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Eurohypo, Deutsche Bank's mortgage bank subsidiary, this week launched a £1.082bn UK synthetic collateralised mortgage backed security (CMBS) deal. Lead managed by Deutsche, Eurohypo 2001-1 was offered eight tranches of notes totalling £248.75m, beneath an £860m super senior credit default swap. The notes have a 5.2 year soft bullet average life, an expected maturity of September 2006 and a legal maturity in June 2020.

BNP Paribas this week launched two funded synthetic securitisations transferring risk from its own debt portfolios. Unlike most synthetic deals, BNP did not use a super-senior credit default swap with an OECD bank above the notes - so both issues were used to transfer only the mezzanine risk. As well as being launched on the same day, the portfolios for Riviera 2 Finance SA and CDO Master Investments SA series 1 are very similar. In each deal, BNP transfers a portion of the credit risk associated with a pool of corporate obligations to the issuing SPV via a credit default swap. A subsidiary of BNP has retained the super-senior credit default swap for both Master Investments and Riviera 2, although the bank has the option to arrange swaps in the future.

Goldman Sachs and JP Morgan are next week planning to launch Eu580m of notes backed by non-performing residential and commercial loans originated by the Banca Nazionale del Lavoro. The portfolio of Ares Finance Srl was originally acquired by Goldman Sachs, Goldman vehicle Whitehall 2001 and JP Morgan last December.

Dresdner Kleinwort Wasserstein is planning an innovative $325m securitisation of aircraft, telecoms, containers and bus leases from its balance sheet. The deal is expected to close in the first week of September and will transfer the risk from Dresdner's loan portfolio, freeing up regulatory capital. Although IntesaBci issued the first synthetic aircraft collateralised loan obligation in May this year, Dresdner's Harrow Synthetic Limited will offer investors a new asset class by adding non-aircraft assets.

Wyndham International's term loan "B" traded in the 96 ¼ to 96 ¾ context in trades totaling $10 million. Dealers say the softening levels are a result of a slowing lodging industry. United Defense's bank debt traded at 100.125, with dealers saying the defense industry is armed against economy swings.

Bank of America has hired Meri Miller, director in the global hedge funds group at UBS Warburg in New York, as a senior marketer in its global leverage group, a subsection of its global derivatives products group. At UBS Miller reported to Gary Kaufman, head of the rates and foreign exchange group in New York. Kaufman said UBS would look to replace Miller, but declined further comment.

Bedford, Mass.-based filtration and purification technology provider Millipore is talking with its lead banks, FleetBoston Financial and ABN AMRO, about refinancing its current $175 million revolving credit agreement. Janet Frick, assistant treasurer for Millipore, said the loan matures in January and this is the primary reason for arranging a new revolver. She declined to comment on whether the same banks would lead the facility, but she said a new loan would be syndicated rather than just rolled over with existing banks.

The following is a list of collateralized loan and debt obligations rated by Moody's Investors Service for the year to May 22 Fitch and for the year to April 1. Information from Standard & Poor's can be obtained at www.standardandpoors.com in the structured finance section of the Resource Center.

The market for credit-default swaps on Argentina--which has effectively been shut for several weeks--is expected to return this week when donor organizations announce the amount of new loans they will provide the troubled sovereign. Traders said there is too much uncertainty to trade default swaps at the moment and this will not change until the International Monetary Fund decides on the amount of funding it will provide. Greg Gentile, associate and Latin America credit derivatives trader at Lehman Brothers in New York, said there has not been an inter-bank market in protection on Argentina for three weeks, because the risk of default was so high. He added, "It is like buying a lottery ticket."

Decillion Investment Management plans to increase the use of derivatives in a recently launched convertible arbitrage fund by raising capital from external investors. Derek Watson, advisor to the fund in Nyon, Switzerland, said it hopes to raise EUR25 million (USD22.8 million) by year-end and then close the fund when it reaches EUR300 million, which he predicts will be within two years. The fund uses interest-rate swaps, credit default swaps and asset swaps to isolate the equity component of convertible bonds.

Citibank structured the first constant maturity swap in the local Indian market last month, said an official at the bank in Mumbai. One of the largest local corporates entered the swap on the back of a bond issuance as a way to manage interest-rate risk, he said. He declined to name the counterparty or reveal details of the bond. A rival banker said constant maturity swaps have not been executed before in the Indian market because most Indian corporates are too cautious to enter exotic derivatives.