Search results for

The Japanese credit derivatives market has dropped obligation acceleration and repudiation/moratorium as credit events from standard default swap documentation. "We're following the global standard," said Nobukazu Saeki, manager in the derivatives and structured products division at Bank of Tokyo-Mitsubishi in Tokyo and co-chair of the International Swaps and Derivatives Association's Japanese credit derivatives committee, referring to the fact that the U.S. and Europe do not use these events.

Pioneer Investment Management plans to launch its first structured products linked to hedge funds and may use over-the-counter derivatives to structure them. The move follows a planned merger with Momentum Asset Management.

CP Ships, one of the world's largest container shipping companies by volume, will probably enter its debut interest-rate swap as part of plans to increase its debt issuance over the next 12 months to finance upgrading its fleet, according to Iain Torrens, treasurer in London. The company, which has revenue of USD2.65 billion, raised USD200 million through a 10-year debt offering last month and may enter a swap to convert the fixed 10.375% coupon on the bond to a floating-rate liability.

A common misconception in the analysis of collateralized debt obligations is the assumption that the underlying collateral pool performs just like the market or an index. Such generalizations make historical stress analyses easy, since all one has to do is observe the historical performance of the market or index. However, CDO collateral pools tend to have far fewer securities than any broad measure of the market. As such, there is a significant risk that the collateral pool behaves differently from the market, even if aggregate risk measures, such as ratings, are similar.

Salomon Smith Barney has put its global synthetic and cash flow collateralized debt obligation businesses under one roof, according to DW sister publication BondWeek. The new group, dubbed Global Portfolio Solutions, is globally co-headed by Janice Warne, global head of structured bonds in New York, and Sumit Roy, global head of credit derivatives in New York. Both keep their former assignments in addition to co-heading the new group.

Taipei-based Taiwan Life Insurance, with over USD2.1 billion in assets, is considering investing in credit-linked notes for the first time in the coming months. "We're looking at this," said Amy Chen, financial products fund manager, noting that the insurer is considering CLNs linked to U.S. or Taiwanese companies for its USD400 million fixed-income portfolio.

The cost of credit-default protection on Verizon Global Funding, a funding arm of Verizon Communications, fell late Wednesday after the company reported better-than-expected second-quarter earnings. But later in the week protection widened slightly again as investors continued to express fear of future credit events in the telecom sector. Mid-market five-year default swap spreads tightened to 340-345 basis points by mid Thursday in New York from 430bps before the earnings were announced on Wednesday, according to traders. By Friday, five-year mid-market protection had widened slightly to 355bps.

Pope & Talbot, a pulp and wood-chip producer with annual revenue of roughly USD500 million, is considering entering an interest-rate swap to covert a fixed-rate liability into floating, said Maria Pope, cfo in Portland, Ore. The interest comes on the heels of a bond offering last month, in which it raised USD60 million in 11-year notes with a fixed coupon. "We have not [done any swaps] and we're considering it," she said, noting the company is talking to potential counterparties about entering a swap. Pope & Talbot has used interest-rate swaps in the past, she added, declining to say what factors would influence its decision-making.

The cost of dollar/yen options dropped sharply last week as the dollar reversed weeks of losses versus the yen, in line with a turnaround in U.S. equity markets. Implied volatility fell, with the one-year rate dropping from roughly 9.1% from 9.6% and one-month vol down to 9.75% by Wednesday from 10.75% Monday, according to fx options traders. Dollar/yen spot was near the JPY115 mark at the start of the week before moving higher to JPY119.75 by Wednesday.

"There needs to be a better reference for pricing--we need more issuance."--Henry Chang, head of fixed-income and derivatives at Bank SinoPac in Taipei, commenting on what is keep the firm out of immediately purchasing credit-default swaps. For complete story, click here.

TransAlta Corp., a Canadian energy company with more than USD7 billion in assets, has entered a handful of swaps on the back of a recent bond deal to convert a fixed-rate obligation into a mix of fixed and floating-rate liabilities. An official in the treasury department in Calgary said the company entered four separate swaps totaling USD125 million in which it will receive the fixed-rate coupon of 6.75% on the bond and pay four separate floating rates, which he declined to specify. He said the swaps allow the company to evenly split the USD300 million deal into fixed and floating-rate liabilities.

CDC IXIS Capital Markets North America has hired Ed Vartughian, an equity derivatives trader at SG Cowen in New York, in a similar position for its growing New York equity derivatives team. Vartughian, who started late last month, confirmed his move but referred further queries to Vuk Bulajic, head of equity derivatives at CDC in New York. He too confirmed the hire but declined further comment.