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The San Francisco-based headquarters of Barclays Global Investors, a global institutional investment firm with more than USD800 billion in assets, is planning to manage its first synthetic collateralized debt obligation, according to a firm official. BGI's first deal is expected to hit the market within the next two months.

The International Swaps and Derivatives Association recently appointed Junichi Kamei, branch manager of Crédit Agricole Lazard Financial Products Bank in Tokyo, as a policy director and head of the Tokyo office. Kamei said he joined at the beginning of the month.

Norinchukin Bank, part of the Total NorinchukinGroup with over JPY60 trillion (USD470 billion) in assets, plans to start trading credit-default swaps by year-end. "We'll look to put on proprietary positions," said Michimasa Soga, senior manager of the derivatives and fixed-income department in Tokyo. Soga said the bank will probably start small, putting on a few trades at a time on Japanese credits. He declined to comment on the potential size of the trading book for default swaps. Currently, the department trades bonds and interest-rate derivatives.

Atradis Fund Management, a recently established hedge fund manager in Singapore, is looking to use over-the-counter foreign exchange options. The fund, dubbed the Atradis Barracuda Fund, began trading earlier this month and plans to use OTC currency options to hedge currency risk on equity positions in the Asian region, noted Richard Magides, fund manager. The year-end target for assets under management is USD70 million.

Berkshire Hathaway v.p. Charlie Munger's recent claim that "To say derivative accounting in America is in the sewer is an insult to sewage," may have been a trifle melodramatic, but many market professionals share his concern and agree that something is rotten in the state of Denmark. In particular, the collapse of energy trader Enron has thrust derivatives accounting and disclosure into the spotlight and ratcheted up the sense of unease among investors.

Credit-default swap spreads on Fiat widened approximately 80 basis points in the beginning of the week for both five-year and two-and-a-half year protection after the Italian car manufacturer posted a larger than expected net loss for the first quarter on Monday. Swap spreads were trading at 450bps/480bps for five-year protection and 480bps/530bps for two-and-a-half year protection by last Wednesday. Traders said convertible arbitrage funds were big buyers of protection in the two-and-a-half-year portion of the curve to match Fiat's outstanding convertible offering. One trader estimated EUR50-100 million (USD 4.5-9.13 million) traded from Monday to Wednesday. Typically volumes would be in the low end of that range.

Société Générale is looking at offering the first collateralized fund obligation referenced to a portfolio of weather and catastrophe risk hedge funds. Diego Wauters, executive director and global head of insurance and weather derivatives in London, said, "This is just in the thinking process." He estimated that if the CFO goes ahead it will likely hit the market within the next 12 months.

UBS Warburg is looking to become the first house in Hong Kong to list equity-linked notes on the Hong Kong exchange by year-end. Chi-Won Yoon, managing director of equity risk management in Hong Kong, said listing the product will lead to greater transparency and will also open it up to retail clients.

UBS Warburg is working on its first collateralized fund obligation with sister company and hedge fund specialistO'Connor . In the structure O'Connor will select a portfolio of 40 hedge funds diversified across region and strategy and the investment bank will tranche the risk, according to officials familiar with the deal. Officials at UBS and O'Connor declined comment.

Various indicators are commonly used to gauge relative value in the volatility market. Amongst those we can mention volatility cones and the spread between implied and historical volatility. In particular, these two indicators tend to be difficult to use in isolation: for instance, a volatility in the middle of its cone and far above realised levels will look relatively expensive while a volatility in the middle of its cone and far below realised levels will look relatively cheap. In other words, we need to look at a combination of indicators to try and identify value. In this article, we have studied extreme values of the volatility risk premium and found that large readings were symptomatic of large mis-pricings in the market. As such, our new indicator gives us an indication of the best currency pairs to look at to try and extract value.

David Killian, portfolio manager of $175 million in taxable fixed income at Stone Ridge Investments Partners, has been looking to "cut back significantly" on the firm's holdings of Tyco International 6.75% notes of '11 (Baa2/BBB). As of May 10, Tyco represented 5%, or roughly $4 million, of the firm's holdings. Killian says he believes Tyco's bonds will rise substantially in price once the firm completes its planned IPO of CIT Group. The paper was trading at 84 last Monday, and Killian says he hopes to be able to sell it in the mid-90s.

A funny thing happened on the way from the podium ... At Loan Market Week's Best Trading Desk awards ceremony last Thursday somebody swiped Salomon Smith Barney's award for most improved distressed desk! No one from the firm was present to pick up the award, so it was set back down on the awards table. When last call rolled around the Tiffany crystal award was nowhere to be found. This is why we poll for the most trustworthy desk! LMW will have to conduct another poll to narrow down the list of likely suspects.