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European Market Gets Busy

After the usual August lull, the European market is gearing itself for a busy September.

One familiar face returning to the fray will be U.K. mortgage lender Northern Rock with the third issue from its Granite vehicle. Called Granite 00-2, the GBP1.3 billion ($2.2 billion) transaction is backed by a pool of around 26,000 residential mortgages in England and Wales. As in the previous two issues, J.P. Morgan is lead manager.

The deal is split into four floating rate tranches. The A1 $900 million notes are rated Aaa by Moody's Investors Service and AAA by Standard & Poor's, as is the GBP600 million A2 tranche. Both carry 3.7-year average lives. Also included are two subordinate tranches: the GBP88 million B notes, rated Aa3/AA, and the Baa1/BBB rated GBP40 million C tranche.

Credit enhancement comes from subordination on the junior tranches, a cash reserve fund and any available excess spread.

Another repeat issuer that will soon return to the market will be credit card company MBNA International, in a GBP500 million deal that will be lead managed by J.P. Morgan and Barclays Capital. The co-leads will begin pre-marketing the deal - called Chester Asset Receivables Dealings No.11 - in the next week or so.

The dual currency transaction has been split into three tranches. The E725 million fixed rate A1 notes have been rated Aaa by Moody's and AAA by both S&P and Fitch. The deal also includes two sterling denominated floating rate tranches: GBP20 million of single-A rated B-class notes and the junior GBP40 million C tranche, rated triple-B.

U.K. sub-prime mortgage business Kensington Mortgage Co. was also set to launch another issue from its Residential Mortgage Securities vehicle as ASRI went to press. Called Residential Mortgage Securities No.9, the GBP350 million deal has been split into five floating rate tranches: three of which will be sterling denominated and two in dollars.

It includes a 0.7-year average life $150 million tranche rated AAA by Fitch and S&P, as well as two 3.3-year tranches of $250 million and GBP50 million. Both of these were also rated triple-A by the two ratings agencies.

Germany's Wurttembergische Hypothekenbank, meanwhile, is preparing to launch its first deal this month. Called WurttHyp 2000-1, the E510.3 million deal will be backed by a portfolio of around 3,600 residential mortgages originated by the bank.

Although the actual paper issued in the deal totals only E51.2 million, the fact that the notes are credit linked to the underlying portfolio brings the total size to over E500 million. Credit enhancement will be provided by subordination on the junior notes.

The transaction has been split into six floating rate tranches. It includes two A class tranches: the E100,000 A+ notes and the E18.7 million A tranche, both of which were rated AAA by Fitch.

Also on the continent, KBC Bank of Belgium will launch the first securitization from its portfolio of car and vehicle loans in mid-September. Called Car Loan Invest-1, the E250 million ($225.1 million) transaction will be backed by over 36,000 loans issued to individuals and small sized businesses.

KBC, who arranged the deal, will also service the loans and will run the syndicate book with Merrill Lynch.

The deal is the second to be issued by the bank this year following the E4.3 billion Cygnus Finance transaction - Europe's largest ever synthetic CLO - in June. In the past, the bank has also securitized residential mortgages.

The latest transaction has been split into two floating rate tranches that will pay a coupon over three-month Euribor. Fitch gave a provisional rating of AAA to the E237.5 million senior A-notes and A to the E12.5 million B tranche. Credit enhancement of 7% will come from subordination on the junior notes (5%) and from a reserve fund that will grow to 2% of the deal total from excess spread.

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