There was little variation in the pricing scenario last week, as both the European primary and secondary ABS markets quieted down. Spreads held firm and market sources expect activity to resume on the same note after the break.

The market even saw some spread tightening for higher-yielding deals like subprime RMBS, said sources. However, investors might find relative value in some of the CMBS paper that's hit the block over the past few weeks. The Singapore Silver Loft transaction priced its five-year triple-A rated tranche at 45 basis points over Euribor. This compares to the Windmere III transaction, which priced on March 10, with a 4.5-year triple-A class at 26 over three-month Euribor, 19 basis points tighter.

Sources at JP Morgan Securities estimated CMBS issuance so far accounts for more than 8% of the total European supply issuance this year.

Analysts at ABN AMRO added that the 5.3-year triple-A piece marketed for the Italian mixed CMBS/RMBS triple-A tranche came in at 25 basis points, and the triple-A 7.8-year piece from the Vela Homes Italian RMBS deal priced at 18 basis points.

"If we assume the RMBS pool of Spoleto Mortgages is pricing at this level as well, then the embedded spread on the CMBS pool within the Spoleto Mortgages transaction is around 50 basis points," said analysts at the bank. "On this basis, the Spoleto Mortgages transaction would appear to be offering good relative value."

Meanwhile, Banco Popolare di Spoleto offered investors four classes of notes that included a fast-pay 47.61 million (US$58.02 million) and 144.92 million (US$176 million), 5.3-year triple-A rated tranches, backed by a pool of residential and commercial loans. Its provisional pool has a 51.2% weighted average LTV and 28 months of seasoning.

As of press time last week, a number of other deals were firming up, and set to price before the end of the week.

The Portuguese government deal tightened price guidance for its 1.66 billion (US$2.02 billion) A1 notes that are talked at 11 basis points over Euribor and the 3.4-year A2 is talked at 18 to 19 basis points over. The double-A rated class is talked in the 55 basis point area over Euribor, and the single-A and triple-B tranches were talked at 95 to 97 basis points and 147 to 150 basis points over, respectively.

Also emerging from the U.K. government sector is the GBP2.08 billion (US$3.83 billion) securitization for Tube Lines Ltd, one of the London Underground train operators. The transaction will be launched via joint lead managers Goldman Sachs and Societe Generale, and it includes a 15.1-year triple-A A1 class, GBP1.146 billion (US$2.11 billion) double-A class, GBP112 million (US$206.4 million) 12.4-year A2C class, a GBP77.7 million (US$143.20 million) 15.4-year triple-B plus B class, a GBP148.3 million (US$273.30 million) 16.4-year triple-B minus C class, and GBP23.7 million (US$43.67 million) 16.8-year triple-B minus D class.

A GBP200 million (US$368.58 million) double-A rated standby facility - along with a GBP55 million (US$101 million) double-A rated safety change facility - are included in the capital structure. The deal also includes a double-A rated GBP18.45 million (US$34 million) letter of credit, plus a GBP285 million (US$525 million) EIB A loan and a GBP15 million EIB B loan, both rated triple-A, thanks to a full Ambac wrap.

A fourth synthetic RMBS deal from BHW Bausparkasse is scheduled under KfW's Provide platform. Provide Blue 2004-1 is referenced to a 2.18 billion (US$2.65 billion) pool and will include first and second lien mortgages, which have LTVs between 60% and 100% or greater. Provide is offering 31.4 million (US$38.2 million) of triple-A notes, 32.7 million (US$39.8 million) of double-A notes, 15.2 million (US$18.52) of single-A notes and 13 million (US$15.8 million) of triple-A notes.

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