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Dresdner Kleinwort Wasserstein and KBC Derivatives are attempting to lure investors back to the Italian reverse convertible market by structuring products with lower risk profiles. Alfredo Paramico, head of equity derivatives for Dresdner Kleinwort Wasserstein in Milan, said convertible volumes have fallen to between 5%-10% of last year's levels because investors lost about 70% of their principal investments. As a result structurers are attempting to come up with defensive products which still offer reverse convertible like returns, he noted.

Lehman Brothers and Société Générale are structuring synthetic collateralized debt obligations based on reference portfolios of EUR1.5 billion (USD1.28 million) and EUR500 million, respectively, according to indicative term sheets obtained by DW. SG's deal, called Grande Armée, is a six-year CDO referenced to 45 loans, according to an SG offical. The Lehman Brothers transaction, dubbed Sprint 2001-4, is a seven-year arbitrage deal structured on a portfolio of credit default swaps referenced to 100 corporates. Officials at Lehman declined all comment.

Credit Lyonnais in Hong Kong is structuring an equity-linked note whose performance is linked to China's B-share market, a structure the firm believes is the first of its kind. Due to regulatory constraints, this structure provides local investors with an easier way to access the B-share market, according to Vishal Tourani, equity derivatives analyst at CL in Hong Kong. "We're aggressively promoting the product," he added.

Bundesland Nordrhein-Westfalen, a municipal authority in western Germany, plans to set up a medium-term note program and will use foreign exchange swaps to convert all non-euro denominated issues into the single European currency. Eckhard Helms, head of funding in Düsseldorf, said the authority has decided to widen its investor base with benchmark bonds and medium-term notes to meet its annual EUR11 billion (USD9.5 billion) funding requirement since demand for municipal debt, known as Schuldscheine, has plummeted. Helms envisages the bonds will be denominated in euros but the MTNs could be in any currency. Colleagues at other Bundesländer have encountered strong interest for Japanese yen-denominated MTNs, which are then converted into synthetic euro-denominated notes using foreign exchange swaps.

Two interest-rate derivative traders recently left Standard Chartered in Singapore for similar positions at other firms. Adam Moor, an interest-rate derivatives trader covering the Singapore market, has joined ABN AMRO in a similar role, covering Taiwan and Hong Kong. Moor said he moved to ABN because he was looking for a new challenge. He reports to Mack Kazi, head of interest-rate derivative trading at ABN in Singapore. ABN has no immediate plans for further hires, Kaci said.

Teck Yong, head of fx cash and derivatives sales at Royal Bank of Scotland in Singapore, has resigned. Traders believe Yong will take a month off before resurfacing at another firm in the Lion City. At RBS Yong reported to Simon Chan, head of fx in Singapore. Chan was traveling and could not be reached for comment. Yong could not be reached. An RBS currency trader said the firm plans to hire a replacement for Yong.

Credit default protection pricing on Japanese banking group Sanwa whipsawed last week following the firm's issuance of a USD2 billion 10-year bond, according to credit traders in Tokyo. Five-year credit default mid-market swap spreads blew out from some 40 basis points when the bond was issued to 55bps, then tightened to 47bps last Thursday. "Sanwa's the story of the week," noted one trader in Tokyo. Sanwa is rated A3 by Moody's Investors Service.

Swiss Re New Markets is expected to bring additional liquidity to the bankruptcy swaps market following its recent decision to start offering bankruptcy swaps to U.S. corporates. A spokeswoman at Enron, previously the only player in the bankruptcy swaps, said the company welcomes the move.

This article will discuss how to customize standard International Swaps and Derivatives Association documentation for special purpose, bankruptcy remote vehicles (SPVs) that issue rated securities. An SPV is often formed by the entity (the sponsor) structuring a securitization or other structured financing. In a securitization, a pool of assets is transferred to the SPV and the SPV issues rated securities backed by such assets. There are a variety of reasons a sponsor will form an SPV (e.g., off balance sheet financing or regulatory capital relief). Rating agencies often require that assets be transferred into the SPV so that the credit and bankruptcy risk of the assets will be separate from the credit and bankruptcy risk of the sponsor. Often derivatives are used in order to achieve a particular risk profile. These derivatives are typically governed by ISDA documentation.

Taiwan's Eva Air is planning to enter interest-rate swaps in which it pays fixed if Taiwan's central bank cuts rates again later this month. Philip Chan, junior v.p., finance in Taipei, said the airline wants to hedge floating interest-rate exposure on its loan portfolio. Some 70% of Eva Air's loan portfolio is floating rate, he added, declining to reveal the size of the portfolio. Eva primarily deals with J.P. Morgan Chase, Goldman Sachs and Morgan Stanley.

Swaps traders last week put some EUR8 billion (USD6.8 billion) notional through the euro interest-rate swaps market in anticipation of the spread between corporate and government bonds widening. The heaviest action revolved around going long Euro-BOBL or Bund futures and paying fixed in five or 10-year swaps, according to Peter Hartmann, director and swaps trader at Dresdner Kleinwort Wasserstein in Frankfurt.