European supply for September has already reached the 5 billion (US$5.6 billion) mark, with a number of robust deals continuing to emerge in the pipeline. The market is sailing toward volume projections predicted for 2003. But even with the 17 billion (US$19 billion) expected to come to market by October, sources indicate that demand still outweighs supply.
A significant RMBS calendar continues to build, though deals are maintaining levels tighter than expected. Last week new deals began marketing from the U.K, Spain and the Netherlands.
It's the usual suspects. Just two weeks ago the Dutch ASR Bank began marketing its 1.5 million (US$1.6 million) RMBS, Delphinus 2003. The class A notes, which were split into fixed- and floating-rate classes, were talked at 24 basis points over Euribor.
And on the heels of ASR Bank is a new 1.25 billion (US$1.4 billion) RMBS deal for SNS Bank, Hermes VII. This deal is backed by prime Dutch mortgages with 105% weighted average current loan to foreclosure value, and 34 months seasoning. The capital structure includes two triple-A pieces, offering 680 million (US$765 million) and US$550 million, 53 million (US$59 million) of single-A notes, E29 million (US$32.6 million) of triple-B notes and 12.5 million (US$14 million) notes rated Baa2' by Moody's Investor Services.
Spain is again adding more volume to its already heavy calendar. Last week, a brand-new 1.35 billion (US$1.4 billion) securitization called Bankiter 6, backed by prime Spanish RMBS, began marketing through Credit Agricole Indosuez and Deutsche Bank. The 1.2 billion (US$1.3 billion) triple-A notes are being talked at the 23 basis points area over Libor.
On the U.K. front, a new RMBS under the Paragon Mortgage series began marketing. Though this is the sixth deal under the series backed by buy-to-let mortgages, it's the first issued since Paragon's acquisition of nonconforming mortgage lender Britannic Money earlier this year. The structure, however, does not include loans from Britannic Money. The transaction will offer four tranches in three currencies, including sterling, euro, and U.S. dollar- denominated paper.
A £76 million (US$122 million) tap on British Land's CMBS transaction, Werretown Supermarkets, was also on the agenda. The portfolio is backed by 35 supermarkets located in England and Wales that are currently on lease to Sainsbury's Supermarkets.
As for the CDO front, on the agenda is the £137 million (US$219.8 million) funded CDO of ABS STERLINGMAX I, marketing a structure backed completely by U.K. MBS including RMBS, CMBS and subprime mortgages. West Hyp is the collateral advisor on the deal and CIBC World Markets is lead manager.
ING Belgium is also marketing a 1.5 billion (US$1.6 billion) synthetic balance sheet CDO that is backed by a portfolio of loans, letters of credits and guarantees offered to medium and large European corporates. Sources anticipate a total of 119 million (US$133.7 million) of notes at the double-A, single-A and double-B levels.