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Hypo Tirol Bank, an Austrian mortgage bank, has entered two swaps on the back of a recent CHF200 million (USD132.61 million) bond offering. Kirch Mair, head of asset and liability management in the treasury group in Innsbruck, said the bank first executed a swap to convert the offering to a floating-rate liability, in which it receives the 3% coupon on the bond and pays LIBOR plus a spread. Then it entered a basis swap in which it receives LIBOR plus a spread and pays Euribor plus a spread. Mair declined to disclose the specific spreads.

Traders who bet the ranch in the derivatives market and lose are likely to face increasingly harsher prison sentences if convicted of fraud. The seven-and-a-half year sentence former Allfirst Financial trader John Rusnak received from a Baltimore court last week is thought to be one of the longest stretches handed down to a rogue trader, according to market professionals. Indeed, Rusnak's derivatives trades resulted in a USD691 million loss, but Nick Leeson, the rogue trader's rogue trader, only received a six-and-a-half year sentence for bringing down Barings Bank.

National Bank of New Zealand, one of the largest domestic banks in New Zealand with over NZD36 billion (USD17 billion) in assets, is studying offering credit derivatives to its clients for the first time. "Like everybody else we've been looking at it," said Paul Daley, head of capital markets at the National Bank in Wellington. While he confirmed that the bank is actively considering offering credit products, Daley declined to elaborate on types of instruments or comment on a specific timeframe.

Salomon Smith Barney is bringing aboard Scott Sohn, manager of interest rate trading at the Korea Development Bank in Seoul, as a trader for its fixed income desk. Officials at SSB said Sohn, who will start next month, will trade interest rate derivatives on the back of structured fixed income deals as part of Salomon's effort to boost its structuring business.

"This year was an aberration."--Fergus Gilbert, head of credit trading at the Commonwealth Bank of Australia in Sydney and chairman of the Australian Financial Markets Association's credit derivatives committee, explaining the reason for the fall in credit derivatives volumes in Australia. For complete story, click here.

Deerfield Capital Management is structuring a USD1 billion private synthetic collateralized debt obligation, which will be one of the first synthetic CDOs not to include restructuring as a credit event. One CDO investor expects CDOs without the restructuring trigger to move into the mainstream in the U.S. over the coming year.

Five-year credit-default swap spreads on U.S. retailer Sears Roebuck blew out last week, precipitated by credit concerns voiced by the firm during an earnings call. Five-year default swaps were trading at around 380 basis points last Wednesday, having gone as wide as 430bps earlier in the day, and up from 290bps where they were sitting before credit concerns were raised.

The cost of euro/dollar options fell last week as spot settled into a range between USD0.97-0.98. One-month implied volatility fell to 7.9%, down from 8.75% the week before. The options market has seen a lot of selling over the last few weeks with volatility approaching its lowest level since April or May, noted one trader in New York. Volatility in the equity markets isn't feeding through to the spot market with speculative investors, including hedge funds and bank proprietary desks, selling options as a result, added the trader.

WestLB has snared David Wagner, head of derivatives marketing at CIBC World Markets in New York, as an executive director and head of derivatives sales. He will report to James McPartlan, executive director, when he starts today.

DG Capital Management is looking to add but will hold off to its corporate bond allocation until there are signs the global economy is back on its feet and more companies begin to post better earnings news. "We want to see more positive numbers from companies, like [International Business Machines] posted recently," says Peter Lockhofen, senior portfolio manager, who manages E3 billion in Frankfurt. He declined to say how much more of the portfolio potentially could be reinvested in corporates.

Source development? Or is it possible that one LMW reporter misunderstood the concept of breaking the ice? As the Loan Syndications and Trading Association conference had just gotten underway last Tuesday, one LMW reporter spilled ice-water on the speech that Eric Chilton of Barclays Capital had prepared as a moderator for a panel on recent LSTA initiatives. Thankfully, it wasn't written in ink and the discussion went off without a hitch.

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.