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Trading on credit-default swaps referenced to Enron and Dynegy dried up last Thursday as Dynegy appeared to be moving closer to acquiring a stake in its struggling rival, according to traders. Trading volumes on Enron, which just a few weeks ago was trading every day, was non-existent as the acquisition talks intensified, said traders in New York. "There's no flow at all. The only thing we're seeing is firms' unwinding previous trades," said one trader. Most of this business came from hedge funds that had previously bought protection. Another trader said "it's hard to offer protection on risk that's just hanging out there." Trading flows on Dynegy, which were already thin--averaging about one trade every three months--followed the same path as Enron.

J.P. Morgan has launched what it believes is the first high-yield credit-default swap index representing the five-year credit risk of a linear basket of 100 junk bond issuers, according to officials at the firm. "The main reason we did this is because until now, there have been no good alternatives to trade the market as a whole from the long and short side," said Angie Long, head of high-yield credit derivatives trading in New York. The product has been correlated to traditional high-yield bond indices and will allow clients to both invest and hedge their exposure to the U.S. high-yield market through the use of high-yield credit derivatives. The product is designed to cater to clients looking to allocate assets in high yield, Long said.

Joe Hegener, managing director and global head of non-investment grade credit derivatives and collateralized debt obligation business at TD Securities in New York, has been promoted to head investment banking and securities in the U.S. His promotion is part of an ongoing integration project by the firm that entails joining its products groups with its corporate financing business, Hegener said. Hegener has replaced Gordon Paris, who left the firm last month, according to a company official, who declined further comment. Hegener reports to John MacIntyre, global head of investment banking and Mike MacBain, head of global debt capital markets.

Diners Club Italia, the central operating branch for the Diners Club franchise in Europe, is preparing to launch next week what is believed to the first pan-European securitisation of credit card receivables. Lead managed by Schroder Salomon Smith Barney, the Eu339.4m securitisation, which will use a master trust structure, will be backed by charge and credit card receivables originated by the Diners Club franchises in the UK, Ireland, Belgium, Holland, Germany and Italy.

Credit Suisse First Boston is preparing to launch FARMS Securitisation Limited in around two weeks. The Eu1.6bn synthetic securitisation of Swedish agricultural mortgage loans is believed to be the first portfolio consisting purely of farm loans to be securitised. Loans are originated by FöreningsSparbanken Jordbrukskredit AB, a subsidiary of Spintab, the second largest mortgage lender in Sweden. The fixed portfolio will comprise 43,000 loans secured on farmland (14%), forestry (46%), agricultural real estate (12%) and residential farm buildings (19%).

London International Exhibition Centre plc met investors this week to discuss prospects for its £178m structured bond, which was downgraded by Fitch to BB- and CC two weeks ago. "We provided some background information on the latest forecasts, which Fitch had seen and which formed part of the background for them to provide the re-rating," said Chris Hunt, LIEC's finance director.

Rosy Blue NV, a privately owned diamond wholesale company in Belgium that is one of the biggest buyers of rough diamonds from DeBeers, this week launched its long awaited securitisation backed by its stock of diamonds. Lead managed by Nomura, pre-marketing started last July, but was hit by a number of delays.

SA Home Loans, the largest non-bank provider of mortgages in South Africa, is preparing to launch the first securitisation in South Africa to be backed by residential mortgages. The deal is lead managed by JP Morgan Securities South Africa and Standard Corporate and Merchant Bank (SCMB), a division of the Standard Bank of South Africa. Roadshows will begin next week.

Non-conforming mortgage lender Southern Pacific Mortgage Ltd this week launched a £350m securitisation backed by first and second lien sub-prime mortgages. Lead managed by Lehman Brothers and ABN Amro, the deal marks the first securitisation to come from Southern Pacific since it was restructured with a capital injection from Lehman Brothers in January 2000. It still retains an interest in the group.

ScottishPower, the UK based electricity company, this week announced plans for a £1.9bn refinancing of its subsidiary Southern Water Services, using techniques based on securitisation. Credit Suisse First Boston will lead manage a £1.8bn bond issue by the end of March 2002, which along with £100m of existing debt will be ringfenced in Southern Water, which is one of the 10 main regional water utilities in England and Wales.

Tenovis GmbH & Co KG, a leading provider of business communications solutions in Germany, has launched the first rated German term securitisation to use a secured loan structure, with a Eu300m transaction. Lead managed by Morgan Stanley and Schroder Salmon Smith Barney, Tenovis Finance Limited issued a single tranche of notes rated A2 by Moody's and A+ by Standard & Poor's. It was priced at 150bp over three month Euribor. "Pricing was in the range we'd expected and many people were intrigued by the deal," said Steve White, ABS syndicate official at Morgan Stanley in London.