The euro market crave continues. The latest deal to ride the wave of buyside interest was Kensington Mortgages RMS 17. Kensington was oversubscribed and increased by GBP200 million (US$377 million) to GBP340 million (US$642 million), and priced at the tight end of guidance.

The fast-pay 0.8-year U.S. dollar-denominated tranche came in at 1 basis point over the three-month Libor. The remaining notes offered under the class A2 tranche - available in euro, sterling and U.S. dollars - priced at 27 basis points over Libor, while the M1 priced at 57 basis points.

The provisional pool was comprised of first-ranking mortgages with a 76.7% weighted average LTV and 3.4 months seasoning; 3.7% of the pool was investment home loans.

RMS 16 priced its 3.5-year dollar and euro notes at 39 basis points over Libor; its class B1 notes priced 140 basis points wider than the B1 notes included under the latest transaction, which came in at 205 basis points.

Pricing on the new Capital One Europe credit card deal was expected by the end of last week. A total of 500 million (US$640 million) is offered under Sherwood Castle Funding Series 2004-1. The deal is structured as three tranches, including a 420 million (US$537 million) triple-A class that is being talked in the 22 basis point range. The class B notes rated single-A were initially talked at 60 to 65 basis points but at press time talks tightened to 55 to 60 basis points. The triple-B rated class C tranche came in 20 basis points from original talk with guidance at 120 to 125 basis points. All are structured as 10-year soft bullets, making this the longest U.K. credit card-backed floating-rate transaction to date, market sources said.

The last Sherwood Castle transaction 2003-2 priced last September, offering its seven-year fixed triple-A notes at 54 basis points over gilts.

Also marketing last week from France was the country's first synthetic RMBS, French Residential Asset 2004-1 from residential loan guarantee provider Credit Logement. FRA is offering 245 million (US$313 million) of funded notes through Societe Generale. The transaction is referenced to a 3.5 billion (US$4.4 billion) portfolio consisting of guarantees covering unsecured residential loans granted to individuals by lending banks with an LTV of 61.5%, with 32 months seasoning. The guarantees cover loss of principal and interest; Credit Logement will take a mortgage security, should a borrower fail to make payment.

Five classes of notes are offered under the capital structure. According to Standard & Poor's, it's the first securitization of assets originated by the loan guarantee provider; the assets in the reference portfolio are not residential loans but guarantees covering losses on these loans.

"A recent major trend in the French residential loan market is for banks to increasingly use guarantees to secure their loans as opposed to taking a mortgage on the property being financed, explained analysts. "In 2002, about 45% of all French residential loans were secured by guarantees against 30% by mortgages. As a result of its growing business in this area, Credit Logement is seeking to obtain regulatory capital relief through this transaction."

Guidance was released for the RMAC 2004-NS, GBP700 million (US$1.32 billion) transaction. All three triple-A rated classes are wrapped by Ambac: the class A1, one-year dated notes and class A2, three-year dated notes (both offered in dollar, euro and sterling denominations) are talked at 13 basis points over Libor and 24 basis point area, respectively.

The GBP70 million (US$132 million) sterling-only A3 is expected in the 29 to 30 basis point range. The deal is being offered through Bear Stearns and Deutsche Bank Securities.

From Italy, premarketing began for the lease transaction from Banca Intesa via Credit Agricole Indosuez and Citigroup Global Markets. The v1.5 billion (US$1.9 billion) will include four triple-A rated tranches. The collateral consists of 33,970 contracts to 23,955 borrowers. The pool has 1.6 years of average seasoning, split 78.3%, northern Italy; 13.4%, central; and 8.3%, southern Italy. About 47.95% of the collateral is real estate; 30.4%, equipment; and 21.7%, vehicle leases.

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