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First Union and Merrill Lynch will launch a $800 million senior secured loan for Winn-Dixie Stores, Inc. and act as co-leads on a $300 million bond offering for the company. Kelly Roth, treasurer, said the company signed commitments with the banks on Monday and will hold a bank meeting next week. She would not comment on expected pricing on the facility. Roth said pricing will be higher than it's been on the company's past credits as its debt rating is BBB- compared to a previous rating of A-. "We have a long history with First Union and Merrill and selected them based on the proposals that came in," she said.

Schroder Salomon Smith Barney, Morgan Stanley Dean Witter and Commerzbank are pitching long DAX volatility trades to proprietary accounts and hedge funds to take advantage of a slump in implied vol to three-year lows. Greg Wolters, v.p.-equity derivatives sales at Credit Suisse First Boston in London, said two to three times the normal volume of DAX vol trades have gone through the over-the-counter market in the last two weeks. Typical positions being entered include vol swaps, straddles, strangles and calendar spreads.

ABN AMRO Bank is considering attempting to smooth its application to issue warrants in Taiwan by appealing to senior Ministry of Finance officials directly, rather than continue waiting for the Securities and Futures Commission and Bureau of Monetary Affairs, the banking regulator, to make a decision. It has already been waiting for nearly six months and is the first foreign bank to have applied, said an ABN official. The SFC and the Bureau both report to the Ministry of Finance. Officials at the SFC and Bureau of Monetary Affairs declined comment. English-speaking officials at the Ministry of Finance could not be found by press time.

Online credit derivatives trading platform creditex plans to offer asset swap trading, loan trading and a database of credit default swap spreads in the second quarter. Andrea Danese, coo in London, said creditex has now set up offices globally, and sees expanding its product range as the next step in growing the platform into a full credit platform. Access to the asset swap and loan market is essential for credit derivatives traders, who use these markets to hedge and price trades, according to Danese. Although the same is true of the bond market, it is already crowded with online platforms, he added. Only a handful of platforms exist for asset swaps and loan trading.

As a general matter parties to privately negotiated derivative transactions

BNP Paribas is recommending clients buy dollar calls/yen puts to take advantage of an expected dollar appreciation against the yen. Ian Stannard, foreign exchange strategist in London, said the bank is recommending investors enter a deferred premium five-month knock-out dollar call/ yen put with a strike of JPY120. The investor pays a premium of 200 basis points if the dollar depreciates as low as JPY114. If the greenback does not break that barrier, the option is free. The exotic is sold in a minimum notional of USD1 million.

Deutsche Bank is recommending clients sell five-year credit default swap protection on Royal Caribbean Cruises. On a LIBOR basis, selling protection is a better way to gain exposure to the credit than buying bonds issued by the cruise line--four-year bonds at press time were trading at around LIBOR plus 220 basis points, while five-year protection trades around 300bps. Protection is higher than it should be, because the cruise line last week issued USD500 million in convertible bonds of '21, which are putable after four years, said a trader in New York.

Conversion and call rights are common embedded optionality in financial instruments. For example, a convertible bond entitles the holder to convert the bond into common shares of the bond issuer's company. On the other hand, in order to cap the unlimited upside potential of the bond value, the bond indenture usually includes a clause where the bond issuer can call the bond at a predetermined call price. Upon calling, the bondholder either chooses to receive the cash amount equivalent to the call price or to convert into the common shares (this is called forced conversion).

SBI Funds Management, an Indian fund manager with INR29 billion (USD624.9 million) in assets, is planning to use its first Indian rupee interest-rate swap this quarter ahead of expected interest-rate movements in India. It is looking to use fixed-to-floating interest-rate swaps on its bond portfolio, now that interest rates appear to be on the rise, said P.K. Das, v.p.-debt in Mumbai. Some 99% of SBI's INR17 billion fixed-income portfolio is fixed-rate, he said, noting that there is not a well-developed floating-rate bond market in India. Corporate bonds make up over 75% of the portfolio, while the rest are government bonds, he said. The average maturity on the bonds is just below three years, and the average coupon is 11-11.5%, he added. Currently overnight call rates, the most established floating rate benchmark in India, stand at nearly 10%.