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Taishin International Bank, with a market capitalization of over TWD30 billion (USD859 million), is gearing up to make its first investment in synthetic collateralized debt obligations. "This will allow us to diversify our portfolio," said Eric Chien, head of the treasury department in Taipei. The move follows the bank's merger with Dah An Commercial Bank earlier this year.

The cost of U.S. dollar/Japanese yen options jumped last week following the announcement of the Japanese government's banking and economic reform package. One-month implied volatility rose to stand at 9.75% Wednesday, up half a percent on the week before. The week saw uncertainty over what sort of package the Japanese government would offer, said one trader. The currency pair traded at JPY123 last Wednesday, strengthening from JPY125 the week before.

Scott Stone, portfolio manager at Kansas City Life Insurance Co., says he will rotate $45-67.5 million, or 2-3% of the firm's portfolio, into mortgage-backed securities and high-yield bonds. The firm's allocated cash reserve will be used to finance these purchases. There is no particular trigger for this move. Stone says that his low cost of funds is central to his decision to add MBS, but declined to elaborate further. The rationale for increasing the high-yield exposure lies in his desire for added yield. He will make the move by buying double-B secured bonds.

To coin a phrase ... How tough are things in the market these days? Last week a banker and a CFO--on unrelated deals--used the term "back against the wall" in reference to deals in which they are involved.

The Deal Roll-off Chart, provided by Capital DATA Loanware, lists the 50 largest leveraged credit facilities in the U.S. market that are due to mature in the coming month. It is designed to provide a look at potentially available money in the market as credits are renewed or retired.

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.

AMR Investment Services is buying two-year agency debentures and corporate bonds, and selling them when it reaches 13 months to maturity. In February, assuming a 50 basis point spread between one and 1.5-year Treasuries, the firm will sell the roughly $450 million Fannie Mae 2.30% debentures of '04 that it bought last July, according to Bonnie Mitra, portfolio manager of $5 billion in fixed-income.

Invesco Asset Management is adding to its U.K. gilt positions when the bonds experience temporary weakness, in particular, on days the equity market is up. "There has been a very strong correlation between equity markets and bond yields. We're looking to buy on dips in the bond market. With bond yields at 4.75% in the U.K., gilts look to be relatively good value. Any kind of uptick in equities is a potential buying opportunity to increase exposure to gilts," says Andrew Farrell, fund manager of $2 billion in mainly U.K. government bonds.

Fitch Ratings is looking for a senior collateralized debt obligation analyst for its collateral manager rating group, says John Schiavetta, who heads the CDO business at the rating agency. The position is newly created and would report to Said Rafat, senior director and head of the year old group.

The Financial Security Assurance may put greater emphasis on wrapping loan deals and less on collateralized debt obligations backed by bonds while reducing its exposure to the investment-grade cash flow market. The new criteria for writing insurance protection on CDOs is expected to be announced in a couple of weeks, after the FSA's underwriting committee meets during a board meeting, says a person familiar with the situation. FSA's redefined role in the CDO insurance market is important for underwriters and collateral managers because downgrades have boosted investor demand for wraps while the number of insurers playing an active role on the CDO market is shrinking.