Search results for

BOCI-Prudential Asset Management is looking to invest in collateralized debt obligations and credit-default swaps for the first time, according to DW sister publication Global Money Management. Lionel Kwok, cio of the USD2.3 billion asset manager, said, "We have used MBS, TIPS and other structured interest rate products in the past and I am looking into extending the product range to CDOs and CDSs or other derivatives."

Bank of America has drafted in Greg Mulligan, head of market risk-Europe in London, to replace Rick Grove as global head of commodity derivatives in New York, according to DW sister publication Power Finance & Risk. Grove has taken the new position of coo of the group, according to an official familiar with the firm. Mulligan was travelling at press time. Grove said in addition to risk management, Mulligan has extensive derivatives trading experience.

Banc of America Securities is readyiny on a USD1 billion CDO of CDOs, dubbed Vertical Capital, in which it enters a total-return swap to transfer the risk. In the swap BofA pays the earnings from the USD1 billion CDO pool and receives a LIBOR-based premium, according to an official familiar with the structure.

San Jose, Calif.-based Calpine has incorporated a spark spread hedge into a power plant refinancing package, a feature that ensures debt interest will be paid even if generation margins deteriorate for the gas-fired generation portfolio. Bankers said the power plant financing is likely the first of its kind to strip out commodity price risk through the use of a spark spread floor. The spark spread is the difference between the price of gas and electricity.

Chicago-based hedge fund Citadel Investment Group has hired Anand Parekh, managing director and head of Deutsche Bank's North America structuring group, which spans credit and interest-rate derivatives in New York. Officials familiar with the move are interpreting it as a signal that the USD8.5 billion fund is beefing up its structured credit presence, especially as it comes hot on the heels of Vladimir Finkelstein, derivatives researcher at Goldman Sachs, joining in a senior credit analytics position. Institutional Investor magazine's 2003 hedge fund ranking puts Citadel as the third largest hedge fund in the world.

Citigroup has priced the notes for a TCW Group managed collateralized loan obligation that is comprised entirely of pro rata loans. The USD500 million TCW Pro Rata I deal will synthetically invest in an actively managed reference portfolio of 75-100 revolver and "A" term loans. The deal is said to be the first of its type to exclusively invest in this form of loan which has in recent years been shunned by banks and institutional investors due to poor returns and the complications of funding revolvers.

One-month implied volatilities for euro/Swedish krona options are likely to spike to 9% at the end of the week from current levels of 6.6%. Thursday is one month before the Swedes vote on whether to enter the euro so the one-month trades will cover the result. This referendum has created an unusually shaped volatility curve. Two month implied vols are currently 9.15% and three-month implied vols fall back to 8.4%. One month volatility has already begun to move, increasing from 6.1% to 6.6% over the last week.

Hunter Davis, senior interest rate derivatives salesman at Commerzbank Securities in New York, has quit the firm to take a similar role at Merrill Lynch. Davis could not be reached. He will report to Chris Matchett, managing director at Merrill Lynch in New York. Matchett declined comment.

Dresdner Kleinwort Wasserstein has set up a joint venture between its collateralized debt obligation group and its credit-default swap trading desk. The firm set up the arrangement because it has started taking more equity risk in its deals and needs closer trading ties to manage the positions.

Vivek Dadlani, former emerging markets staffer at ING Financial Markets in New York, is heading to Citibank Private Bank to work in foreign exchange sales, which includes foreign exchange options. Dadlani could not be reached. Alexander Samuelson, spokesman for Citibank in New York, confirmed Dadlani's hire, but declined further comment.

The euro/Swiss franc 25-delta risk reversal is switching back toward favoring euro puts/Swissie calls. This comes after several months of favoring euro calls/Swissie puts, which is exception in this cross. Many hedge funds, which had been long euros against the Swiss franc, dumped their positions as bond prices weakened over the last month, said a trader, noting that this was largely responsible for the move in risk reversals.

Andrew Feldstein, former managing director and co-head of North American structured products and derivatives marketing at JPMorgan in New York, is setting up a North American arm of London-based hedge fund manager BlueCrest Capital Management. The firm, dubbed BlueCrest North America, will manage the Blue Mountain Credit Alternative Fund, which will invest in structured credit as well as adopt credit arbitrage strategies, he said. Feldstein announced his intention to quit JPMorgan in February (DW, 2/9).