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Banca Popolare di Intra, a co-operative bank based in the north of Italy, this week closed a Eu457.5m securitisation of residential and commercial mortgages. Lead managed by CSFB, the deal closes a year of heavy, if sporadic, issuance in the Italian mortgage market. The last quarter alone saw issuance soar with a Eu1.6bn deal from regular issuer Banca Monte dei Paschi di Siena.

Bankgesellschaft Berlin London, part of the regional German bank majority-owned by the city of Berlin, last week closed a Eu2.1bn collateralised loan obligation, gaining capital relief on a portfolio of investment grade loans and bonds. The pricing of Rhea CDO 1 marks the end of a lengthy gestation period, but even before it reached the marketing stage the deal caused a stir when Deutsche Bank won the underwriting mandate from Merrill Lynch.

Aareal Bank sought regulatory capital relief this week with a Eu1.47bn synthetic securitisation of its US and European commercial mortgages. Arranged by Commerzbank and jointly lead managed by RBS Financial Markets, the deal is just Aareal's second CMBS, following a Eu1.1bn transaction secured on high quality hotels. The 'D' tranche on that deal was recently downgraded by Moody's to B1 from Ba3.

SG last Friday brought the first Spanish SME issue to be guaranteed by a region, rather than the Kingdom of Spain. The sovereign's annual limit for PYME guarantees was reached in June. Managed by Ahorro y Titu-lización SGFT, AyT FTGENCAT 1 issued Eu397m of bonds secured on loans originated by 10 Catalonian savings banks. Two tranches were guaranteed by the Generalitat de Catalunya (Aa3/AA-).

Next year promises to be a busy one for UK mortgage backed securities, and the action could start early in 2003. Northern Rock, which is usually quick to issue after the Christmas and summer holidays, has chosen Citigroup/SSSB and Merrill Lynch to lead manage a residential mortgage deal.

Bank Austria Creditanstalt (BaCa), an Austrian subsidiary of HypoVereinsbank, launched this week a Eu1bn synthetic securitisation of Austrian SMEs under KfW's Promise platform. The deal is the first time the Promise platform has been used outside Germany. Lead managed by Hypo-Vereinsbank, Promise-Austria 2002 Plc issued a Eu90.7m tranche rated triple-A by Moody's and Fitch, which was priced at 38bp over three month Euribor. The notes have an average life of 2.4 years, final legal maturity in 2013, and expected maturity in 2011.

Romita Shetty, head of structured credit and alternative investments at J.P. Morgan Securities, has decided to leave the group, according to a banker familiar with the situation. Shetty declined to comment. Michael Dorfsman, a spokesman, said Shetty is considering a variety of options within J.P. Morgan and the firm is looking to place her accordingly.

Conseco's bank debt popped up from the mid 60s into the 69-71 range after the company filed for bankruptcy late last night, but no trades could be confirmed by press time. Dealers said the filing was expected and that it was a good sign because it meant that reorganization could be completed allowing the company to emerge as a stronger entity. One trader, however, questioned whether the bank debt holders and bondholders would be able to come together on a deal. In a written statement, Conseco claims that it has received an agreement in principle from bank and bond holders to reduce the company's leverage. Repeated calls to company officials were not confirmed by press time. AES Corp.'s revamped loan has popped up roughly ten points since its balance sheet overhaul was completed last week. Dealers said $5-$10 million pieces of all tranches changed hands. The company's new "A" loan was quoted in the 94 context. The "B" loan traded between the 91-92 range, and the company's "C" loan moved in the 92-92 1/2 range. Market players said the new security package, the large coupon of LIBOR plus 6 1/2% across all the tranches, and expected asset sales propped the paper. AES management has said it expects approximately $1 billion in asset sales over the next year, according to a company spokeswoman.

Banc of America Securities has structured what is believed to be the first synthetic securitization of residential mortgages in the U.S. and is eyeballing other forms of consumer risk that could be suitable reference entities. The private deal, dubbed RESI (Real Estate Synthetic Investments), is referenced to a USD12 billion portfolio of Bank of America residential mortgages and was pricing as DW went to press, said an official familiar with the deal.

Five-year credit protection on Cable & Wireless blew out by 500 basis points at the beginning of last week after Moody's Investors Service downgraded the credit to Ba1 from Baa2. Credit-default swaps spreads were trading at 350bps/400bps before the downgrade and opened at 750bps for mid-market protection on Monday, widening out further to 850bps/900bps on Tuesday. Volume increased from the typical handful of trades per week to approximately 20 trades in the inter-dealer market from Friday through Tuesday, said one trader. Generally, volumes were thin last week because of the approaching year end, they added.

Crédit Agricole Indosuez has hired Trent Beacroft, v.p. at hedge fund Parallax Capital Management in Singapore, in a new role as Japanese head of global foreign exchange sales. He now reports to Christoph Bristiel, managing director in London. Bristiel said Indosuez wanted to bulk up its coverage in Asia with a senior hire, declining to elaborate. Beacroft referred calls to Bristiel. Prior to his stint at Parallax, Bristiel was Asian head of global institutional sales at Standard Chartered Bank.

Credit derivatives dealers have started to trade five-year credit default swap contracts with fixed quarterly maturity dates. Dealers have traditionally suffered maturity mismatches in attempting to run a balanced book, which has left them open to carrying an unhedged position should a credit event occur between maturity dates, explained one credit derivatives professional. By fixing quarterly maturity dates this permanent worry is removed, he noted.