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Goldman Sachs is shopping a USD1 billion (notional) portfolio credit default swap deal. Called Orion, the portfolio gains USD10 million of exposure to each of 100 credits via selling protection in the single-name credit default swap market. Investors can sell five-year protection on tranches of the entire portfolio, with more senior tranches generating less premium. The first loss position is 2.75%. The tranches are unrated according to an official on the buy side.

HSBC is expanding its Asian interest-rate derivatives desk and has hired Samuel Koh, senior regional currency-denominated interest-rate derivatives trader at Citibank in Singapore, in the new position of head of Asian domestic derivatives trading. Anita Fung, director, head of fixed income and derivatives, Asia-Pacific at HSBC in Hong Kong, explained that the firm is gearing up to cash in on the region's economic recovery and plans additional hires.

Credit default swap prices on the Philippines sovereign continued to drop last week, as the country's new government showed signs of being committed to tackling economic problems. One-year credit default swaps on sovereign Philippines traded a few times last week at around 200 basis points, said a trader in Tokyo. Mid-January, before former President Joseph Estrada stepped down, one-year sovereign credit default swaps were trading some 100bps higher, he said.

Frank Iacono, v.p., structured credit products at J.P. Morgan, has taken the new position of senior v.p., head of synthetic CDO trading at Lehman Brothers in New York. In his new position, Iacono will be the senior member of an existing structured credit trading group that structures and trades synthetic CDOs in North America. He will also have some marketing responsibilities. Jim Ballentine, managing director and co-head of U.S. credit trading for Lehman, said demand for structured credit product has grown over the last year, prompting his firm to add a senior trader. A large number of credit defaults in the past year has made investors look more closely at credit derivatives and structured finance as a tool for risk management.

Traders in Taipei sold short-dated Taiwan dollar/greenback options last week to offload vol, driving one-month implied volatility down 1.5% to 2.73%/3.73% Tuesday. In the spot market, the pair continued to stay range bound around TWD32.343. The Taiwan dollar has settled into this range as Taiwan's equity markets have stabilized in recent weeks, as have bond and interest-rate markets, according to a trader. Taiwan's central bank is believed to have been intervening in cash markets to stabilize the currency, he said.

Traders piled into euro calls/yen puts last week after a jump in euro/yen spot to JPY109 on Thursday from JPY106 on Monday. Demand for two-week to one-month options pushed the risk reversal to 0.7 in favor of 25-delta euro calls/yen puts on Wednesday from 0.2 favoring 25-delta euro puts/yen calls a week ago Friday. Traders said risk reversals flipped so quickly because market makers had been short euro calls before the rally as the euro had been depreciating against the yen.

U.K. pension funds are gingerly turning to the over-the-counter derivatives market for a quick and easy way to reduce volatility and switch funds into fixed income, according to derivatives marketers in London. Among the most popular strategies, pension funds are selling out-of-the-money equity calls or entering total return swaps where the pension fund pays an equity index and receives a fixed income index, said Mark Versey, a structured derivatives salesman at Deutsche Bank.

At the end of last year, the four primary federal banking regulatory agencies (the Federal Reserve Board, Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation and Office of Thrift Supervision) issued a proposal to amend their capital standards for banks, bank holding companies and savings associations to reduce the risk weighting applied to claims on, or guaranteed by, qualifying securities firms. If adopted, this proposal could have a significant effect on the credit derivatives market.

Deutsche Bank clients have been selling April maturity puts on Vodafone shares and buying calls linked on the mobile phone company's stock with maturities between July and year-end at the bank's recommendation.

Zurich Capital Markets plans to launch a range of alternative investments products, according to Francisco Portillejo, managing director in London. He characterized the firm's plans in alternative investment products as "big time," declining all further comment. Zurich Capital, which is the financial structuring unit of Zurich Financial Services, recently became a member of the Alternative Investment Management Association.

ICC Capital Management has increased the amount of duration Treasuries contribute to its fixed income portfolio by reducing duration exposure from agencies, on the view that spreads between agencies and Treasuries have tightened from last year's highs. Two weeks ago the Orlando, Fla.-based firm brought to neutral the duration of Treasuries in the portfolio at 2.05 years from 0.5 years, but also kept agency exposure high, at 2.25 years.