Dutch-based SNS Bank is the latest bank to publicly place a previously retained deal. After some restructuring that saw the spread raised to 115 basis points from 38 basis points, the bank sold the senior tranche off its Hermes XIV Dutch RMBS.
At the end of 2009, Friesland Bank also publicly placed the class A tranche of its Dutch RMBS, CIT11 4, also a previously retained transaction. That tranche had a high coupon of 140 basis points and step-up of 200 basis points, which made it an unusual bond in the retained universe and also aided execution.
Deutsche Bank analysts estimated that only 1%, representing €8 billion ($11 billion) of retained senior European ABS issued, has the selling points of a minimum spread of 100 basis points and two or more ratings, which means the vast majority of retained ABS will be a challenge to place with investors.
“While an extra rating or a spread adjustment may be possible in some cases, the fact remains that most of the retained deals look more likely to be unwound at some point than ever placed with investors,” analysts said.