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European corporates have capitalized on a sharp rise in interest rate swap rates and implied volatility in recent weeks by executing a flurry of swaps and options, while others have rushed to lock in hedges against further rate spikes. These trades have caused volumes to rocket by 25-50%. French retailers Casino Guichard-Perrachon and Carrefour have reportedly piled into the swap mart to convert a portion of existing debt into fixed, while the jump in implied vol has caused others, including Imperial Tobacco, to look for opportunistic ways to earn premium. Traders said future activity would depend on the direction of swaps rates. Mathieu Guillo, an official in the funding group at Casino in Sainte-Etienne, France, and Pierre Mainoldi, official in the treasury group at Carrefour in Paris, declined comment.

Singapore's Straits Lion Asset Management, with over SGD10.5 billion (USD5.93 billion) under management, plans to invest USD10-30 million in a collateralized debt obligation mezzanine tranche. The firm recently bought into a USD1 billion hybrid CDO issued by HVB Asia, the Asian arm of Germany's HypoVereinsbank. The fund manager is also the reserve fund manager for the deal, according to Lye Thiam Wooi, v.p.

One-month euro/Swiss franc implied volatility rose to 3.538% last week from 3.033% the week before as investors bought euro calls/Swiss franc puts when spot rallied to CHF1.4780 from CHF1.4680. Traders said spot moved due to indications from the Swiss National Bank that it is considering intervening to weaken the franc. Investors were buying options with maturities of up to three months with strikes ranging from CHF1.48-1.50 at spot levels of around CHF1.4720, traders said.

Goldman Sachs is searching for a couple convertible arbitrage traders for its proprietary trading desk in New York as it continues to rebuild the operation after suffering a slew of departures last year, said officials familiar with the firm's plans. The firm is seeking staffers with between three and five years trading experience, according to an official. Jonathan Knight, managing director who heads up the desk in New York, was traveling and could not be reached. Ed Canaday, spokesman in New York, declined comment.

Variance swaps offer investors an effective tool to trade volatility. And they're easier to use than options.

The International Swaps and Derivatives Association plans to publish an afternoon market price for Hong Kong dollar interest rate swaps from mid-to-late April. "There's been a demand to have an end-of-day fixing that will act as the benchmark of the day's activity for European and U.S. market participants," said Angela Papesch, head of ISDA's Asia-Pacific office in Singapore. The second fix will be at 4p.m.

Asahi Mutual Life Insurance, with over USD58 billion in assets, is considering ramping up its synthetic collateralized debt obligation investment portfolio as well as increasing its purchases of credit-linked instruments. "We're focusing on the credit derivatives market," said Manabu Tamaru, head of the credit investment department in Tokyo.

Crédit Lyonnais has started offering institutional investors capital protected exposure to the equity tranches of synthetic collateralized debt obligations. Martine Boutinet, head of global investor sales in Paris, said the firm is selling medium-term notes in which the coupon is linked to the equity tranche, but the principle is invested in the AA or AAA MTN issuer.

Alex Seiler, managing director and head of technology sales at Morgan Stanley in New York, has left the firm and is reportedly joining a hedge fund being set up by former Morgan Stanley colleague Jordi Visser. Visser, who resigned from his post as managing director and head of hedge fund sales for Morgan Stanley's equity derivatives group earlier this year (DW, 2/2), is rumored to be setting up a global macro equity hedge fund, which will take long/short positions and use over-the-counter derivatives, said an official familiar with his plans.

Nomura International has added Herve Lagadec, senior manager in credit sales at RBC Capital Markets in London, for its fixed-income sales team. Lagadec will focus on marketing a range of debt products to French clients, including derivatives, according to Cameron Walker at Nomura in London. He will report to Barry Nix, head of fixed-income sales. Lagadec referred calls to the spokesman. Nix did not return calls.

Credit Lyonnais has hired Henry Chong, derivatives marketer for Korea at Banque AIG in Tokyo, for a similar role in Seoul covering Korean corporates. "I wanted to be closer to the market," said Chong, a native of Seoul. He now reports to Bruno Lebeda, treasurer in Seoul. "This is part of our strategy to leverage trading and further develop the sales desk," said Lebeda.