There are no signs of a slowdown in Europe, and the forward calendar is bulking up in excess of E10 billion (US$11.6 billion) moving into the new quarter. There are still a number of RMBS issues yet to price, but the market is warming up to a couple of CMBS deals expected this month.
According to market sources, Lehman Brothers began marketing a GBP310 million (US$515 million) CMBS deal through its Windmere conduit. The deal is backed by seven loans on 28 properties with 181 tenants and will include two triple-A rated pieces divided into a GBP110 million (US$183 million) and a US$210 million piece. It also includes a GBP28.7 million (US$47.9 million) double-A piece, a GBP20.1 million (US$33.5 million) single-A piece and a GBP12.5 million (US$20.8 million) triple-B piece. Market players also anticipate a E1.5 billion (US$1.7 billion) pan-European synthetic CMBS transaction from Eurohypo in the coming days.
On the RMBS side, more Dutch paper was added to the mountain marketed in September. The newest is a E450 million (US$525 million) transaction for Friesland Bank, Stitching Eleven Cities 2. The capital structure includes three tranches rated triple-A, single-A and triple-B. The structure's provisional pool has a 76% weighted average LTV. For 6.3% of the loans, there is Dutch government-backed insurance for outstanding principal, unpaid interest and repossession costs.
More Portuguese paper began marketing as well. These include a second deal from Banco Espirito Santo, in this round bringing E1 billion (US$1.17 billion). The deal, called Luistano Mortgages No.2, is making the rounds with E900 million (US$1.05 billion) in triple-A notes carrying 5.5 average life. Alongside Luistano is the E930 million (US$1.08 billion) Banco Commercial Magellan Mortgages No.2. Price talk on the triple-B plus C piece is 115 to 120 basis points over Euribor.
More U.K. non-conforming paper joins the lineup, and this time it's Britannia Building Society issuing Leek Finance II, sized at GBP400 million (US$665 million). The loans in the portfolio include GBP212 million (US$353.9 million) from Britannia's non-conforming subsidiary, Platform Home Loans, and GBP144 million (US$240.4 million) are conforming mortgages originated from Citibank International plc. The structure includes two tranches offered in a mix of euro, dollar and sterling paper which are rated triple-A and single-A, respectively.
Meanwhile, HVB last week saw four of its subsidiaries removed from credit watch. Market sources expect that six credit-linked tranches of European ABS transactions linked to the HVB name will also be removed from credit watch as a result. The bank began marketing its E2.47 billion (US$2.8 billion) German SME Promise XXS 2003-1 plc synthetic CLO. The pool is backed by 16,247 loans made to 9,145 borrowers. Half of these borrowers are self-employed. Four classes of notes are included under the structure rated from triple-A all the way down the credit curve to a Moody's Investors Service B2'.