CLOs

JOINT bookrunners Bear Stearns, De Nationale Investeringsbank and ING Barings-BBL this week launched the fourth in a series of securitisations of Dutch residential mortgages for subsidiaries of DNIB, or insurance companies that originate mortgages financed by the bank. The Dutch tax system is highly favourable to home ownership, and has encouraged insurance companies to originate sophisticated savings and investment mortgages linked to insurance policies -- the combination is in part a tax shelter for the borrowers.

BANK OF Tokyo-Mitsubishi this week priced its $1bn securitisation of loans to US corporates, Millennium Loan Trust. JP Morgan and Tokyo-Mitsubishi International ran the books jointly for the deal's $450m 'A1' tranche -- unusually for a US CLO, it has a passthrough rather than a soft bullet structure. With an average life of 1.9 years and expected maturity in July 2002, it priced at 22bp over one month Libor.

Croatia Creditanstalt is arranging a $100m project finance deal for Croatian telecoms company VIP-net. The project should be supported by the export credit agencies of Austria and Sweden because VIP-net has delivery contracts with Siemens and Ericsson.

BANK AUSTRIA this week priced its innovative partially funded securitisation of bonds from its investment book. Lead managed by Citibank and Salomon Smith Barney, the transaction achieves substantial regulatory capital relief for Bank Austria on $1.2bn of bonds originally bought by Creditanstalt, which merged with Bank Austria in September. "Bank Austria has no shortage of capital, but this deal is part of our strategy to ensure that we can develop the business while retaining more than adequate levels of capital," said Mark Bowles, senior director at Bank Austria in London. "We have very good skills as an ABS investor, and can originate this kind of assets effectively, but we want to reduce the capital they absorb."

RABOBANK quietly executed a $7.2bn collateralised loan obligation in late October. Atlantis Finance Two used a similar structure to Rabobank's first CLO. That deal transferred $5.5bn of exposure to corporate loans from Rabobank's Utrecht headquarters in December 1997. The bank set up a special purpose vehicle, Atlantis Finance, that issued $5bn of senior notes, rated AA- by Fitch IBCA and $500m of BBB rated junior bonds.

ILLINOIS electricity utility Commonwealth Edison has reopened the stranded cost securitisation market with a $3.4bn deal lead managed by Goldman Sachs (books), Merrill Lynch and Salomon Smith Barney. The bonds are all placed and the deal will likely price today (Friday) at the tight end of price talk. Illinois passed legislation earlier this year introducing competition to the state's electricity market. To compensate ComEd for infrastructure investments it made believing it would continue to operate in a regulated market -- so-called stranded assets -- the state has permitted the company to raise a statutory levy on electricity users.

INVESTORS eager for rare Belgian franc floaters snapped up Bacob Bank's third mortgage securitisation this week. Bacob lead managed the Bfr10bn issue through special purpose vehicle MBS-3, parcelling some 4,500 Belgian residential mortgages.

Kredietbank, Belgium's second largest commercial bank, launched its first securitisation last Friday - a Bfr15.3bn mortgage backed deal. Deutsche Morgan Grenfell and Kredietbank were joint bookrunners on Home Loan Invest-1, which is the first Belgian securitisation of the year. The transaction comprised two tranches - Bfr14.23bn of 'A' notes, rated triple-A by Fitch IBCA and Moody's, and Bfr1.07bn 'B' notes, rated Aa3/A. Tranche 'A', with a 4.32 year average life, pays 16bp over three month Bibor, while the 'B' notes were priced at 38bp over Bibor with a 4.85 year average life. Passthrough amortisation begins immediately.

LEHMAN BROTHERS brought $600m of fixed rate bonds this week, backed by rental income and repurchase agreements on Avis Rent-a-Car's US fleet. The Euro/144A bond is the second from Aesop Funding II LLP, a master trust which began funding in July last year with a blow out $1.65bn deal, also lead managed by Lehman.