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Italian loan house FinConsumo Banca plans to issue in the coming months the first 100% synthetic securitization of consumer loans. Maurizio Valfre, cfo in Turin, said the firm has a EUR1.5 billion (USD1.42 billion) loan portfolio and plans to issue two securitizations a year, with one being synthetic. Crédit Agricole Indosuez is structuring the deal, which will be based on a EUR300 million reference portfolio consisting of about 70,000 loans with average maturities of 24-27 months. Officials at CAI declined comment.

One-month implied volatility for dollar/yen options dropped last week after the Bank of Japan allayed investor uncertainty and bought approximately USD2 billion in line with its policy of maintaining a weak yen, according to foreign exchange options traders. "There seems to be a sense that the downside is protected and the [BOJ] is there," said one trader. One-month implied vol, which had been 9.2% at the start of the week, dropped to 8.7% Wednesday after the BOJ intervened through Japanese banks in the U.S. market, easing some uncertainty among fx players. On a side note, traders said it was unusual for the BoJ to buy dollars in the U.S.--it usually intervenes through European or Asian markets--and probably only did so because London was closed for a national vacation.

Imperial Tobacco Group has entered into interest-rate swaps to convert three recent bond offerings in synthetic floating rate debt. The U.K. tobacco company came to market two weeks ago with a EUR1.5 billion five-year bond, a EUR750 million three-year sale and a GBP350 million 10-year offering. In addition, it entered a currency swap in which it converted the sterling-denominated bond into a synthetic euro-denominated instrument, according to John Jones, group treasurer in Bristol.

Mitsubishi Trust and Banking Corp., with JPY20 trillion (USD161 billion) in assets, plans to start selling credit protection for the first time to generate investment returns. It is talking to a number of banks, including Merrill Lynch, Deutsche Bank and JPMorgan, and plans to pull the trigger on its first swap in the next six months, according to an official. The operation will start in London, and New York and Tokyo will follow if it is a success.

Credit Lyonnais has hired Adam Durran, head of credit derivatives trading at Barclays Capital Japan, to start actively trading credit derivatives in Japan. The bank has executed a handful of trades since it started looking at the product in the last couple of months, but market officials predicted this hire will kick start the firm's effort.

John Q. Hammons Hotels, an owner and developer of upscale hotels across the U.S., is considering entering its first interest-rate swap to convert a recent USD510 million fixed-rate bond offering into a floating-rate obligation. Paul Muellner, cfo in Springfield, Mo., said the transaction would be its first use of over-the-counter derivatives. "We've thought a lot about it and are still working on it and with LIBOR being as low as it is, it would be nice to get [the company's interest obligation] somewhere down there," he said.

Westdeutsche Landesbank has started focusing its credit derivative efforts in Tokyo on structuring large-sized credit-linked loans in Japan averaging around USD50-100 million per transaction. "We're developing an investment base," noted Hiroshi Fukuzawa, head of credit derivatives in Tokyo. He continued that the firm, which sold its first credit-linked loan structure last year, has seen growing interest and has begun pushing the structure. WestLB will look to sell 5-10 credit-linked loans by year-end. "It's my hope," said Fukuzawa.

"Our attorneys are advising me it is not as straightforward as it might seem." --Paul Muellner, cfo of John Q. Hammons Hotels in Springfield, Mo., commenting on his plans to enter the company's first interest-rate swap. For complete story, click here.

The mystery has been solved. After the Loan Market WeekÕs Best Trading Desk Awards, Salomon Smith BarneyÕs award for most improved distressed desk was missing. No one was there to accept the award so it was left on the awards table. Word is that dealers from J.P. Morgan, who had won an armful of awards that night, assumed that SalomonÕs award was just another one of theirs and mistakenly swiped it. They later returned it to Salomon.

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.

This chart, provided by Citibank/Salomon Smith Barney Inc., tracks bid-ask prices for par credit facilities that trade in the secondary market. It also tracks facility amounts, ratings, pricing and maturities.