In a CBO deal expected to close on December 15, Luxembourg-based Segesta II Finance S.A. will issue a Eur365 million (USD$326 million) portfolio of both credit default swaps and asset-backed bonds.
The deal is a securitization backed by a bond portfolio held by Banca del Salento Credito Popolare Salentino Banca 121 S.P.A. (Banca 121), a subsidiary of Banca Monte dei Paschi di Siena (MPS). The notes are also backed by a cash deposit account that will be secured by a pledge on eligible securities. Additionally, Segesta II will acquire a portfolio of asset-backed securities. Segesta II will also enter into a credit default swap agreement with BNP Paribas, Banca 121 and 121 Financial Services Ltd.
Standard and Poor's Rating Services and Fitch have given the transaction a preliminary rating of AAA. According to S&P, the transaction has a diversified portfolio and 79.17% of the portfolio is rated BBB or above.