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Thai Farmers Asset Management, with THB140 billion (USD3.3 billion) in assets, plans to start using over-the-counter derivatives this year on a THB120 billion portfolio of fixed-income assets to take advantage of potential hikes in interest rates. Yingyong Nilasena, first senior v.p., fixed income in Bangkok, said a rise in interest rates would erode the value of its fixed-rate bond portfolio. He added it likely will enter a fixed-to-floating rate swap in its first transaction.

Traders entered one- to three-month U.S. dollar/Aussie dollar straddles last week, hedging against a depreciation in the Aussie dollar, said a trader in Melbourne. Typical trades entailed buying 30 delta out-of-the-money Aussie dollar puts and selling 20 delta out-of-the-money Aussie dollar calls, he said. One-month implied vol jumped Tuesday night from 13.1% to 13.8% after the Australian dollar weakened from USD0.5310 to USD0.5215 in the same period, having hovered at around USD0.53 for much of the previous week. The Aussie dollar depreciated as the euro weakened against the U.S. dollar, he added, noting that it has been tracking the common currency for well over six months. One-month risk reversals favored Aussie puts.

Westdeutsche Landesbank is setting up a commodity-trading group that plans to trade derivatives on computer memory storage capacity, in what rival bankers said is likely a first for the over-the-counter market. According to DW sister publication Power Finance & Risk, the effort is part of a new group at the German bank that will trade other non-traditional commodities, including weather derivatives and emission credits. Marc Wall, managing director at WestLB and head of the new group, declined to comment.

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.

The Evangelical Lutheran Church pension board has been buying select corporates, as well as a relatively new type of insurance paper--general investment contract backed bonds--on the view that the glut of recent corporate issuance is forcing issuers to make attractive pricing concessions, according to portfolio manager Mark Haney. He points to a 10-year GMAC deal that is currently being marketed as an example of the favorable supply-demand technicals in the corporate market. The large A2/A auto finance company will probably have to sell its new paper next week at 215 basis points off of Treasuries, a 20 basis point concession to its existing 10-year paper.

Salomon Smith Barney is changing its U.S. High Yield Market Index in April to accommodate the fact that the average size of junk issues has grown in recent years, and to eliminate one-off issuers active in amounts less than $200 million. Rather than include every high-yield issuer with a bond of $100 million or greater, the firm has changed the criteria so that an issuer must have a minimum of $400 million in total high yield debt outstanding, with each issue worth at least $100 million.

Wilmington Trust is switching out of investment-grade energy bonds that performed well in the rally at the beginning of the year, and buying media and telecom paper that allows it to pick up some yield, according to portfolio manager Clayton Albright. Albright, who manages $500 million in taxable fixed income for the Wilmington, Del.-based firm, has recently been hunting for yield, and characterizes much of the corporate market as "played out." Nonetheless, he recently used new cash to rotate into the AOL Time Warner 65Ž8% notes of '29 (Baa2/BBB), Comcast's 6.2% notes of '08 (Baa2/BBB), and sold the Chevron 7.45% notes of '04 (Aa2/AA).

Deutsche Bank has launched syndication of a $122 million credit on behalf of Northwest Capital Partners for its Port Washington, Wash.-based company Port Townsend Paper, Inc. to finance its acquisition of the corrugated container assets segment of Crown Packing, Inc. The credit comprises a one-year, $32 million revolver priced at LIBOR plus 3 1/4 % and a six-year, $90 million term loan "B" priced at LIBOR plus 3 1/2 %. Michael Nibarger, partner at Northwest Capital, said his company is sponsoring the loan as Port Townsend is part of the buyout firm's portfolio. Nibarger said the loan will finance the acquisition and replace an existing $29 million loan the company has outstanding. He declined to name the bank--a bank other than Deutsche Bank-- that led the existing credit and the terms of the old facility.

A total of $50-75 million of Finova Group's paper traded in 78-79 range last week, softening a little as the market winds down. Two weeks ago Finova hit 80 as market watchers cited an proposed deal between General Electric Capital Corp. and Goldman Sachs to take control of the company.

Franklin Templeton Investments is set to launch in April its first open-end loan fund, joining Fidelity Investments and Eaton Vance on that front and illustrating an increasing comfort with the liquidity of loans as an asset class. Chauncey Lufkin, portfolio manager at Franklin, told Fund Action, an LMW sister publication, that the company decided to launch the open-end fund because it had already seen financial advisors start to move assets to the open-end offerings from Fidelity and Eaton Vance. Additionally, from an investment standpoint, Lufkin said liquidity has improved dramatically in the sector. "There is increased demand for a daily liquidity fund, and we feel the liquidity is there. We know we can trade these loans."

Jeff Glasse, former head of trading at Toronto-Dominion Bank, has joined Barclays Capital as head of par loan trading. Glasse is in place to recharge Barclays' bank loan trading effort, which dropped off about two years ago. A senior official at Barcays could not be reached for comment on the bank's reentry to the trading arena.