Denmark has not been among the quickest European countries to embrace the joys of securitization, but perhaps the Danes are catching on. Unibank recently became the first Scandanavian bank to arrange a multiseller asset-backed commercial paper conduit.

Advances from notes issued by the conduit, called Viking Asset Securitization Ltd., will be used to purchase receivables or securities from highly rated organizations. The first to go into the pot was the purchase of $92 billion of a triple-A rated wrapped CBO transaction. Credit enhancement for the program is in the form of a letter of credit and a liquidity facility provided by Unibank.

Although Moody's Investors Service gave a Prime-1 rating to the deal, Dominic Swann, senior vice president of European structured finance ratings, does not expect that this deal will be followed by many more in the short term. "I don't think Denmark is about to explode. The Danes still have their existing mortgage-bond market which is probably closest to securitization of European mortgage bonds," he said.

"That takes care of one of the big rationales for doing MBS, which is one of the traditional asset classes. Secondly, it's a relatively small market so someone has to be prepared to pay the cost of research and development, and they probably won't want to if they're not going to securitize mortgage assets anyway."

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