The European securitization pipeline has established a pattern of rotating in new deals as quickly as existing supply prices. Sources estimate that at least four to six deals have been pricing per week, and the first two months of 2003 have quickly outpaced activity recorded last year.

"MBS dominates with 66% of volume from nearly every jurisdiction - the U.K., Italy, the Netherlands, Spain and Portugal," reported Merrill Lynch. This time last year, one of the prominent features of the market was activity in the funded tranches of CDOs; this year has seen only three such transactions price, but analysts at Merrill Lynch say there's good value to be found in this out-of-favor asset class.

Right now, however, the market's infatuation continues to be with MBS. On the cusp of pricing its TDA Pastor No.1 RMBS; Spanish RMBS issuer Caja de Ahorros del Mediterraneo is marketing a $1.09 billion equivalent transaction. TDA CAM 1 is marketed via Credit Agricole Indosuez, Credit Suisse First Boston and Societe Generale.

On the Italian side, Anton Veneta and IntesaBCI priced the Giotto 2 and InteciBci 2 RMBS transactions at the end of last month, and now a $336 million equivalent RMBS for Banca Agricola Mantonova has joined the Italian roster. Dubbed Mantegna Finance II, the deal is the second for the bank and is structured with two triple-A tranches - a $67 million equivalent piece and a $237 million equivalent tranche. Approximately $15 million equivalent of single-A notes and $13.4 million equivalent of triple-B notes are also being offered.

In U.K. subprime territory, market concerns over U.K. subprime borrowers and a housing price decline have recently driven players to attach financial guarantees to tranches. Both the RMAC deal, which priced late last week, and the Southern Pacific deal, which priced late February, included Ambac wraps; the latest subprime name launched by Kensington Mortgage Securities, however, looks to have dropped that lead. Residential Mortgage Securities 14 plc will not have the triple-A portion of its deal wrapped, but it is expected to carry the familiar sterling-denominated, euro-denominated and dollar-denominated tranches seen in previous transactions.

Copyright 2003 Thomson Media Inc. All Rights Reserved.

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