The European collateralized debt obligation (CDO) market is brandishing its third emerging market collateralized bond obligation this year with Citigroup's $350 million securitization expected to close by the end of the month, revealed Stroma Finston, a director at S&P's structured ratings group in London.

A triple-A rating has been assigned to the $280 million A tranche, a double-B rating has been assigned to its $63 million B tranche and the remaining $7 million C tranche has been left unrated, reports S&P.

While the underwriting bank, Schroder Salomon Smith Barney, expected the deal to close last week, at press time the five basis point price widening might put the deal on this week's agenda, said one source following the deal.

Emerging market CDOs still remain somewhat of an anomaly in the European market, particularly because rating agencies must review all loans included in the package. Project Securitization includes 25 project finance loans from Citibank which originate from Turkey, the Middle East, Latin America, and loans from North America.

Fiat Drives in second deal, builds new issue front

Kin to last year's EURO965 million first Italian auto deal is its sibling, SIAT SpA, driving a EURO831.25 million single, class-A tranche that priced at 27 basis points, coming in within the same spread as last year's issue. Lead managers on the deal are BNP Paribas, Schroder SSB and Banca Di Roma.

Last month's Auto ABS Compartiment 2001-1 EURO950 million Peugeot deal priced six basis points within the new Fiat deal, reflecting the fact that the underlying loans for this new issue were entirely unsecured. The over-abundance of Italian-based securitizations and lower liquidity in the market might add to the basis-point gap between Fiat's new issue and pass auto-loan securitization, said an analyst with Dresdner Kleinwort Wasserstein Research.

U.K. launches GHG

At press time the U.K.-based whole business securitization market awoke, as General Healthcare Group (GHG) launched its GBP975 million deal. It's offered in six tranches of fixed and floating-rate notes. The GBP350 million class-A1 and the GBP150 million class-A2 tranche priced well within comparable whole-company securitizations to hit the market this year.

Pricing at plus 42 basis points, the fixed triple-A tranche came within 20 basis points of this summer's Welsh Water deal. Its floating-rate wrapped tranche priced at plus 85 basis points, 4.5 basis points narrower than the water company's whole-loan deal.

The class-B tranche priced at plus 120 basis points, the class C-1 note priced at plus 260; the class C-2 note priced at plus 295 and the double-B rated class-D note priced plus 515.

Adding to the deal variety last week was the EURO625 million arbitrage CDO, Lifestar. The transaction, led by Goldman Sachs, was launched in four tranches of notes with an underlying equity piece. The class-A tranche priced at plus 48 basis points and the class-B tranche came in at plus 75. The class-C and class-D tranches priced at plus 127 basis boints and plus 232, respectively.

"The underlying assets are leveraged loans and HY bonds. Compared to Concerto II, which had similar underlying, this deal priced slightly wider at a triple-A level," reported Dresdner.

Belgian Market Sparkles

A relatively inactive Belgian securitization market is in the pipeline with a stone of a deal, say sources. It's hosting a first for the country with the Rosy Blue Carat S.A. $100 million deal, involving the sale of physical assets.

Moody's rated the Class-A tranche with an A2. It's the "first securitization under Belgium law that involves the true sale of stock gem diamonds to an SPV, which in return finances the purchase through the issuance of secured notes." Nomura Bank will act as lead manager on the deal.

The pipeline for this week is expected to also include the Portuguese-based CDO, Lustiano No.1. Originated by Banco Espirito Santo the EURO1.128 billion securitization led by Merrill Lynch, Deutsche Bank AG is delved into five tranches.

The class-A1 tranche is expected to garner pricing at plus 25 basis points, while the class-A2 tranche is expected to come in at plus 45 basis points. Both tranches are wrapped with a financial guarantee.

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