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Deutsche Bank entered up to USD1 billion (notional) of two-week U.S. dollar/Japanese yen 25-delta risk reversals Tuesday on behalf of a client, according to rival traders in London. A Deutsche Bank trader acknowledged the bank had executed a large customer trade where it bought upside dollar calls/yen puts struck at JPY133.85 and sold downside dollar puts/yen calls struck at JPY130. Spot was JPY131.5 Wednesday and had been as much as a full yen higher the previous day. The Deutsche Bank official declined further comment.

Bryan Seyfried, global head of Enron Credit in London, is reportedly in talks with BNP Paribas about taking a position with the French bank. Two market officials said Seyfried interviewed at BNP last year, before the collapse of Enron, and these negotiations have been reactivated. Officials at BNP Paribas referred questions to Farid Amellal, global head of credit derivatives in London, who did not return calls.

A speculative investor entered USD750 million of one-week 15-delta euro/U.S. dollar risk reversals last week, causing risk reversals to edge further in favor of euro calls. Foreign exchange options traders said a firm bought euro calls/dollar puts at USD0.8985 and sold euro puts/dollar calls struck at USD0.8750. Spot was USD0.88 Friday, down from USD0.8820 the previous day. The trade pushed one-month 25-delta risk reversals to 0.40 in favor of euro calls by Friday, up from 0.25 for much of the week. "They are buying euro upside and are assuming it breaks the key barrier at USD0.8875, that level has been rejected three or four times this week already," said one trader, adding, "the risk/reward looks better than buying euro downside." He and others declined to name the bank that entered the risk reversal, though they noted the trade pays off if either the euro strengthens or if implied volatility, which was unchanged last week at 8.2%, rises.

Five-year credit default swap protection on GE Capital, the finance arm of General Electric widened after the firm's USD11 billion global bond offering on March 13, the second largest issue in U.S. history. Credit-default protection widened about 10 basis points Wednesday hitting a high of 55bps in afternoon trading from roughly 43bps a week earlier. "The bond offering, rumors that the company is going to acquire Tyco's finance unit and the fact that GE has about USD100 million in outstanding commercial paper out there is all coming together and it just keeps widening," said one trader in New York. He added that investment banks were the most active in the market. Officials at GE Capital denied reports Wednesday that it was interested in purchasing CIT Group, the finance unit of Tyco International.

JPMorgan sold a EUR5 billion notional (USD4.4 billion) deep out-of-the-money interest-rate swaption to BNP Paribas on Monday, according to Richard Jackson, euro swaptions trader at JPMorgan in London. Traders called it the biggest trade of the year in the euro swaption market. The transaction gives the French bank a two-year option to enter a two-year swap with JPMorgan, where BNP has the option to receive a 4% fixed-rate pay out. Two-year forward rates are now at 5.5%. A euro swaptions trader at the French bank in London declined comment.

Two senior Goldman Sachs derivatives professionals have joined Cheyne Capital Management, a convertible bond fund manager with USD1.1 billion in assets, to develop its investment grade credit business, particularly through the use of CDOs referenced to both bonds and credit derivatives. David Peacock, executive director and head of portfolio synthetics, and John Weiss, executive director and head of the global correlation book at Goldman in London, have joined as portfolio managers and plan to launch a series of managed CDOs it will issue in partnership with a structuring and distribution agent. Peacock said it will chose its counterparties from among the major international derivatives houses.

Vishal Tourani, equity derivatives analyst at Credit Lyonnais in Hong Kong, has resigned due to personal reasons. "I'm looking to take some time off from the industry--as well as watch the Hong Kong Sevens," he said, referring to the international rugby tournament. Tourani was part of the derivatives team that revived the firm's role as a structurer of warrants on baskets of Chinese B shares last year, four years after pioneering the first basket (DW 6/10). He reported to Jean Paul Brasier, head of equity derivatives in Tokyo. Brasier was on vacation and could not be reached.

ISDA master agreement negotiations are often never-ending, expensive and tedious. Negotiations can take months as parties battle over legal, business and credit terms. Although much has been done to standardize the documentation process, there are still numerous issues that parties must negotiate prior to executing the ISDA master agreement. In addition, parties often insist on making additional amendments to the ISDA master agreement that they believe are necessary to minimize legal and credit risks.

Salomon Smith Barney has hired Dan Breen, a private tax consultant, as a managing director in its equity derivatives division in New York. Breen, who has 20-years of equity derivatives experience, has been working as a consultant since leaving Bankers Trust when it was bought by Deutsche Bank in 1999. He will report to Len Ellis, head of structured equity product sales in New York. Ellis said Breen will focus on structuring tax efficient equity derivatives products, but declined further comment. Breen could not be reached for comment.

Scania, a Swedish automaker with a EUR7 billion (USD6.2 billion) balance sheet, may soon purchase its first credit derivative to hedge credit risk in its leasing portfolio. The increasing homogenization of the European truck market is causing the maker of long-haul trucks to incur more concentrated credit risk, said Jan Bergman, head of the treasury in Södertälje. "We now have some U.K. and Dutch companies that are active in the whole of Europe and when they want to buy trucks, they may want to buy 500 trucks instead of two or three [as in the past], which is where you get the exposure," he said. Scania has a diversified leasing portfolio of EUR2.7 billion, although he declined to speculate how much of this would need to be hedged or give further details about the portfolio.

Demand for structured foreign exchange notes linked to dollar/yen or euro/yen has doubled in the last weeks in comparison to February as Japanese corporates, insurance companies and institutional investors lock in trades before fiscal year-end--at the end of the month. "We're seeing a lot of last minute portfolio allocations before year-end," said a trader at Lehman Brothers in Tokyo. "We're on a pace for a 150% increase from February," he noted, adding that about JPY120 billion (USD912 million) in structured notes went through the market last month.

ABN AMRO has launched what is believed to be the first capital guaranteed note in Taiwan, which could open the floodgates for a new market and has stirred up interest from rivals including Credit Suisse First Boston, HSBC, Merrill Lynch and Morgan Stanley. "This is the first guaranteed product in Taiwan," noted Anthony Wah, head of marketing for Asian equity derivatives at ABN in Hong Kong. Wah noted that with strong demand in Asia, particularly in Hong Kong, for capital guaranteed structures, it makes sense to speak with the regulators and bring similar products to Taiwan.