With many bankers and issuers taking well earned rests over the July/August period, activity has been fairly slow on the European scene, but some deals have been launched and a few more were set to go as the ASRI went to press.

One company who came to market was AXA Investment Managers with a E455 million ($410 million) collateralized debt obligation. The deal, called Concerto 1, was arranged by Goldman Sachs and was backed by a portfolio of European high yield bonds (60%), European secured loans (20%) and U.S. high yield loans (20%).

Included in the transaction was E301 million of senior notes, rated AAA by Standard & Poor's and Fitch, which carry average lives of 8.4 years. The tranche comprised of E240 million floating rate notes and E55m fixed rate bonds, which pay a coupon equivalent to 42 basis points over six-month Euribor. The E50 million B tranche - rated A-minus by both agencies - pays a coupon of 120 over, and comprised of E15 million floating rate notes and E35 million fixed rate, both carrying 10.5-year average lives.

Morgan Stanley Dean Witter recently priced its E705 million securitization of non-performing loans that it bought from Italy's San Paolo IMI (ASRI 7/31/2000 p.6). The transaction, called International Credit Recovery Five, was backed mainly by residential mortgages located in Southern Italy, and split into five floating rate tranches.

The 2.1-year average life A class tranche, rated AAA by S&P, comprised both dollar- and euro-denominated bonds. The A1 $100 million notes priced at 40 basis points over six-month Libor, while the spread on the E401 million is 48 over six-month Euribor.

Also included was the 3.8-year AA rated E99 million B tranche, which priced at 77 over, the E59 million C notes which have average lives of 4.4 years and pay a spread of 135 over, and the 4.4-year junior C tranche, rated BBB, and pricing at 225 over Euribor.

MSDW was also about to close a deal for igroup Ltd., formerly Ocwen U.K., at press time. The GBP300 million ($451 million) transaction, called Originated Mortgage Loans Six, securitizes a portfolio of over 6,000 loans with a loan-to-value ratio of almost 69%, originated by igroup companies in England, Scotland and Wales.

The transaction is split into three floating rate tranches. Fitch and S&P have provisionally given an AAA rating to the E264 million A tranche, A-plus and A respectively to the E24 million mezzanine tranche and both gave a BBB rating to the junior E12 million B notes. Credit enhancement for the senior notes will come from subordination on the M and the B tranches, as well as a reserve fund.

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