Italian RMBS Prices Despite European Sovereign Debt Worries

Published November 17, 2010 2:38 PM EST 1 Min Read

Banca Monte dei Paschi di Siena priced its Italian RMBS deal, a rarity among a primarily U.K.- and Dutch-dominated European RMBS market.

The deal priced its €595 million A1 class with a 1.58-year weighted average life at 115 basis points and its €4oo million A2 class with a three- to 3.5-year weighted average life at 150 basis points, according to market reports. The A3, B and C classes were not offered to investors.

The transaction, Siena Mortgages 10-7 S.r.l. (Siena 7), is the eleventh RMBS securitization of originated by banks in the Banca Monte dei Paschi di Siena group. Both Moody’s Investors Service and Fitch Ratings assigned the deal a triple-A equivalent ratings across the capital structure.

JPMorgan and Royal Bank of Scotland managed the sale with MPS Capital Services.

According to Fitch, the credit enhancement for the class A notes is 26.5%, which will be provided by the subordination of the class B notes (23.5%) and a cash reserve. The reserve will be equal to 3% of the initial balance of the class A and B notes

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