Not many waves, just quiet ripples last week as the European securitization market continued to price a number of deals while offering promise of more to come; clearly March has seen more deals launch and price than the first two months of the year put together.

On the pricing end, French CMBS France Industrial Properties No.1 S.A,. issued by ProLogis European Property Fund, was being sold last week. The two tranches of floating-rate notes were expected to go quickly based on the fact that investors seldom have the opportunity to get their hands on French commercial mortgages. Societe Generale (SG) managed the deal.

A number of tranches priced in Sterling and Euros, most notably Ford's EURO800 million Globaldrive that is managed by ABN AMRO, Deutsche Bank and West LB. Levels came in within original price talk at 19 basis points over the one-year Euribor. "The deal priced tight and it's what's to be expected because of this lack of supply of loan receivables," said one source.

The issue was offered to the market in two tranches: a triple-A rated piece with a 3.88-year average life and a single-A rated piece carrying a five-year bullet maturity.

Iccrea Banca Spa and Italian co-op banks priced its Italian static CDO, Credico Funding S.r.l. SG and CDC-IXIS are lead managers for the EURO742.81 million class A notes, which priced at 23 basis points over the three-month Euribor. Iccrea Banca is lead manager on the subordinate tranches that include the class B, C, D, E &F.

Sources at SG described strong demand throughout Europe for this 20% risk-weighted transaction, such that the deal was 1.28 times subscribed. The collateral is a geographically diversified portfolio of Italian co-operative bank senior debt obligations, and the transaction allows investors to gain exposure to a new class of assets while benefiting from 20% risk weighting.

Also pricing from the Italian corner was the third securitization for the Bipop-Carire group, Velites. Dresdner Kleinwort Wasserstein managed this transaction. The deal was issued in two tranches: a triple-A rated piece with a 5.1-year average life and a single-A rated piece with six-year soft bullet maturity. The triple-A piece priced within price talk at 27 basis points over the three-month Euribor and the single-A piece came one basis point over original talks of 72 basis points. Eighty percent of the mortgage portfolio is concentrated in Northern Italy.

From the Italian mortgage front was also the EURO445 million issue from Banca Popolare di Bergamo, Orio No.3 Plc. The class A notes priced at 26 basis points over the three-month Euribor, two basis points tighter than the previous transaction from this series; and the Class B notes priced at 70 basis points over.


There has not been much activity on the secondary issue front, where trading seems to have been stumped by an interest that focuses on the growing new issues pipeline. Spreads last week looked tight on consumer credits, said sources. And though market participants are stepping back, the "doing-nothing" levels continue to tighten. They are expected to remain tight unless primary issuance picks up to giant-volume levels or "something extraordinary happens to the market", said one source.

On the new-issues front last week was Capital One Bank's GBP357 million credit card recivables, Sherwood Castle Funding Series 2002-1 Plc. It's marketed in three floating-rate tranches: a GBP300 million class A, Aaa' rated piece; GBP25 million class B, A2'-rated piece; and a GBP32 million Baa2' rated piece. All tranches have a maturity date of 2007.

The collateral consists of existing future Visa, MasterCard and American Express credit card receivables from designated accounts located throughout the U.K.

Grecale Srl will add to the growing volume of Italian RMBS. The EURO175.6 million deal is issued by Unipol Banca and managed by ABN AMRO. There are three tranches of floating-rate notes above an equity piece. Commingling risk in the transaction is mitigated through an ABN AMRO guarantee up to EURO45 million in the first month and EURO10 million following this period, said one source. ABN AMRO will also provide a EURO10 million liquidity facility. Seventy-five percent of the mortgage portfolio is concentrated in the North and 25% in the South.

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