October's new-issue pipeline saw another 4.7 billion ($5.6 billion) added at the close of last week, as two U.K. RMBS deals were announced.
Marketing began for the GBP960 million ($1.6 billion) Leek Finance # 16, the U.K. RMBS deal from Britannia Building Society, led by The Royal Bank of Scotland. Leek's loan portfolio includes 37% non-conforming mortgage loans originated by Platform Funding, 29.4% investment-home loans originated by Platform, 19.9% conforming loans and 13.7% nonconforming loans originated by Kensington Mortgage Co. The provisional pool had a 75.9% weighted average LTV and five months of seasoning. Leek offers fast and slow pay 0.53-year and 2.98-year average life senior notes, offered in dollars, euros and sterling, along with three subordinated tranches, offered in euros and sterling.
HBOS likewise began marketing its GBP2.2 billion U.K. RMBS from its Mound financing series. The capital structure will include a 4.9-year triple-A rated piece with an additional two senior tranches offered in euro, sterling and dollars denominations. HBOS' last transaction from the trust, Mound 3, closed in June 2003, but its Permanent Financing program has offered six deals since then. "One of the questions this raises is whether we will see another Permanent deal before year-end - in our view, maybe not, and this may be supportive for spreads," said analysts at Dresdner Kleinwort Wasserstein.
Price guidance was also released for Kensington Group's GBP750 million RMS 21. The transaction has euro, sterling and dollar notes on offer - The 1.16 year triple-A's are talked in the 10 basis point area over Libor, the 2.1-year triple-A's were pre-placed and the 3.7-year triple-A's are talked between 20 to 22 basis points over Euribor. The subordinated tranches are only offered in euro and sterling denominations. According to RBS Greenwich, which, along with Barclays Capital and WestLB, is acting as lead on the deal, RMS 21's pool is slightly less exposed to London properties than recent RMS deals. Pricing is expected by the end of the week. This will be the third U.K. non-conforming RMBS to come to market this September, following closely on the heels of Farringdon 2 and RMAC 2005-NS3.
"Recent noise surrounding RMS 15 and 16 (see ASR 8/1/05), where the respective reserve funds were drawn due to higher than expected arrears and loss severity, initially pushed [triple-A] RMS secondary spreads significantly wider than generic U.K. subprime RMBS," reported analysts at DrKW. "Affirmations of deals from the rating agencies gave the market comfort in the resilience of the structures to absorb these losses and have pushed spreads back in line with other U.K. subprime deals, with trading at [Libor plus 18]. It remains to be seen, however, if the market will take down a GBP750 million new issue at these current levels."
A break to the heavily U.K. and Dutch dominated RMBS came by way of Spain which has its first RMBS deal on offer since the Bankiter 10 deal, which priced in June. The new 900 million ($1.08 billion) TDA Ibercaja 2 transaction for Caja de Ahrros y Monte de Piedad de Zaragoza will include a 5.56 year triple-A rated, Class A notes along with three publicly offered 9-year support tranches. "TDA Ibercaja 1, which is structured similarly, was launched in October 2003, and is performing exceptionally well with arrears greater than 120 days totaling just 0.02% of the current portfolio balance," said one market analyst. TDA Ibercaja 2 will include first-lien mortgages, with a 69.3%weighted average LTV, three years of seasoning and with properties concentrated in Madrid (32.9%), Aragon (19.0%) and Catalonia (14%). Approximately 95% of the pool is owner occupied, with roughly 4% second home-backed mortgages.
On the CMBS front a new deal for Proudreed France and Paris Properties - FCC Proudreed Properties 2005 - offering 397.4 million of notes backed by 134 warehouse and office properties in France, 91% of which are occupied. A total of 255.4 million triple-A rated notes are offered along with 56.8 million of split-rated (triple-A/double-A) notes, both with 8.8-year average lives, are making the rounds.
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