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The U.S. trade association for financial guarantors filed on Nov. 8 an amicus curiae--or friend of the court--brief asking a U.S. court not to accept an insurance company's defense in an on-going case in which the insurer is charged with failing to pay out on a financial guarantee it had written. The case is being keenly watched by some derivatives lawyers as the judgment could have a profound impact on the credit derivatives market.

Wachovia Securities plans to beef up its U.S.-based credit derivatives operation with several hires in sales, trading and structuring. An official in Charlotte, N.C., said the firm is in talks with candidates and expects to name several new appointments by year-end, with others to be placed early next year. He declined to say how many hires will be made in total.

"A lot of these companies are just waking up."--Scott Wacker, global head of corporate distribution at ABN AMRO in Amsterdam, commenting on the lack of preparedness for a new accounting rule among corporates. For complete story, click here.

The cost of euro/dollar options jumped by around 25 basis points last Wednesday on the week before as the dollar came under renewed pressure in the spot market. Last Wednesday one-month implied volatility stood at 9.25%, having reached 9.5% earlier in the week, while one-year volatility rested at 10.25% having hit 10.5% in the same period, noted a trader in New York. The currency pair traded at USD1.007 last Wednesday in the spot market, having reached USD1.01 last Monday.

Groupama Asset Management is preparing to shift some $15 million out of Treasuries and into corporate bonds in a bid to add yield. Dan Portanova, portfolio manager of $150 million in taxable fixed-income, says he will also look to shift out of consumer non-durables whose stock performance has held up well. Before making the trades, however, Portanova says he would like to see continued improvement in corporate bonds versus Treasuries, improved corporate earnings, tax stimulus in 2004 moved up to 2003 and a more stable picture overseas.

Putting some Bada Bing in the ratings game ... Moody's Investors Service's cocktail reception at the W in Union Square turned some heads or caused some blushing. The cocktail waitresses at the event took business casual to a whole new level. Let's just say there weren't many Aaas walking around.

Steven Jones, director fixed-income at Missouri Valley Partners, will swap $50 million, or 5% of the firm's portfolio, out of mortgage-backed securities into short-term corporates in order to avoid negative convexity given his concern over potentially spiking interest rates. Jones' reasoning is to avoid holding pass-throughs that will roll up the steep curve and lengthen in duration as interest rates rise. There is no trigger for this move, besides his assumption that the economy will improve, leading interest rates to move up.

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.

BNP Paribas Asset Management, which manages roughly E46 billion in fixed-income assets from its Paris office, plans to sell five-year government bonds across the board and buy only French government bonds in expectation of an imminent rate cut from the European Central Bank. Claude Guerin, portfolio manager, anticipates a 50 basis points cut from the ECB, which he says will cause the five-year portion of the yield curve to steepen and for the curve to flatten between the five- to 10-year area, because inflation will drop.

Click here to download the complete CDOs: Challenges and Changes supplement. (in pdf format)

EuropeLoan, an Internet mortgage provider based in Belgium, is planning to bring a residential mortgage-backed securitization to market in January, according to a firm official. The size and currency of the deal could not be learned by press time. EuropeLoan's last deal was priced in May and denominated in Swedish kroner as the collateral pool was Swedish mortgages. Barclays Capital was the lead manager on that deal. EuropeLoan also offers mortgages in Belgium, Germany, the Netherlands and Finland.