Search results for

Bob Henderson, head of weather derivatives research at Element Re Capital Products, has left the firm and returned to JPMorgan. Henderson rejoined the firm in New York two weeks ago as v.p. focusing on market risk in equity derivatives, program trading and convertible bond and risk arbitrage. He was the global head of foreign exchange derivatives research prior to joining Element Re, according to a market official.

Dresdner Kleinwort Wasserstein is structuring a USD1 billion synthetic collateralized debt obligation, according to Saad Zein, head of the firm's structured product group in New York. The deal, which is expected to hit the market by early next month, will be referenced to Dresdner's loan portfolio and will include mid and large-cap corporate exposures, said a market official.

Rhicon Currency Management, a foreign exchange fund manager with operations in Singapore, Geneva and Toronto, is considering purchasing euro calls/dollar puts as it expects the pair to break out of its range in the coming weeks. "This is on our radar screen," said Christopher Brandon, managing director in Singapore. "I anticipate a breakout that will be quite violent," added Brandon, predicting the currency pairing will make a technical break past USD0.8860 to USD0.92 within the next few weeks. Spot was at USD0.8765 last Monday.

Fin.Eco Investimenti SGR, an Italian asset manager with EUR10 billion (EUR8.8 billion) under management, is planning to launch a series of hedge funds and may also offer hedge fund-linked products that will use over-the-counter derivatives. The hedge funds will use both fixed income and equity related products, according to an official at the firm. It plans to launch the funds in the fourth quarter and expects to raise EUR200 million in investments.

John Deere Capital is considering entering an interest-rate swap to convert a 10-year USD1.5 billion fixed-rate bond it issued in mid-March into a synthetic floating-rate liability, according to Greg Derrick, a representative in the company's investor relations department. The company opted not to enter a swap at the same time as the bond sale because it wanted to see if rates would go up. It does not think rates will rise in the near term, so is now looking at entering the swap. With three-month LIBOR hovering around 2%, the company would look to pay a floating rate that was no more than 300-350 basis points above LIBOR before entering a swap. The finance arm of the Moline, Ill.-based producer of construction and forestry equipment, would look to enter a swap in which it receives a fixed rate equal to the 7% coupon of the bond and pays a floating rate. The maturity on the swap would equal the 10-year maturity on the bond offering. JP Morgan and Salomon Smith Barney co-managed the bond offering.

Shinichi Minohara, managing director and head of Japanese credit derivatives at Merrill Lynch in Tokyo, has resigned in a move that rival traders described as a big loss for Merrill. "He's one of the top Japanese credit derivatives traders in the market," according to one rival. Peter Walshe, head of credit trading for the Pacific Rim, said, "He had been at the firm for eight years and has made major contributions for derivatives." Minohara has worked in credit, interest-rate and foreign exchange derivatives.

In a quiet options market after the holiday weekend, one-month euro/dollar implied volatility spiked to 8.2% from 7.5% Tuesday before falling back to 7.8% by Wednesday afternoon. Traders said the dollar weakened against major currencies across the board as option buyers were looking for a safe haven due to uncertainty caused by tension in the Middle East. Common trades saw investors looking to buy euro calls/dollar puts with strikes between USD0.88-0.93. Spot was trading around USD0.87 when the option went through.

Bill Levy, managing director and head of hedge fund sales for the equity derivatives group at Morgan Stanley, has jumped ship to join Lehman Brothers, according to officials at both firms. The move is seen as a boost to Lehman's flow derivatives business and elevates the firm's presence in the hedge fund market, according to two market officials. David Gittings, head of the global equity derivatives marketing group at Lehman, will now co-head the group with Levy. Both co-heads report to John Wickham, global head of equity sales at Lehman. Levy could not be reached and Gittings and Wickham did not return calls. Bill Ahearn, a Lehman spokesman, also did not return calls.

Salomon Smith Barney has hired Steve Segretta, a CDO structurer atCIBC World Markets in New York, as director in the newly merged credit derivatives structuring and trading team and plans to hire two or three additional synthetic collateralized debt obligation structurers for its New York headquarters.

POSCO, a Seoul-based steel manufacturer with over KRW8 trillion in assets, entered a USD174 million foreign exchange swap for its USD2.1 billion debt portfolio two weeks ago. In the swap, which matures in July 2004, the firm pays yen and receives dollars at a JPY131.42 exchange rate. Ro Young Il of the international finance department in Seoul, said POSCO entered the swap to reduce the proportion of its debt in dollars because of the weak yen and low interest-rates.

Robert Le Blanc, head of global portfolio management at Dresdner Kleinwort Wasserstein, has joined Barclays Capital as a managing director and global head of risk management. He reports to Paul Idzik, coo, and Robert Nimmo, director of risk. Le Blanc will also be a member of the management committee.

Credit-default swap spreads on Pechiney widened 10 basis points to 120bps last week as convertible arbitrage hedge funds bought protection to strip out the credit risk on the French steel company's convertible bond offering. Pechiney issued a EUR450 million (USD397 million) convertible bond with an embedded equity option priced at 26%. Andy Preston, fund manager at KBC Alternative Investment Management, said he bought the bond and protection to isolate the equity risk. Implied volatility on Pechiney's common stock has not fallen below 27% in the past four years, with an average implied vol of 38-39% over that same time frame, said Preston. Derek Watson, advisor to the convertible arbitrage fund at Decillion Investment Management in Nyon, Switzerland, said he also plans to buy the bond and would isolate the equity option. However, he said it will do this via an asset swap.