The pricing early last week of the E550 million Dutch RMBS transaction Match I kicked off what was to become yet another busy week in the European securitization market. Market analysts estimated that approximately E3.5 billion of new paper backed by a range of asset classes was issued last week, and activity for the remainder of the year is expected to continue this active pace.
The Match I deal, co-managed by ABN AMRO and Deutsche Bank, priced the class A notes at 23 basis points over the three-month Euribor for the floating-rate paper, and 60 basis points over for the fixed-rate notes. Unusual for a Dutch transaction, Match I has no set-off risk because the underlying pool does not include any insurance, savings or investment mortgage loans.
All tranches met price talk. According to analysts at the Royal Bank of Scotland (RBS), the fixed-rate senior notes were narrowly distributed - demonstrating the relative immaturity of the Euro fixed-rate market. Euro-denominated, fixed-rate paper represents only 8% of the market to date. This deal also offered investors the opportunity to invest in securities other than the dominant, sterling-denominated paper.
Holmes 6, Abbey National's grand GBP4 billion RMBS transaction, priced last week. Certain aspects of its structure were tweaked to appease market appetite; market sources said that the tranching and price talks were adjusted to reflect investor demand. So far there has been more appetite for short-dated paper, and the Euro- and Sterling-based tranches were thinned out from original amounts.
Spain was busy last week, as one of the several RMBS deals currently in the market priced. The E403 million AyT11 transaction, managed by Ahoro Corporacion Financiera and Credit Agricole Indosuez, saw its class A notes clear at 24 basis points over the three-month Euribor and its class B notes at 57 basis points over. Sources said that appetite for the tranches was likely restricted to domestically based investors.
LTR Finance adds some further diversification to the variety of Spanish asset classes in the market. The E200 million auto receivables transaction is managed by Deutsche Bank and combines both Portuguese and Spanish receivables originated with the Sofinloc Group. The deal is structured under the new Portuguese ABS law.
The CDO pipeline continues to run strong as well, with at least three new deals coming onto the scene. According to RBS there are currently at least 13 deals at various stages of marketing.
Credit Suisse First Boston is marketing a E250 million Euro multi-credit CDO for PIMCO. The structure will be backed by a portfolio of ABS. Broad Street Financing, a E1 billion managed synthetic CDO, was also in the market. The pool consists of 152 reference credits both from the U.S. and Europe. In addition, Promus II B.V. - a E345.9 million managed arbitrage CDO managed by JPMorgan Securities - will be issued in three tranches with a weighted-average life of five years.
