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UK life and pensions company Norwich Union, a unit of CGNU, launched its innovative securitisation of UK equity release mortgages last week via Merrill Lynch and Schroder Salomon Smith Barney. The £232m deal is the first securitisation in Europe of the asset class - interest free mortgages designed for people over 60 who want to extract some capital from their homes.

Two medium sized Italian banks have securitised their non-performing loans (NPLs) in the last week, while a third parcelled performing mortgages. The deals further broadened the already wide range of issuers and transaction structures in what is now unquestionably one of Europe's leading ABS markets.

Credit Suisse First Boston last Friday launched the £275m securitisation that will help it to exit from its principal finance investment in lending to care homes for the elderly and sick in the UK. The bank securitised all the performing assets in its portfolio, which was built around a pool of commercial mortgages originated by UCB Healthcare since 1985. CSFB bought the business in 1997 and continued to write new loans until last June.

Citibank this week launched a blowout euro denominated securitisation of its US credit card receivables, giving European investors a rare taste of top quality US asset backed paper in their own currency. The bank had planned to bring a Eu1bn 10 year fixed rate benchmark, but increased the deal to Eu1.25bn as orders poured in from about 65 investors.

In what is becoming a familiar refrain in the secondary market, several telecom names are showing weakness due to market saturation. SpectraSite Communications is trading at 98, down from par, as dealers say $15-20 million has traded. Nextel Communications is trading in the 98 1/2 to 99 on the "B/C" paper, level to last week's trades.

ABN AMRO has hired Emma Edworthy, foreign exchange options analyst at Standard & Poor's MMS in London, to boost its trading recommendations capability. Tony Norfield, global head of foreign exchange research at ABN AMRO in London, said with more currency overlay managers and corporate treasurers using foreign exchange derivatives it decided the time was right to offer regular trading strategies. The bank's research team has focused on market movements rather than trading recommendations until now. Edworthy, who started two weeks ago and reports to Norfield, did not return calls.

Ronald Tam, a currency options trader at BNP Paribas in Singapore, has joined AIG International in Singapore, where he is responsible for trading options on all tradable Asian currencies. Tam reports to Greg Romundt, senior v.p. and director of emerging markets in London. Romundt said the firm is looking to build its Asian currency presence, declining to comment on whether Tam takes a new position or if he has replaced a trader. Tam said the position at AIG represents a better opportunity.

Credit default swap prices on sovereign Argentina widened late last week after Domingo Felipe Cavallo replaced Ricardo Lopez Murphy as economy minister and announced his plans to stimulate economic recovery. Bid levels for one-year protection skyrocketed to 1,050 basis points from around 850bps after Callo announced that he planned fewer spending cuts than the market expected, according to an emerging markets credit derivatives trader in New York.

Banks in Europe, led by Commerzbank, were seen snatching up receiver swaptions in size last week as prop desks and clients positioned themselves for a European Central Bank interest-rate cut this week. Traders estimated that several billion euros (notional) of receiver swaptions rolled through the market, with Commerzbank said to be behind about EUR1 billion (USD888 million) in trades. Meyrick Chapman, director, derivatives strategy at UBS Warburg, said a EUR1 billion swaption is huge in a market where a EUR200 million deal is noteworthy. Popular trades included buying the right to enter a five-year or 10-year swap in one month or six months. Implied volatility on the option to receive fixed in the five-year swap in a month shot up 100bps to 13.75% Thursday.

One-month U.S. dollar/Brazilian real implied volatility surged last week to 14%/17% from about 11%/14% after the resignation of Argentina's minister of economy and the appointment of a new minister. Speculators and hedgers bought dollar calls/real puts, typically in one- to three- month maturities and struck at-the-money or slightly out-of-the money, according to Anshu Goyal, v.p., Latin American foreign exchange options and forwards trader at Lehman Brothers in New York.

Mehraj Matto, co-head of fund derivatives at BNP Paribas in London, has joined Dresdner Kleinwort Wasserstein as head of fund derivatives. Matto will report to Robin Farrell, head of the alternative investments group in London. Farrell said Dresdner hired Matto to help with preparations to start writing options on the performance of hedge funds. It expects to structure its first hedge fund option within the next couple of months (DW, 3/19). Matto resigned last Monday, is expected to start in a month, and could not be reached for comment.

Mortgage-backed securities players are skeptical about the usefulness of a new futures contract on the Current Mortgage Price Index, launched Friday by the Chicago Board of Trade, arguing that the over-the-counter market already provides sufficient, liquid tools that can also be more closely tied to current production. But according to DW sister publication Bond Week, at least one buysider sees potential for using the contract to make basis plays. Officials at the CBOT did not return repeated calls.