At the start of last week, volumes in the Euro ABS market for June stood at approximately E7.4 billion (US$8.4 billion). Several more transactions were expected to price before the end of the month. By press time, at least a further E3 billion (US$3.4 billion) of paper had priced, bringing June volume into the E11 billion range.
According to market sources, despite the surge in volumes, market spreads continue to hold, but the more complex structures are finding longer waiting periods to get their deals priced. Among the busy pricing schedule this week was Ford Credit Europe's German Auto ABS transaction, Globaldrive BV series F. The E350 million (US$400 million) transaction marks the first captive auto deal of the year. The class A notes priced at the tighter end of talk at 27 basis points over Euribor. The class A notes from the Globaldrive series E transaction that priced at the end of last year came at a wider 45 basis points.
On the Dutch side Aegon NV priced its E1.08 billion (US$1.23 billion) RMBS transaction, Saecure II. The capital structure was changed during marketing, and E50 million (US$57 million) were transferred from fixed to floating rate on the triple-A paper. According to Dresdner Kleinwort Wasserstein, pricing stayed in line with past Dutch RMBS seen this year. The floating-rate triple-A notes priced at 25 basis points over Euribor and the fixed-rate triple-A notes priced at 35 basis points.
RMBS deals from Sweden and a nonconforming issue in the U.K. also priced. Mortgages No.5 plc, the U.K. transaction, was upsized during marketing by GBP50 million (US$83 million) to GBP250 million (US$415 million). It's the third subprime deal to price in June. The triple-A notes marketed in both Euro and Sterling denominations priced at 51 basis points over Euribor and 50 basis points over Libor. And the Swedish E1 billion (US$1.14 billion) SRM Investment No.3 priced all of its tranches, according to price talk. It's triple-A, 4.5 year averaged life tranche priced at 22 basis points over Euribor.
New on the calendar is a E407 million (US$465 million) CLO marketing for Allied Irish Banks Capital Markets. The collateral includes Western European leveraged loans listed as 85% senior secured and 15% mezzanine loans. Morgan Stanley is lead managing the deal, which includes a E283 million (US$323 million) triple-A class, a E44 million (US$50 million) single-A class, a E15.5 million (US$17.7 million) triple-B class and and E24.5 million (US$28 million) double-B minus class.
In U.K. credit card receivables, a new transaction for Capital One made it's way into the market under the Sherwood Castle series. The E500 million (US$571 million) transaction is co-managed by Deutsche Bank and Societe General. The capital structure will include a E420 million (US$480 million) triple-A tranche, a E35 million (US$40 million) single-A tranche and a E45million (US$51 million) triple-B tranche.
Also marketing from the U.K. is a new healthcare receivable transaction that includes over 300 homes for the elderly. The GBP245 million (US$406 million) transaction, Craegmoor Funding No2 , is managed by Barclays Capital. It will offer two triple-A tranches: a floating rate class and a fixed-rate class, totalling approximately GBP157 million (US$260 million).