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Société Générale is looking at offering the first collateralized fund obligation referenced to a portfolio of weather and catastrophe risk hedge funds. Diego Wauters, executive director and global head of insurance and weather derivatives in London, said, "This is just in the thinking process." He estimated that if the CFO goes ahead it will likely hit the market within the next 12 months.

UBS Warburg is looking to become the first house in Hong Kong to list equity-linked notes on the Hong Kong exchange by year-end. Chi-Won Yoon, managing director of equity risk management in Hong Kong, said listing the product will lead to greater transparency and will also open it up to retail clients.

UBS Warburg is working on its first collateralized fund obligation with sister company and hedge fund specialistO'Connor . In the structure O'Connor will select a portfolio of 40 hedge funds diversified across region and strategy and the investment bank will tranche the risk, according to officials familiar with the deal. Officials at UBS and O'Connor declined comment.

Various indicators are commonly used to gauge relative value in the volatility market. Amongst those we can mention volatility cones and the spread between implied and historical volatility. In particular, these two indicators tend to be difficult to use in isolation: for instance, a volatility in the middle of its cone and far above realised levels will look relatively expensive while a volatility in the middle of its cone and far below realised levels will look relatively cheap. In other words, we need to look at a combination of indicators to try and identify value. In this article, we have studied extreme values of the volatility risk premium and found that large readings were symptomatic of large mis-pricings in the market. As such, our new indicator gives us an indication of the best currency pairs to look at to try and extract value.

David Killian, portfolio manager of $175 million in taxable fixed income at Stone Ridge Investments Partners, has been looking to "cut back significantly" on the firm's holdings of Tyco International 6.75% notes of '11 (Baa2/BBB). As of May 10, Tyco represented 5%, or roughly $4 million, of the firm's holdings. Killian says he believes Tyco's bonds will rise substantially in price once the firm completes its planned IPO of CIT Group. The paper was trading at 84 last Monday, and Killian says he hopes to be able to sell it in the mid-90s.

A funny thing happened on the way from the podium ... At Loan Market Week's Best Trading Desk awards ceremony last Thursday somebody swiped Salomon Smith Barney's award for most improved distressed desk! No one from the firm was present to pick up the award, so it was set back down on the awards table. When last call rolled around the Tiffany crystal award was nowhere to be found. This is why we poll for the most trustworthy desk! LMW will have to conduct another poll to narrow down the list of likely suspects.

Steven Jones, portfolio manager at St. Louis-based Missouri Valley Partners, says he will swap $20 million, or 20% of his portfolio, out of mortgage-backed securities and corporates if spreads on both credit products come in by 40 to 50 basis points, something he anticipates happening by year-end. He will invest the proceeds into Treasuries. The rationale is to take the Treasury allocation from its current underweight to market neutral.

Old Mutual Asset Management will consider buying Eon's next offering, if it comes at an attractive level. Richard Woolnough, the fund manager for the firm's £200 million corporate bond fund, he declined to say what that level would be. The firm recently re-entered the utilities sector buying RWE's last offering--a 6.375% of '13, which was priced at 105 basis points over gilts. "We had no exposure to utilities, because we knew new supply was coming, which was weighing on the sector. [The new issues] allow the fund to finesse its way back into the sector at attractive levels," says London-based Woolnough.

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.

Approximately $15 million of Adelphia Communications' Century Cable bank debt traded in small pieces in the 91-92 range last week as investors fretted over a possible delisting of the company's stock from the Nasdaq exchange. It sunk further into the mid to high 80s by midday last Thursday as investors fear that the company may have skewed its subscriber numbers.

Collateralized debt obligation managers are having an increasingly difficult time getting allocations on new issue deals, making it more difficult to close on CDOs in the pipeline. Market players said there are several cash flow arbitrage CDOs trying to ramp up, but there is an expectation that deals will get stuck as there are not enough assets in the market to complete ramp up requirements. "It's tougher than first quarter to get allocations," explained Paul Carey, head of corporate banking at Allied Irish Bank and manager of a new arbitrage deal for the firm. Carey explained the bank is currently warehousing assets for a minimum $300 million deal with a target close by the end of the year. But the process is challenging as M&A activity is not robust enough to feed the leveraged loan market, explained Carey, and he expects the ramp up period to take several months. "Supply side deal flow is not significant and on the CDO side, there are a greater number waiting to invest," said Carey.

Banc One Capital Markets has hired two senior high-yield analysts from Chicago-based money managers to help build its high-yield business. Dana Johnson, Banc One's head of capital markets and foreign exchange research, says he chose to focus on sectors in which the firm already has banking relationships. The firm has been beefing up its overall fixed-income effort since last fall, and recently hired Bill Wulkan to the new position of London-based capital markets head (BW, 3/17).