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Finconsumo, the Italian lender jointly owned by Istituto Bancario San Paolo di Torino and CC-Holding GmbH, the German subsidiary of Banco Santander Central Hispano, this week launched its second securitisation of consumer loans in a deal worth Eu258.3m. Lead managed by Crédit Agricole Indosuez (books) and Banco Santander Central Hispano, the deal was structured differently to the one launched last December, to give it greater appeal to investors.

French car manufacturer Peugeot Citroën this week launched its first securitisation - a Eu1bn deal backed by some 216,000 of its French car loans. Lead managed by Crédit Agricole Indosuez and Deutsche Bank, the deal is the largest securitisation backed by auto loans to be launched out of Europe and the first by a French captive for some 10 years.

IntesaBci, the result of the recent merger between Intesa Bank and Banca Commerciale Italiana (BCI), this week launched a Eu805m synthetic securitisation backed by a portfolio of credit derivatives. BCI has a history of bringing innovative synthetic deals out of the Italian market. It completed the first ever public collateralised loan obligation to come out of the Italian market in November 1999 with a Eu4bn deal called Scala 1, backed by a portfolio of revolving facilities and term loans.

Collateralized Debt Obligation managers are complaining about the fee-based roles the Street's underwriters play in bringing CDOs to market. More than just traditional Street versus customer wrangling, their complaints center around the fact that the fees charged for selling the paper--2% is standard--equals several years worth of management fees for the CDO manager.

Lehman Brothers and Société Générale are structuring synthetic collateralized debt obligations based on reference portfolios of 1.5 billion ($1.28 billion) and 500 million, respectively, according to indicative term sheets obtained by LMW sister publication, Derivatives Week. SG's deal, called Grande Armée, is a five-year CDO referenced to 45 loans. The Lehman Brothers transaction, dubbed Sprint 2001-4, is a seven-year arbitrage deal structured on a portfolio of credit default swaps referenced to 100 corporates. Officials at Lehman and SG declined all comment.

Dealers are watching asbestos credits this week after USG Corporation filed for Chapter 11 bankruptcy. A total of $20 million of Owens Corning's debt has traded at 62-63, which is down slightly from the mid-60s. A $4 million piece of American Home Patient's debt inched up to 81. Finova Group's debt is trading at 91, which is down a point from a trade earlier this month.

Basis Capital, a relative value/arbitrage hedge fund in Sydney with AUD20 million (USD10.2 million) under management, recently purchased credit default protection on Australian packaging firm AMCOR to hedge a long position in convertible bonds issued by the company. Steve Howell, cio in Sydney, said the hedge fund purchased protection at LIBOR plus 60 basis points. He declined to reveal the notional size, tenor or counterparty.

Mike Reeber, global head of convertible bonds at Deutsche Bank in New York, is moving to Tokyo to become head of Asian equity derivatives. Rick Goldsmith, global co-head of equity derivatives in New York, said the move follows the departure of Masatoshi Inoue, who quit the world of banking to work for a software company in Seattle (DW, 4/23). Reeber will report to Goldsmith and Ralph Reynolds, global co-head of equity derivatives. Reeber and Reynolds were traveling and could not be reached.

Ross McIntrye, manager in the weather derivatives group at Enron in London, resigned last week to join Deutsche Bank's nascent weather derivatives group. McIntrye will report to David Pearse, who heads the weather derivatives desk at Deutsche Bank in London. Officials familiar with the move said McIntrye's contract requires him to stay out of the market for three months. However, Enron is believed to be considering revoking this clause to speed up Deutsche Bank's fledgling effort in order to boost liquidity. Deutsche Bank is one of the largest banks to start a weather desk (DW, 5/20).

Volumes in yen puts/dollar calls doubled last week as the yen depreciated against the greenback to JPY123.74 and the market predicted a further slide. One trader said banks were buying yen puts with strikes between JPY127-JPY128 with maturities out to nine months. The demand for yen puts/dollar calls caused the 25-delta risk reversal to spin around from 0.1 in favor of yen calls/dollar puts two weeks ago to 0.5 in favor of yen puts/dollar calls last Thursday. A U.S.-based trader estimated USD2 billion (notional) of yen puts traded last week, which is the approximate typical volume for the whole dollar/yen options market on a normal week.