The Italian government's latest securitization of real estate assets, the E6.7 billion SCIP 2 deal, broke new ground last week as it was the first state-sponsored securitization to conform with the new Eurostat rules announced last July. The deal used tranching instead of over-collateralization to meet the Eurostat definition of a true asset sale.
SCIP 2 is the first "conventional" securitization from a eurozone government to use credit enhancement, giving investors access to non-triple-A tranches, notes William Ross, head of European securitization research at ABN AMRO in London. Previous government securitizations were comprised of single triple-A rated tranches.
Another impressive aspect was that such a large deal was priced so late in the year when most investors have closed their books to new paper, say market observers. For example, the last £4 billion residential mortgage-backed securitization from Abbey National, completed early in November, struggled to get done (BW, 11/4).