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The cost of euro/dollar options fell last week as spot settled into a range between USD0.97-0.98. One-month implied volatility fell to 7.9%, down from 8.75% the week before. The options market has seen a lot of selling over the last few weeks with volatility approaching its lowest level since April or May, noted one trader in New York. Volatility in the equity markets isn't feeding through to the spot market with speculative investors, including hedge funds and bank proprietary desks, selling options as a result, added the trader.

WestLB has snared David Wagner, head of derivatives marketing at CIBC World Markets in New York, as an executive director and head of derivatives sales. He will report to James McPartlan, executive director, when he starts today.

DG Capital Management is looking to add but will hold off to its corporate bond allocation until there are signs the global economy is back on its feet and more companies begin to post better earnings news. "We want to see more positive numbers from companies, like [International Business Machines] posted recently," says Peter Lockhofen, senior portfolio manager, who manages E3 billion in Frankfurt. He declined to say how much more of the portfolio potentially could be reinvested in corporates.

Source development? Or is it possible that one LMW reporter misunderstood the concept of breaking the ice? As the Loan Syndications and Trading Association conference had just gotten underway last Tuesday, one LMW reporter spilled ice-water on the speech that Eric Chilton of Barclays Capital had prepared as a moderator for a panel on recent LSTA initiatives. Thankfully, it wasn't written in ink and the discussion went off without a hitch.

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.

Segall, Bryant & Hamill is seeking to add $50 million in 30-year Fannie Mae and Freddie Mac 6% and 6.5% pass-throughs with low gross weighted average coupons. Jim Dadura, portfolio manager of a $1.15 billion taxable fixed-income portfolio, believes a great deal of prepayment risk is already priced into the securities. To raise assets for the purchase, the money manager will sell Treasury and agency securities of less than five-years in maturity on the view that the short part of the Treasury curve will not appreciate further. Segall, Bryant has already bought close to $20 million of the bonds, using new cash, pay-downs and agency debentures.

Prescrott Crocker, high-yield portfolio manager at Boston-based Evergreen Investments, says he will increase the firm's defensive bond allocation by $250 million, or 10%, on the view that he does not expect a traditional cyclical recovery ahead but rather, a period of very slow growth. He says that in such an environment, his strategy will be "cautious" and centered on picks from the consumer non-durable, retail and service sectors. He will finance the bonds through the sale of cyclical names for the same amount. There is no trigger for this move.

Isaac Efrat, a high profile senior collateralized debt obligation senior at Moody's Investors Service, has announced his intention to leave the firm, says a Moody's analyst. His last day is today. Efrat was co-managing director of the derivatives team along with Bill May. Both specialize in esoteric CDOs and synthetic deals, reporting to Noel Kirnon, group managing director, who oversees the entire CDO business. As of last week, he was still in the process of negotiating the terms of his departure. Kirnon did not return calls seeking comment. Efrat did not return calls at home or at work. It remains unclear whether May will be the designated candidate to fill the vacant slot, says the analyst.

Agilis Partners, a new mortgage-backed securities hedge fund, will open in the first week of November. Austin Tilghman, general partner, says the new fund will focus on a relative value strategy within tranches of collateralized mortgage obligations. "We think that there is a number of opportunities to take advantage of mispricings, especially as they pertain to prepayment assumptions, within individual CMO tranches," says Tilghman. He says the fund is starting with $5-10 million in seed capital for track record development purposes. The capital goal of the fund is a maximum of $300 million he says, "because, with more than that, you lose your flexibility and mobility in these sectors." The launch of Agilis Partners comes not long after the recent high-profile blow up of Beacon Hill Asset Management, which also did MBS arbitrage (BW, 10/21). "I feel badly for those guys, but they prove our point for us: There are good opportunities out there for people who focus on mispriced assets and avoid duration bets," Tilghman says.

Nextel Communications' bank debt rallied last week as the company came out with promising earnings results. A trade was rumored to be completed as high as 89 1/2, but most traders quoted the paper in the 88 1/2 - 89 range. The paper had begun to inch up the day before earnings were released in anticipation of strong results. "Historically, they've always beat expectations," one dealer said of the early activity.

Chris Albanese, a high-grade corporate bond salesman, recently joined Nomura Securities International in New York. Albanese declined to comment other than to say that he had joined Nomura. It is believed he will report to Josh Edelson, national fixed-income sales manager at Nomura. Edelson referred calls to Susan Atran, a Nomura spokeswoman. She did not return calls by press time. Albanese's last position was in corporate bond sales at Barclays Capital. Walter Derish, head of Barclays U.S. corporate bond sales in New York, did not return calls. Prior to joining Barclays, Albanese worked at Credit Suisse First Boston and PaineWebber.