GMAC-RFC found itself in a bit of a hotspot earlier this month following its announcement of data reporting errors in respect to four RMBS deals it services from the RMAC series of RMBS deals (see ASR 11/14/05). Despite this, Standard & Poor's affirmed the four GMAC-RFC transactions - RMAC 2004-NSP4, RMAC 2005-NS1, RMAC 2005-NSP2, and RMAC 2005-NS3 - placed under review for data inaccuracies.
The agency said it re-ran its cashflow analysis based on the corrected data and found that credit enhancement is sufficient to maintain the ratings on all classes of notes in these transactions. The specific concern related to the basis risk between certain loans and the liabilities, but S&P's stress analysis showed just a marginal reduction in excess spread from re-modeling the deals, explained Dresdner Kleinwort Wasserstein analysts. S&P noted that even on the 2005-NS1, where 21.7% of the pool was mislabeled, the negative impact on excess spread over the life of the transaction was a manageable six basis points.
That comes as welcome news for investors looking at the newly marketing GBP400 million ($687 million) deal for GMAC-RFC, RMAC 2005-NS4A. All tranches are available in euro or sterling denominations, while the A1 tranche is also offered in dollar denominations. Notes offered include three triple-A rated tranches sized at GBP120.0 million, GBP80.0 million and GBP158.8-million, respectively. The provisional pool has a 75.6% weighted average LTV.
In addition to GMAC-RFC, some familiar names that have been absent from the market for a while edged back into the year-end line up. Last week, word on Abbey National's GBP3.5 billion Holmes Financing No. 9, which had been delayed for some time, finally returned to the market. This will be Abbey's first deal in 18 months and is expected to be well received. Price guidance for its 4.2-year 740 million ($867 million) and GBP400 million triple-A rated tranches were both talked in the 10 to 11 basis point range over Libor. A total of five triple-A rated tranches are offered including two U.S. dollar denominated tranches - a 2a7 eligible class and a two-year piece - along with longer dated euro and sterling denominated notes.
Underwriters also began marketing Compartiment Noria 2005, a 1.5 billion deal for Cetelem, a subsidiary of BNP Paribas. The pool included more than 200,000 loans and was structured with a 16-month revolving period. A total of 1.41 billion ($1.65 billion) of triple-A rated notes are available. It will be the first issue out of Cetelem in more than three years.
Premarketing also began for French Residential Asset 2005-2, a 4.6 billion synthetic deal for Credit Logement. A total of 330 million of funded notes are available including 183.5 million of triple-A rated notes. The reference pool is backed by mortgage guarantees provided by Credit Logement to French lenders.
Credifimo and Bankpime began marketing its 485 million Spanish RMBS, TdA 24. The provisional pool had a 65% weighted average LTV and 27 months of seasoning. Geographically, 50.2% of the loans were located in Castillla-La Mancha, 21.2% in Madrid and 12% in Andalusia. Fast and slow-pay class A notes are offered with three subordinated classes.
For investors that still have room for Italian government paper, a whopping 5 billion is on offer via INPS 6, the latest Italian securitization of delinquent social security contributions. Three tranches are offered with 2.7-, 4.7- and 5.7-year average lives.
Also on offer last week was Italfinance, a 1.13 billion deal for Banca Italease and Mercantile Leasing. The capital structure includes a 959 million 3.4-year A class with three junior tranches rated from single-A to double-B. It contained 21,402 contracts, 15.9% of which were vehicles, 40.5% equipment and 73.5% real estate.
On the Italian CMBS front, dealers began marketing Taurus 2, a 404.9 million ($474 million) deal via Merrill Lynch's conduit. The properties included office and industrial assets. Taurus offers seven tranches, rated from triple-A to double-B.
And Northern Rock remains a familiar name in recent weeks. After pricing its first-loss securitization, the U.K. lender was back last week with a GBP1.7 billion synthetic RMBS, Provide Graphite 2005-2. The deal references the pool backing its covered bond program. Aside from the super-senior tranche that was placed privately, Graphite offers GBP90 million of triple-A notes, a GBP47.3 million split-rated (Aa1/AAA/AA) tranche and five further subordinated tranches that includes a double-B rated tranche not seen in Graphite 2005-1.
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