The European primary pipeline is still, for the most part, defined by retained deals, although public placement of Unicredit HVB's SME CLO, Geldilux TS 2008-1, shows that for the right paper, investors will still pay up.

The liquidity in most of the SME CLO transactions has been absent since almost the beginning of the crisis a year ago. But, thanks to the series' strong criteria and good performance, it has enabled the issuer to place the deal publicly.

This is the sixth deal within the series to be issued since 2001. Geldilux TS 2008-1 priced its triple-A tranche at 100 basis points, the triple-B tranche at 600 basis points and the double-B at 800 basis points. Analysts noted that interest from bottom-end investors for the triple-B and double-B notes was high, as both tranches were preplaced.

"Primary global CDO issuance has stabilized at ‘pretty low' levels, but Geldilux was publicly priced on the primary market," Unicredit analysts said. "Public issuance seems to be possible only for short-term, high-quality assets."

Generally, the majority of deals found in the European structured finance pipeline are still retained, and the analysts do not expect this trend to change. "Short-term, high-quality and accurately priced underlyings seem to be guarantors for successful market tapping," they wrote.

Retained Deal Flow

On the retained front, bookrunners priced the Ä130 million ($201 million) retained cash balance sheet CLO for originator Caja Circulo, AyT Colaterales Global Empresas Caja Circulo I FTA.

The collateral comprises 1,668 loans to SMEs with 61.1% current LTV, 27-month weighted-average seasoning and 80.7% concentration in Castilla y Leon. The triple-A-rated 2.2-year Class A notes were priced at 30 basis points, the single-A-rated 5.6-year Class B tranche at 60 basis points, the triple-B-minus-rated 7.8-year Class C notes at 125 basis points and the single-B-rated 8-year Class D notes at 250 basis points.

Pricing for Caixa d'Estalvis del Penedes' Ä570 million Spanish balance sheet CLO, Caixa Penedes FTGENCAT 1 TD, was also announced.

The senior Class A1 and A2 (CA) notes both priced at 35 basis points, the single-A-minus-rated 8.4-year Class B tranche at 70 basis points and the double-B-rated 8.4-year at 175 basis points. All tranches were retained except for Ä5 million of the Ä229.1 million Catalonian government-guaranteed Class A2 notes.

Details emerged on Adriano Finance Srl, a Ä7.56 billion prime RMBS for Intesa Sanpaolo Group. The collateral comprises loans to 91,721 obligors, with 36.5-month weighted-average seasoning and current LTV of 47.36%, with concentration in Northern Italy (62.6%), Central Italy (17.4%) and Southern Italy (20.0%). The retained triple-A-rated 4.9-year Class A notes were priced at 70 basis points.

Caixa de Balears (Sa Nostra) Ä250 million Spanish cash balance sheet CLO, TDA Sa Nostra Empresas 1 FTA, was also priced last week.

The pool comprises SME loans to 667 obligors with 40-month seasoning and current LTV of 44.9%. The leases are in the construction/real estate (31.4%) and hotel/restaurant (27.8%) sectors with concentration in the Balearic Islands (75.7%) and Madrid (10.6%). The triple-A-rated 2.7-year Class A tranche priced at 30 basis points, the single-A-rated 7.3-year Class B notes at 50 basis points, the triple-B-minus-rated 9.1-year Class C notes at 125 basis points, the double-B-minus-rated 9.3-year Class D tranche at 200 basis points and the single-B-rated 9.3-year Class E notes at 250 basis points. All notes were retained.

(c) 2008 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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