Search results for

Mexican peso/U.S. dollar implied volatility climbed steadily last week after the Mexican financial authorities lowered interest rates and the peso weakened. One-month implied vol rose to 9.5% Thursday from 6.25% at the start of the week as profit takers bought at-the-money forward straddles.

Most international private and official institutions and professional observers were surprised by the abruptness of the 1997-98 Asian financial crisis and its subsequent contamination. There is also a broad consensus that neither multilateral agencies nor international investors anticipated the full scope of the crisis.

Swiss Re is preparing a novel USD200 million multi-peril catastrophe bond that is expected to hit the market by early June. It will be the first CAT bond to offer investors exposure to four separate categories of risk, according to CAT bond experts. The bond, which will have a three-year maturity, will cover Japanese and California earthquake risk, New Madrid, Mo. earthquake risk, European wind storm risk and Atlantic hurricane risk, according to a CAT bond professional in New York.

Nikko Salomon Smith Barney is bringing aboard Terry Koh, credit derivatives trader at JPMorgan, in a similar role in Tokyo in the coming weeks. "This is a great move for Salomon," noted a credit derivatives head at a rival firm, adding, "Terry's a solid trader, he'll make a strong impact over there." Another credit derivatives head noted, "With Koh aboard, Salomon should be a formidable competitor." Nikko has been planning to expand its credit desk since the beginning of the year on the back of growing client interest (DW, 1/27).

Standard Chartered Bank plans to structure its first synthetic collateralized debt obligation in next two to three months. The bank has been speaking with a number of investors in Asia and will look to close a deal referenced to mainly Asian credits, according to investors familiar with the transaction. The motivation is to reduce risk on the company's balance sheet. "This is a priority for the bank," noted one market official. Officials at the bank declined comment.

TD Securities is currently interviewing credit derivatives structurers in London to beef up its operation. A market official said the structurers will focus on client-driven business. Currently most of the firm's activity is centered around its own balance sheet requirements.

Global electronic manufacturing titan Toshiba Corp., with over USD46 billion in assets, recently entered an interest-rate swap on the back of a JPY1 billion (USD7.8 million) euro medium-term note it launched via its subsidiary Toshiba Capital (Asia). The note is structured with an embedded option, making it callable after the first year, according to an official at Toshiba in Tokyo. In the interest-rate swap, Toshiba pays floating and receives a fixed rate equal to the 2% coupon on the note. The official declined comment on specific rates. The swap also matches the note's 10-year maturity.

Citizens Communications, a Stamford, Conn.-based telecommunications company with over USD2 billion in revenue, has entered an interest-rate swap to convert USD100 million of fixed-rate debt into a synthetic floating-rate liability. It is the telecommunications company's first interest-rate swap since announcing that it is in discussions with several investment banks about entering fixed to floating interest-rate swaps (DW, 10/1), said Don Armour, treasurer and v.p. of finance. Armour said the company is considering entering more interest-rate swaps in the future, but has yet to determine the specific timing of the deals.

Wachovia Securities plans to make its first foray into the structured equity derivatives market. The firm has hired Steve Young, an equity derivatives structurer and quantitative researcher at Merrill Lynch in New York, to lead the effort. The firm plans to market the new products, which will include reverse convertibles and possibly equity-linked notes, to retail and high-net-worth customers in the next two months.

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.

It's summertime and the ... wait, no it isn't. Loan market players seem to have warmer weather on the brain. In characterizing the state of the market last week three different bankers said the market was "smokin' hot," "on fire" and "flaming hot."

Schroder Investment Management, which manages £3.3 billion in gilts and £8 billion in total fixed-income assets, will wait until yields on 10-year gilts are in the 5.35-5.4% range before reconsidering its slightly short duration strategy. Last Monday, the yield on the 10-year was 5.14%. Andrew Argyle, associate director responsible for conventional gilt portfolios, says the firm moved short to its benchmark, the All Stocks Gilt index, by one quarter of a year. The benchmark's duration is 6.5-years. Argyle says he made the adjustment because he feels yields are range bound for the moment between 5.10% and 5.40% and the firm has taken the opportunity to go a little short at 5.15%.