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Bank Nederlandse Gemeenten, the principal Dutch public sector finance agency, has entered a cross-currency interest rate swap on a recent GBP100 million (USD159 million) bond offering to convert it into a euro-denominated synthetic floating-rate liability. Bianca Ydema, senior manager in the capital markets group in Den Haag, said BNG issued the bond in sterling because of demand from a major U.K. investor, which she declined to name. It converted the offering into floating-rate euros to match its lending portfolio.

A salary survey conducted by Michael Page City predicts derivatives staffers' salaries and bonuses will be down by as much as 20% compared with last year. It also shows two-tiered remuneration, with structured derivatives pros receiving higher compensation than those working in plain vanilla groups, which is normal when client flows dry up in a bear market. Additionally, all equity derivatives professionals will fall within the lower tier.

"The court effectively stripped away extraneous claims and forced the parties to focus on the contract."--Patrick Clancy, derivatives counsel at Shearman & Sterling in London, commenting on a judge's decision to throw out most of Eternity Global Master Fund's claims against JPMorgan. For complete story, click here.

U.S. realtor the Federal Realty Investment Trust has suffered a USD1.5 million loss on an interest rate hedge the firm entered on the back of a planned note sale, which was then delayed because of a fire at one of its properties. Andrew Blocher, v.p. in investor relations and capital markets at the firm in Rockville, Md., said the loss is now being amortized into the expense of the delayed issue. The firm issued the bond this month having originally scheduled the issue for August.

Taiwan's Securities And Futures Commission is preparing to open an equity-linked note market next year in a step to further expand the onshore derivatives market. "This is a huge positive," said Justin Kennedy, managing director of Asia Pacific equity derivatives at Salomon Smith Barney in Hong Kong. Wang Hung Rui, an official at the SFC in Taipei, said the regulator will permit equity-linked notes as well as warrants on stocks listed on the GreTai Securities Market by April.

The price of credit protection has started to widen again now that the synthetic collateralized debt obligation pipeline has dried up. Credit spreads have been tightening for the past month, but traders are now saying spreads are too tight and they are snapping up protection. Separately negative credit news is also leading to widening spreads.

During September European equity indices rallied by between 5%, (the FTSE 100) and 14%, (the Dow Jones Euro STOXX) and over the same period three-month at-the-money index implied volatility fell by around 9% to 10%.

Everyone likes Star Kist, but buysiders were groaning after a mammoth two-and-a half- hour conference call explaining the Del Monte acquisition and debt plans. "It was tough," said one buysider.

Kevin Dachille, portfolio manager at Mercantile Capital Advisors, will swap 5% of the firm's portfolio or $7 million, from mortgage-backed securities into corporates when the yield curve begins to flatten. The trigger for the move will be when the spread between the two-year Treasury and the 30-year long bond tightens to 50 basis points. Last Monday, the spread stood at 300. The flattening indicate speeds which is not a favorable environment for MBS performance, he says. In this flatter yield curve context corporates should outperform MBS.

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.

Société Générale Asset Management will sell the rest of the conventional bonds in its £500 million fixed-income portfolio, and buy index-linked paper. Paul Rayner, head of U.K. bonds in London, says, increased government and corporate issuance in general, especially on the long-end, will put pressure on yields. Rayner foresees inflation creeping up, which will prompt him to sell conventional gilts and buy index-linked gilts--both corporate and government. He expects to make the move next year. Currently, SGAM allocates 90% of its portfolio to government and index-linked bonds and the balance to corporate credit.

Piedmont Capital Management is seeking to capture gains in its Household International 6.5% notes of '06 and 6.47% notes of '08. The bonds rallied from 92 to par after HSBC Holdings reached an agreement to purchase Household. Piedmont owns just under $1 million of Household bonds, and will sell them if it receives a bid of 100.5 or 101, says Walter Campbell, portfolio manager of $100 million in taxable fixed-income.