Variety continues to dominate the building European RMBS pipeline with a number of jurisdictions lining up deals to be launched in the coming weeks. Volumes continue to fall short of 2005 business, however, as analysts at Morgan Stanley estimated that first quarter European RMBS issuance was down to $38 billion from $57 billion recorded at the same time last year.

Despite the shortfall in volume, analysts said they did not anticipate new issuers to join the 2005 pipeline but did expect at least some of the volume differential to be made up by increased issuance from Italy. "Many Italian banks await covered bond legislation, although we understand they will need to use RMBS this year to meet funding requirements," reported analysts at Morgan Stanley.

UniCredit, Italy's second-largest bank by assets, is said to be prepping to launch a 3 billion ($3.87 billion) RMBS deal - the largest non-U.K. RMBS deal ever seen out of Europe. The deal could come as early as next week, said market sources.

Underwriters circulated guidance for Unipol Banca's Castoro RMBS Srl, which offers investors exposure to 655 million of its Italian residential mortgages. The Class A notes are talked in the 10 basis point area over Euribor and the single-A rated tranche is talked in the mid to high teens over, said market sources. The provisional pool had a 56% weighted average LTV and 1.4-years seasoning - 84% of the pool was originated in Northern and Central Italy.

This is Unipol Banca's third public securitization following Grecale S.r.l. in March 2002, and the mixed deal, Grecale ABS in April 2003. "Delinquencies in these two transactions are running at 1.8% and 4.6%, respectively, while cumulative defaults are at 0.42% and 0.71%," said analysts at Dresdner Kleinwort Wasserstein. "The ratings of both transactions were affirmed by Fitch Ratings after a review of the agency's rated Italian RMBS in May last year."

Spanish originator Bancaja is offering exposure to 1.7 billion of prime RMBS via Calyon Securities, Deutsche Bank Securities and JPMorgan Securities. Bancaja is one of the most established and liquid Spanish mortgage originators, which should see the deal price close to tights for European RMBS, said market sources. Dutch originator Aegon Levensverzekering launched its 1.2 billion securitization from its Saecure series. Saecure 5 is led jointly by ABN AMRO and Citigroup Global Markets.

Work began for Bradford and Bingley's second master trust transaction, Aire Valley 2005-1. An equivalent GBP1.5 billion ($2.8 billion) of notes are expected split into euro and sterling denominated notes - including an equivalent GBP445 million of three-year and GBP891 million of five-year Class A notes. The master-trust pool had a 77.6% weighted average LTV and 24 months seasoning at March 20, 2005 - 85.1% of the loans were buy-to-let.

Marketing is underway for Banca Santander's 1.7 billion Santander Auto 1. The deal will securitize three triple-A rated notes issued by Golden Bar and GACC Auto ABS, bringing together both Italian and German auto receivables. Santander Auto One will offer one triple-A tranche.

SCIP 2 is slated to make an additional offering this month and a total of between 4.05 billion and 4.75 billion of notes are expected. The proceeds will be added to SCIP 2's collection account, cash collateralizing the existing notes, said analysts at the Royal Bank of Scotland. The new notes will reference the existing collateral pool using an extended business plan, factoring in the delays experienced. The A4 tranche was talked in the low teens over Euribor, A5s in the low 20 basis point area and the B2s in the 50 basis point area over.

Guidance was issued for Freshwater Finance, a GBP402 million deal for Anglian Water. The Ambac-wrapped, 30-year fixed-rate bullets were talked at 60 to 62 basis points over Gilts.

Copyright 2005 Thomson Media Inc. All Rights Reserved.

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