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Société Générale and Dresdner Kleinwort Wasserstein are both structuring arbitrage synthetic collateralized debt obligations as a result of accelerated credit spread widening following the Sept. 11 terrorist attacks. The SG deal will be EUR1 billion (USD904 million) and DrKW's will be USD1 billion, according to officials at the firms. Both deals will have a five-year maturity.

Swiss Re Financial Products is looking to beef up its credit derivatives team in New York, according to market officials. The firm recently hired Steven Olentine, credit derivatives marketer for U.S. clients at Morgan Stanley, as a structured credit derivatives salesman in New York. Olentine was the first of at least five more hires the firm is looking to make over the next several months as part of an ongoing push into the credit derivatives market, according to headhunters. "Swiss Re is really taking the lead in the move by a lot of reinsurance companies to get a stronger foothold in credit derivatives," said one market professional. Olentine and a spokeswoman at Swiss Re did not return calls.

Société Générale has received approval from Taiwan's Securities and Futures Commission (SFC) to issue exchange-traded warrants and other firms, including Deutsche Bank and ABN AMRO, are looking to join the fray. The SFC next month will change regulations to allow banks, as well as securities firms, to apply for licenses. Previously Merrill Lynch--which received approval in 1999--had been the only foreign securities house to issue warrants, said Kathy Lu, an official at the SFC in Taipei.

The Institute of Certified Public Accountants of Singapore approved an accounting standard for derivatives similar to the ones introduced by the Financial Accounting Standards 133 in the U.S. and the International Accounting Standards 39. The statement was passed in July 2000 to become effective for financial periods beginning on or after July 2001.

New Era Life is poised to start buying and selling credit derivatives for the first time via the use of baskets of credits for hedging and investment. Jeffrey Chen, portfolio manager in Houston, said the insurance company is likely to pull the trigger on its first deal within the next three months. "There are a lot of regulatory issues involved with regard to income taxes and accounting to be looked at before we start selling and buying baskets of credits because we are an insurance company," Chen added. New Era has been talking to structured products experts at both Lehman Brothers and Merrill Lynch about using credit-default swaps. Discussions about entering the credit-default swap market arose from New Era's use of CDOs and its consultation with Lehman and Merrill about new products.

Berli Jucker Public Co., a Bangkok-based manufacturer with divisions focusing on glass, consumer products and imaging, entered a three-year THB1.25 billion (USD28 million) interest-rate swap earlier this month to convert a fixed-rate loan into a synthetic floating-rate liability.

Amsterdam-based Delta Lloyd plans to purchase core European government bonds and high-grade corporate debt such as Freddie Mac, KfW, Germany's Landesbanks and France's Cades. The firm will make the purchases with proceeds from the sale of Italian, Spanish and Portuguese government debt and sub-triple-A credits. Jop Bresser, director of fixed-income management, said the flight to quality in the firm's E1.2 billion Renta fund, was fueled by the belief that many more double-A rated corporates will be downgraded in the coming months.

On the view that a flight to quality induced by weak economic prospects will push Treasuries to rally further, Alan Segars, portfolio manager with ING Furman Selz Capital Management, is preparing to shift 5% of its portfolio, or $100 million, out of agencies into Treasuries. Segars says he will begin the shift provided that agency debentures tighten by an additional 10 basis points over the curve. He will look at buying five- to 10-year Treasuries because the Federal Reserve's easing policy has caused the short end to richen too much.

Can I buy a V? There's some debate over the effect of the Sept. 11 attacks on a market that was already heading towards a recession. Last week, observers ruminated on Federal Reserve Chairman Alan Greenspan's observations that the U pattern of the economy may become a V as a result of the attacks a sharper downturn, but quicker recovery. Or, to major skeptics, maybe it will become a W. "Or maybe just an electrocardiogram," one loan market player suggested.

PIMCO purchased at least $200 million in Treasury Inflation Protected Securities maturing in 2032 at the U.S. Government's $5 billion auction earlier this month. Though it has historically been overweight intermediate TIPS, the fund has sold intermediates over the last month to raise cash for the purchase of the '32s. John Brynjolfsson, portfolio manager of the Real Return Bond Fund for the Newport Beach, Calif. bond giant, says the move was made because he believes the steep TIPS yield curve will eventually flatten or invert, given the scarce supply of long TIPS (the government auctions off only $5 billion per) and their increasing popularity among investors.

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.