Italian bank Cassa di Risparmio della Provincia di Chieti (CariChieti) recently launched its debut securitization, in a deal backed by performing mortgages and non-performing loans. Caboto, a wholly owned subsidiary of Banca Intesa, acted as lead manager for the E53 million ($50.4 million) transaction, called Creso 1. The transaction was the first securitization of performing mortgages to be completed under the new Italian securitization law.

The deal was split into two separate transactions - although both go through the same SPV - depending on the asset type. The underlying receivables for the floating rate E27.3 million A class notes and E6 million B notes comes from 1,429 performing mortgage loans with a book value of around E36 million.

The 2.4 year average life A class notes, rated Aaa by Moody's Investors Service, priced at 32 basis points over six-month Euribor. The spread on the A2-rated B tranche, with 6.3 year average life, was 50 over six-month Euribor. An additional E2.5million C tranche, which was not rated, will act as credit enhancement.

A separate issue of 2.9 average life E20 million A1 notes will take place alongside the other securities. These are backed by over 1,200 non-performing loans with a book value of around E110 million. The tranche was rated Aa2 by Moody's and priced at 20 basis points over six month Euribor.

Marco Germani, a senior advisor on Caboto's securitization team, was happy with the deal's success. "The deal went very well and all the notes were fully subscribed," he said. "Although the notes were mostly taken up by Italian investors, they were also bought by European institutions, mostly in Germany."

Germani was particularly happy with the speed in which the deal was completed. "This was arranged in a very short time by Italian standards," he said. "We also think it was innovative having two completely separate transactions going through the same vehicle."

For the transaction backed by NPLs, Michael O'Connor, senior analyst with Moody's, remarked that CariChieti's status as servicer for the deal was a major consideration for the rating. It is generally considered advantageous to bring in an outside servicer to recover NPLs because they don't have the same concerns with customer relations that a bank has. In another recent Italian NPL deal - Banco di Sicilia's E380 million Island Finance 4 transaction (ASRI 3/27/2000 p.8.) - the arranger, Morgan Stanley Dean Witter, considered the external servicer crucial.

"It was definitely something that had to be considered in our rating," said O'Connor. "But ultimately we were satisfied that, in the event of CariChieti getting into difficulty or defaulting, there were other regional banks prepared to step in if required."

Meanwhile, another Italian bank, Banca del Salento, launched a E355 million CBO deal, backed by corporate bonds and credit default swaps. Paribas and Finanziaria Internazionale arranged the transaction, called Segesta Finance.

Around 20 corporate bonds, which Salento acquired late last year, and other asset backed securities make up E200 million of the underlying portfolio. The remainder takes the form of credit default swaps with Paribas.

The deal was split into three tranches, the junior one of which was unrated. The 4.5 year E279 million A class notes, rated AAA by Duff & Phelps Credit Rating Co., priced at 30 basis points over six-month Euribor. The spread on the E39 million triple-B rated tranche, with an average life of 9.5 years, was 80 over six-month Euribor. Italian institutional investors mostly took up the deal.

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