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Derivatives

...Offers First European ABS CDO

In Europe, the French house is marketing its first synthetic collateralized debt obligation of European asset-backed securities.

In Europe, the French house is marketing its first synthetic collateralized debt obligation of European asset-backed securities. The EUR2 billion full-capital structure deal, called Millisime 2007-1, references 91 AAA-rated European credits consisting of 50% residential mortgage-backed securities, 30% commercial MBS and 20% other ABS. SG will hold onto the super senior tranche and place the rest of the deal.

Venutolo said the deal is already oversubscribed and may be upsized to about EUR2.5 billion because of strong demand from European institutional investors. Venutolo said it has appealed to a mixed bunch, including traditional ABS investors, private banks and insurance companies, because European investors are more comfortable with European than foreign assets and few deals have referenced European ABS. "A lot of people are screaming for it in Europe," Venutolo said. It will price this week.

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