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The Italian treasury is expected to reinvigorate its project to launch a second securitisation of delinquent social security contributions in February. The first securitisation of late payments to state agency INPS was launched in November 1999 for Eu4.65bn. It will face a crucial test on January 31 when its Series 1 tranche, worth Eu1.55bn, reaches its scheduled maturity.

Moody's this week published a performance update on Tussauds Finance Ltd, the £230m securitisation by the Tussauds Group, the UK leisure company which owns the Madame Tussauds waxwork museum in London. The transaction, launched by Bankers Trust in May 1999, offered what many considered the most daring package of risks ever seen in a whole business securitisation.

Spanish savings bank Caixa d'Estalvis de Catalunya this week launched a Eu150m securitisation of loans extended to small and medium sized businesses (PYMEs) to finance investment projects. Jointly lead managed by JP Morgan and Caixa Catalunya, the deal is the fourth in the last year to take advantage of the Kingdom of Spain's offer of a guarantee for part of securitisations backed by PYME loans.

The plan by 15 Spanish savings banks to launch a Eu2.048bn securitisation of cédulas hipotecarias, the Spanish equivalent of mortgage Pfandbriefe, is attracting widespread interest. The transaction, AyT Cédulas Cajas FTA, will be backed by cédulas specially issued by each of the banks. By pooling them and creating a 3.5% reserve fund, the borrowers will be able to issue a bond with triple-A ratings - much higher than their cédulas would achieve on their own.

Volkswagen Leasing GmbH this week launched its fourth securitisation of German car leases in an oversubscribed deal worth Eu750m. Lead managed by Credit Suisse First Boston and Deutsche Bank, Volkswagen Car Lease No 4 Ltd offered two sequentially amortising passthrough tranches, with legal maturities of March and July 2004.

Bank of Scotland (BoS) this week launched its second securitisation of UK residential mortgages, using the innovative master trust structure it unveiled in April 2000. Bookrunner Schroder Salomon Smith Barney once again took advantage of the master trust's power to carve cashflows into investor friendly chunks by launching soft bullet tranches with short legal maturities.

Barclays Bank is believed to have launched a highly unusual yen denominated collateralised bond obligation, backed by a pool of mostly US asset backed securities. The ¥17.25bn ($147m) deal is a fully funded synthetic CBO. Lead manager Barclays Capital declined to comment, but the deal appears to satisfy two objectives. Assuming all the notes are sold to third parties, Barclays will reduce its exposure to the assets to 3% of their face value, and may be able to earn an attractive spread on that equity risk.

Altgate Capital is launching its first five hedge funds and plans to have another five out by the end of the first quarter. The firm opened its doors last year (DW, 10/30). The funds will employ strategies including long/short, merger arbitrage, event-driven, distressed debt and emerging market styles, said James Baker, chairman and a 25-year Goldman Sachs veteran. The funds, will be offered through third-party distribution channels including private banks and financial advisors and will carry standard fees of 1% management/20% performance. Total costs after factoring in those of the distributor will be around 2% management and 25% incentive, Baker said. Private client minimums will be $1 million for investment. The funds will be targeted toward small and medium-sized institutions and high-net-worth individuals. Altgate is presently looking for distribution channels. "We already have five hedge funds lined up for clients....Five will probably not be enough. By the end of the first quarter we will be offering at least 10," Baker said.

A bank in Tokyo bought some USD1 billion in three-month euro calls against the Japanese yen Wednesday, struck at JPY115, according to traders there. Three-month implied volatility on the pair jumped from 15.4%/15.9% Wednesday, to 16.2%/16.7% Friday, a trader said. On Friday the spot stood at JPY112.80, compared with around JPY109 Wednesday, he added. A number of smaller lottery-ticket style positions also traded through the week in U.S. dollar/Japanese yen options, with traders buying deep out-of-the-money dollar calls/yen puts. Traders bought one-year yen puts struck at JPY150, and three-month yen puts struck at JPY125. Such puts are attractive because while they are cheap, if they move into the money they bring potentially massive earnings, one trader said. The dollar traded at about JPY118 Friday.

Barclays Capital is looking at becoming a market maker in over-the-counter weather and power derivatives. Benoit de Vitry, managing director and global head of commodities in London, said the bank is "looking at [adding the products] very seriously as an integral part of a global energy desk." He expects the bank to reach a decision on weather derivatives by the summer. He declined all further comment on power derivatives. Barclays Capital's commodities group will decide whether to introduce weather products, de Vitry noted, adding that the decision will hinge on the level of liquidity and demand from existing customers. If it enters the market it will start by offering weather derivatives to its existing customers across the globe and then attempt to add new clients as it builds a reputation in the products.

December 11, 2000 at 8:00 a.m. (New York Time) 32 Old Slip, Conference Room 23, New York and Peterborough Court, 133 Fleet Street, 10th Floor, London

Commerz Securities last week launched a fixed-income derivatives trading book in Tokyo. It has been preparing the move for some time (DW, 5/22), but has waited for the opportune moment to pull the trigger. With Japanese equity markets performing badly, there are now greater profit opportunities for retail products with embedded fixed-income and credit derivatives, said Philippe Avril, business manager in Tokyo. Also, Japanese yen interest-rate volatility has started to pick up in the last few weeks, he said. Commerz plans to market to clients structured products such as callable bonds and credit-linked notes, and to a lesser extent plain-vanilla interest-rate swaps. Swaps will be less of a client focus—that market is dominated by Japanese banks and with business so competitive, margins are wafer thin, Avril said.