and buying media and telecom paper that allows it to pick up some yield, according to portfolio manager Clayton Albright. Albright, who manages $500 million in taxable fixed income for the Wilmington, Del.-based firm, has recently been hunting for yield, and characterizes much of the corporate market as "played out." Nonetheless, he recently used new cash to rotate into the AOL Time Warner 65Ž8% notes of '29 (Baa2/BBB), Comcast's 6.2% notes of '08 (Baa2/BBB), and sold the Chevron 7.45% notes of '04 (Aa2/AA).

Netherlands-based life insurance group AEGON has entered an interest-rate swap on the back of a five-year, EUR350 million (USD322 million) bond the company issued last week. Wilma Schouten, capital markets officer in the Hague, said it receives the coupon on the bond, 4.75%, and pays three-month Euribor plus five basis points. The notional size and maturity of the swap is the same as the bond. Three-month Euribor was 4.74% last Wednesday.

Adrian Hyde, managing director and co-head of credit derivatives trading at Chase Manhattan in New York, has left J.P. Morgan, under which most credit derivatives activity from Chase has been subsumed following the merger between the two firms. "I'm assessing my options now," he said, noting that he's looking to stay in credit derivatives but is open to working outside of the banking world, for example, at a hedge fund.

Major credit derivatives market makers, including Merrill Lynch, Lehman Brothers and J.P. Morgan Chase, have unanimously agreed that a regulation in the proposed Basel Capital Adequacy Accord would treat credit derivatives unfavorably compared to bank guarantees and should not be adopted. Over 40 derivatives professionals and three trade organizations met in London last week to thrash out a response to the proposals.

Credit Suisse First Boston last week hired Salomon Smith Barney agency trading head Robert Griffith to head up its expanding credit product trading area as co-head of dollar-denominated interest-rate product trading. Griffith is responsible for all of CSFB's customer and proprietary trading activity in agency and government derivatives, as well as the attendant repo financing of these transactions, according to DW sister publication Bond Week.

Dresdner Kleinwort Benson plans to launch a Japanese credit derivatives trading and structuring book and will hire four to five professionals to staff the effort. It may also hire traders and structurers in other Asian centers such as Hong Kong in the medium term, said Yukiko Omura, managing director, head of global markets-Japan in Tokyo, declining further details on this point. Currently it trades Asian credits out of its London book, but with this move, aims to ramp up its credit derivatives business in Japan.

Cardano Risk Management, a Dutch asset-liability consultancy, plans to enter the U.K. market in the next six months to expand its customer base. The consultancy advises pension funds on which over-the-counter derivatives they should use to hedge the value of their assets, according toTheo Kocken, managing director in Rotterdam. It then invites banks to quote for the business.

One-month euro/dollar implied volatility jumped to 13.2%/13.5% on Thursday from 12.05%/12.75% on Wednesday. The rise in implied vol followed a drop in the euro in the spot market versus the greenback to below USD0.92. Vol rose as euro/dollar spot fell because demand for euro puts/dollar calls escalated as traders hedged their positions. London-based traders said with the euro falling below USD0.92, the one-month risk reversal is favoring euro puts, whereas it previously favored euro calls. The most demand was for one-week euro puts struck at USD0.90, and even some that went down as low as USD0.80. The options had notional sizes of USD30-50 million. The euro fell against the dollar from USD0.9296 on Monday to USD0.9028 on Thursday.