A heavy European primary issuance calendar has put some pressure on spreads with deals pricing on the wider side of guidance but industry players say that the weighty year-end forecast should remain on the tighter side of pricing - much in line with 2005's pricing story.
Morgan Stanley analysts report that most European spreads remain unchanged with triple-A rated U.K. prime RMBS paper pricing one basis point wider than at the start of the year and triple-A CMBS is three basis points wider. Both triple-B RMBS and CMBS are 10 basis points tighter than at the end of 2004. Neil McLeish, a corporate strategist at Morgan Stanley expected corporate spread movement to have a greater influence on ABS spreads than issuance volumes. McLeish said that corporate spreads are expected to "grind slightly tighter into year-end" and consequently expected European ABS spreads to remain in the a narrow range.
Last week, The Royal Bank of Scotland formally began marketing credit card deals - series 2005-A and 2005-B - for its Arran Funding Ltd vehicle. Arran's two series - sized at 1.5 billion ($1.7 billion) each - offer triple-A, single-A and triple-B rated notes with three- and five-year average lives and are offered in sterling, dollar and euro denominations.
Marketing is also underway for PREPS 2005-2 a 360 million SME CLO for Capital Efficiency Group. A total of 270 million of triple-A rated 6.8-year notes are offered in addition to 54 million of seven-year single-A rated notes. The provisional pool had a Baa2' weighted average rating from Moody's Investors Service and included 62 loans in Austria, Belgium, Germany, Italy and Switzerland.
On the emerging markets side a new deal from Kazakhstan came onto the radar. The deal is a $200 million securitization backed by foreign currency payment rights for Kazkommertsbank. The payment rights are SWIFT payments held by depositary banks. For the 12 months to September $3.2 billion was passed to Kazkommertsbank via SWIFT. A total of $200 million of Ambac wrapped notes are offered, while two further triple-B rated tranches were preplaced (see related story p 14).
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