Last week opened up with heavy European primary market activity in the run-up to December, as over 8 billion ($9.7 billion) of new issuance was scheduled, some of which is expected to be pushed into November.

The traditional fourth-quarter line up of Spanish SME's began with several deals sizing up during the week. Banco Santander priced its 3.1 billion SME CLO - its largest deal so far. The A2 notes priced at one basis point inside price talk and tightened slightly on the break, quoted at 100.01 to 100.02. Analysts at Dresdner Kleinwort Wasserstein said that while the deal appears to offer decent value on a relative basis, the perception is that there are a lot of bonds on the street and this is likely to affect secondary performance.

Dealers also began work for FTPYME Bancaja 4, Bancaja's 1.5 billion SME CLO. It's the second issue this year to come out of the Spanish Ministry of Economy's established guarantee budget for the FTPYME program. The first deal backed by the guaranty, GC FTPYME Sabadell 4 priced earlier in the week. JPMorgan Securities, Merrill Lynch, SG Corporate & Investment Banking and Bancaja acted as lead managers on the deal. The transaction offers three triple-A tranches with one-year, 2.4- and 4.5-year average lives, with the longest tranche benefiting from the Kingdom of Spain guaranty. The provisional pool includes 3,654 loans, 70% of which are first-lien mortgages. Geographically 50% were located in Valencia, 12% in Catalonia and 12% in Madrid. The five largest obligors accounted for 4.1% of the pool, the top 10 accounting for 7.3%.

On the RMBS front, Union de Creditos Immobiliarios has a 1.5 billion deal on the table. The UCI 14 offering is backed by 12,740 loans to obligors - 93% are first-lien mortgages and 7% personal loans - with a 75.9% LTV and 12 months of seasoning. Roughly 40% of the mortgage pool is backed by private mortgage insurance, provided by GE Mortgage Insurance, a subsidiary of Genworth Financial. A total of 1.34 billion of triple-A rated notes are offered with a 4.8-year average life.

The Paragon Group began pre-marketing its GBP1 billion ($1.7 billion) buy-to-let transaction, Paragon Mortgages 10. Fast and slow pay triple-A rated notes are offered including $750 million of 2a7 eligible notes and GBP462 million equivalent of 4.8-year triple-A rated paper in addition to double- and single-A rated tranches offered in both sterling and euros. The provisional pool also had a 78.6% weighted average LTV and six months of seasoning.

From the Netherlands another Nationale Hypotheek Garantie supported RMBS transaction, Solid 2005-I, was being offered. The 601.9 million $731 million deal for Fortis Bank has a provisional pool with a 97.8% weighted average LTV, 27 months of seasoning, and consists primarily of loans backed by life insurance, with savings and investment based loans making up the remainder. Geographically 22.2% were located in Zuid-Holland, 9.6% in Noord-Holland, and 16.3% in Noord-Brabant.

An on the synthetic side the 3.46 billion RMBS for BHW Bausparkasse, dubbed Provide Blue 2005-2, made its way as part of the line-up. A total of 155.4 million of funded notes rated from double-A to double-B are offered. All of the triple-A rated risk was absorbed by the super senior tranche. Provide Blue is backed by a pool of first-lien and subordinated-lien mortgages. The provisional pool had a 52% weighted average-LTV, and included 22.5% East German loans, along with 19.2% investment properties.

In related news, Deutsche Postbank announced yesterday that it intends to buy 76.4% of BHW Holding building on the 9.2% stake it already held giving it control of 93.4%. "I think we will start to see the number of these large synthetic RMBS deals pick up in the run-up to the close of the year," said one market source. "A lot of these lenders are looking to free up regulatory capital."

Locat S.p.A., Italy's largest leasing company, began marketing its third securitization, Locat Securitization Vehicle 3. The transaction will offer investors 2 billion in fast- and slow-pay notes, available with 1.8- and 4.1-year average lives. The provisional pool included 24,714 performing contracts split between equipment (24.5%), vehicles (25.8%) and real estate (49.7%). More than 70% of the pool was originated in Northern Italy and it averaged 19 months seasoning.

Price guidance was also released for Whinstone Capital Management, Northern Rock's innovative synthetic securitization of first-loss pieces from the Granite RMBS transactions issued from 1999 through to last year. With the currency allocations still not decided, the triple-B notes are talked in the 90 to 100 basis point range over the three-month Libor and the double-B tranche is talked at 300 to 325 basis points over Libor.

(c) 2005 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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