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Goldman Sachs is structuring its first catastrophe bond that will securitize Hawaiian hurricane risk. The USD200-400 million CAT bond is being structured for San Antonio, Texas-based insurer USAA and is expected to hit the market next month, according to a CAT bond professional in New York. Kathleen Baum, spokeswoman for Goldman Sachs, declined to comment because the issue is a private placement, and a spokesman at USAA also declined to comment.

Hamon Investment Group, with over USD300 million under management in Hong Kong, plans to use over-the-counter equity options for its newly launched long/short fund. The fund, dubbed Hamon Oriential Long/Short Fund, started investing last month with USD25 million under management and will use up to USD5 million (notional) in single-stock options to hedge downside risk for cash positions, according to Vincent Cheng, cio. "This will be for hedging positions in addition to other stocks and index futures," noted Cheng.

HSBC is preparing its first synthetic arbitrage collateralized debt obligation as part of the firm's plan to grow its ABS and CDO group. HSBC has already completed a cash arbitrage CDO, but the next deals could be synthetic if there is client demand. Rick Watson, head of the CDO group who recently joined from Bear Stearns, said the bank will also structure balance sheet CLOs for banks, which will be primarily synthetic, and cash CLOs backed by residential mortgages, consumer loans and mortgage warehousing facilities that will mainly involve a true sale.

The demand for structured and plain-vanilla Korean won/dollar options has doubled as the dollar slides against the Asian currencies. The trades have also caused 25-delta risk reversals to flip to favor dollar puts. The boost in volumes has been most prevalent in won/dollar but, "There's an increase in demand for options across all Asian currencies," said Peter Redward, Asian currency strategist at Deutsche Bank in Singapore.

JPMorgan has hired Kim DiSpigna, a senior marketer in Credit Suisse First Boston's equity derivatives group in New York, in a similar position. DiSpigna, who joined JPMorgan's New York team about a week ago, reports to Nicholas Kello, managing director and head of investor coverage. Kello said DiSpigna is filling a newly created position as a senior marketer. There are about four additional pros on the team. He added that the firm is not looking to make any additional hires.

JPMorgan is thought to be the first derivatives house to start marketing a collateralized fund obligation to investors in Asia. The CFO, dubbed Man Glenwood Alternative Strategies I, referenced to USD500 million of hedge fund investments, is being marketed globally but several tranches will be sold to Asian clients in the next two to three months, according to an official at JPMorgan. The manager of the portfolio is Man Investment Products.

Yamato Life Insurance, with JPY300 billion (USD2.3 billion) in assets, is considering making its first purchase of a synthetic collateralized debt obligation in the coming months. "We're studying the possibility," said Yoshimitsu Takano, manager of fixed-income in Tokyo, who runs the insurer's JPY20 billion fixed-income portfolio. He continued that Yamato Life may invest in yen-denominated tranches as they offer higher yield over traditional fixed-income instruments but he said it was too early to estimate the potential size or structure of its investment. He added any CDO it invested in would have to be referenced primarily to Asian credits.

Rabobank is looking to structure its first USD500 million synthetic collateralized debt obligations in Asia by year-end, according to Michael Hyde, executive director of capital markets in Singapore. "We've done deals outside of Asia and we're looking to leverage our success by replicating those strategies," said Hyde. He added, the firm has started to receive interest in Asia amid a growing understanding of credit products.

Shinsei Bank is looking to boost its nascent derivatives operation and expand into equity products by recruiting an equity derivatives trader to lead the buildup. "We're looking for a key hire," said Marten Touw, head of the markets division in Tokyo, adding that after a senior equity derivatives trader is brought aboard, there is the potential to build a team under him. Touw joined Shinsei last year from Standard Chartered Bank where he was the head of global markets for North East Asia (DW, 2/18/01).

Murphy Oil, an oil and gas exploration and production company with an approximate USD4 billion market cap, is considering converting some of its fixed-rate debt to floating. Kevin Fitzgerald, treasurer in El Dorado, Ark., said the company paid down approximately USD200 million of its floating-rate bank debt with a recent fixed-rate USD350 million bond offering, causing its percentage of fixed-rate debt to increase. Murphy Oil's total proportion of fixed-rate debt stands in the mid-70% range, up from the high 60% range prior to the bond deal, Fitzgerald noted, adding that the company is in the process of deciding on its ideal mix of fixed- and floating-rate debt for its USD800 million portfolio.

Credit-default swaps spreads on Deutsche Telekom, France Telecom and KPN came in last week because fixed-income investors feared Deutsche Telekom would cancel its pending bond offering. The investors put their cash to work instead by purchasing telco outstanding debt, said traders in London. As rumors that Deutsche Telekom would cancel its EUR5-8 billion (USD4.5-7.2 million) pending offering spread through the market, five-year protection tightened to 200 basis points/215bps from 230bps/240bps on Tuesday into early Wednesday. France Telecom tightened to 350bps/370bps from 380bps/400bps, while spreads on KPN tightened to 240bps/260bps from 268bps/285bps in that same time frame. Traders said volume was in the USD100-200 million range, and was weak in general last week because of the U.K. and European holidays.

Steve Kohlhagen, a former University of California, Berkeley professor who built the fixed income derivatives business at Wachovia Securities, is ending his decade-long stint as head of all fixed income sales and trading for derivatives and cash at the Charlotte, N.C.-based firm. Kohlhagen, 54, said he will be leaving Wachovia in August to pursue a career writing mystery novels with his wife, Gale. "I spent 10 years at Berkeley and 10 on Wall Street: it's time to move on," he said. However, he has agreed to stay on board through the last half of 2002 to continue overseeing risk management for the fourth largest financial holding company in the U.S. and help it to find a successor for his position. "We've already started searching for a successor to head the division in Charlotte," Kohlhagen said.