January ended with 24.4 billion ($31.7 billion) deals priced in the European market. This rapid pace is set to continue in February with 15.7 billion already part of this month's deal line-up. The shorter month apparently won't truncate European ABS activity.
Early February pricing levels remain on the tight end. But the debut Spanish RMBS deal from Bancaja settled in at better spreads compared with those achieved at the end of 2006's pricing frenzy. This period saw the glut of Spanish RMBS deals bring in price levels, particularly at the senior tranches. Market players said that since the start of the year, triple-A spreads in the sector have tightened by one basis point on a generic basis while selective deals have performed even better.
Primary deal flow last week included the latest deal from ABN Amro's Smile balance sheet CLO program. The 5.2 billion European SME CLO references a highly granular portfolio of 15,102 loans to 10,122 obligors with 23.9-month seasoning. Eighty-four percent of the portfolio comprises residential and commercial mortgages. The deal is expected to price in mid-February.
The Bank of Ireland is prepping two RMBS deals, a welcome return for the issuer which last came to market back in 2000 with its RMBS deal Liberator Securities. The first deal is expected to be 2.75 billion in size and will be issued by ICS Building Society, the bank's subsidiary.
And from Spain, BBVA has a 2.5 billion RMBS in the works. The pool consists of 100% prime first lien mortgages with high granularity, good geographic diversification with a weighted average LTV of 92% and high weighted average seasoning of 21 months.
A 147.75 million securitization of consumer loans, which are made to public sector employees and are collateralized by a portion of the borrower's salary, has also been announced for Bancapulia. Apulia Finance 5 Cessione Series 2 consists of 18,277 loans to 17,490 borrowers with 9.71-month seasoning. Market sources said the deal is not expected to be publicly marketed.
Dealers also began showcasing Heat Mezzanine-1 2007, the 314 million securitization of subordinated loan agreements to German SMEs from HSBC Trinkhaus & Burkhardt's Heat Mezzanine vehicle. The portfolio comprises fixed and floating notes, structured down to a triple-B rating.
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