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* ING Verzekeringen NV Rating: Aa2/AA-

Credit derivatives traders were last Friday surprised to see three-year default protection trading on embattled California utilities PG&E and Edison International. Protection on Edison reportedly traded around 825 basis points, and PG&E around 850bps, they added. The trades were unusual because in the near term, units of the companies are likely either to default or be granted regulatory relief, meaning that selling protection on the names is essentially a bet on the near-term outcome of the California power crisis. Each trade was USD5 million. Regulated utility subsidiaries of both companies are facing trouble from their distribution businesses. Operating shortfalls due in large part to structural issues with electricity deregulation in California are forcing the companies to tide themselves over with short-term borrowings. Without regulatory relief, the regulated subsidiaries will have trouble staying solvent, said traders.

The Province of Salta in northwest Argentina is preparing a securitisation worth around $250m backed by future royalties from companies that produce oil and gas in the region. The deal will be the first of its kind in Argentina. Under Argentine law a province has the right to a royalty of 12% of the well-head price of oil or gas from companies granted concessions to extract the commodities on its territory. Salta has one of Argentina's five main hydrocarbon basins, the Noroeste field.

Banco Nacional de Mexico, the country's second largest bank, completed a $250m future flow securitisation on December 19 that was wrapped by triple-A rated XL Capital Assurance Inc - the new monoline insurer's first financial guarantee transaction. XLCA is a subsidiary of Bermudan reinsurer XL Capital Ltd, which had $16.4bn of assets and equity of $5.6bn in September 2000.

Spanish savings bank Caixa d'Estalvis de Catalunya will on Monday launch its 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, PYMECAT-1 FTPYME is the first securitisation to combine loans originated under state funding agency Instituto de Crédito Oficial's line of credit for SMEs with normal loans.

Trans World Airlines' bankruptcy and acquisition by American Airlines could affect seven aircraft operating lease securitisations as well as a private ticket receivables deal launched by TWA in 1997. The beleaguered airline filed for a Chapter 11 bankruptcy on Wednesday and agreed to sell its assets to American for around $500m. American has committed $3bn to fulfil lease assumptions and will also provide $200m in debtor-in-possession financing - allowing TWA to keep operating until the sale is completed.

Fifteen Spanish savings banks are preparing to launch a Eu2.048bn bond that will securitise a pool of cédulas hipotecarias, the Spanish equivalent of mortgage Pfandbriefe. The transaction will be the first securitisation of cédulas hipotecarias (CHs), a covered bond product that dates back over 100 years but was revived in 1999 as a new, international asset class designed to mimic the funding benefits of Pfandbriefe.

National Australia Bank held roadshows in the US and Europe this week for its first securitisation of residential mortgages, expected to be priced towards the end of next week. Lead managers Deutsche Bank (books), JP Morgan and NAB will offer a single tranche of global bonds, estimated at $1.1bn and rated triple-A by all three agencies. With an average life of 2.6 years and seven year step-up and call, the bond will be priced over three month Libor.