Morgan Stanley and Royal Bank of Scotland are working on Bishopsgate Asset Finance Series 4, a corporate bond repack for Thames Water Utilities. The underlying collateral is expected to have a triple-B- plus rating, and the deal will be denominated in sterling. The transaction is expected to be launched in the near term, depending on market conditions.

The transaction repackages a target GBP500 million ($991.8 million) of index-linked guaranteed Class A unwrapped putable callable reset notes due 2058. These notes are expected to be assigned a Moody's Investors Service long-term rating of A3'. The issuer will enter into swaps with the Royal Bank of Scotland and Morgan Stanley in equal amounts where the issuer will pass interest and principal received on the underlying to the swap counterparties and receive fixed coupons due to be paid on the Series 4 notes.

Credit risk on the swap counterparties is mitigated through the use of robust rating downgrade triggers. The Series 4 notes have been assigned a provisional rating of A3, the same as the underlying index-linked notes.

Separately, Deutsche Bank and VTB are working on a second whole business deal backed by receivables from a Russian factoring company. Deutsche and VTB closed the first factoring deal in January for Eurocommerz. The deal was sized at RUR8 billion. According to market reports, this second deal could potentially come to market in the next two to three months, depending on market conditions. The deal will probably be privately placed.

(c) 2008 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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