The story remains the same in Europe. Much of what little public ABS deal flow there is continues to be retained for European Central Bank eligibility.
Bradford & Bingley brought to market its fully retained deal from its Aire Valley master trust. This transaction follows the bank's recent retained stand-alone vehicle issued earlier in July.
According to market reports, the issuer has committed to take care of its rating breach of selected trust triggers and has significantly increased the credit enhancement provided by its new Aire Valley series compared to the existing master trust.
The liabilities include a double-B tranche which was last seen in the inaugural 2004 Aire Valley transaction. Societe Generale analysts reported that the new double-B tranche increases the subordination of all higher-rated tranches. The subordination of the triple-B notes, for instance, increases from 0.42% to 2.37%.
"This provides a new credit buffer to existing notes and strengthens the existing ratings," SocGen analysts said. "This will help the master trust to cope with the current deterioration of the buy-to-let market in the U.K., and should hopefully enable the structure to appeal to investors, if they recover some appetite at some point."
Moody's Investors Service released a presale report on GAT FTGENCAT 2008 FtdA - the Ã810 million Spanish SME CLO backed by loans and real estate lease contracts.
The collateral comprises 11,640 contracts to 10,399 Spanish corporates and self-employed individuals in Catalonia with weighted average seasoning of 1.6 years and concentration in the building and real estate sector.
At the triple-A level, the Class A1 tranche priced at 40 basis points. Pricing spreads on the Regional Government of Catalonia-guaranteed Class A2(G) tranche were not disclosed. The double-A minus-rated Class B notes priced at 50 basis points, the single-A rated Class C tranche at 60 basis points, the triple-B rated Class D notes priced at 120 basis points and the double-B rated Class E tranche at 250 basis points over the three-month Euribor.
JPMorgan, Caixa Catalunya, Caixa Terrassa, Caixa Manlleu are managers on the deal.
Details also emerged on the Ã500 million retained Spanish auto ABS for Santander FTA - Santander Consumer Spain 08-1. The collateral comprises a mix of consumer receivables and auto loans with eight-month seasoning and regional concentration in Andalucia, Catalonia and the Canary Islands.
The triple-A rated 2.2-year Class A notes priced at 30 basis points, the single-A rated 5.6-year Class B tranche priced at 50 basis points, the triple-B rated 5.7-year Class C notes priced at 150 basis points and the double-B rated 5.7-year Class D tranche priced at 175 basis points.
AyT Colaterales Global Hipotecario Caixa Laietana I, the Ã170 million Spanish RMBS for Caixa Laietana, also priced. The pool comprises 1,064 mortgages with a weighted average LTV of 85.8% and regional concentration in Barcelona (74.5%), Madrid (13.2%) and Girona (12.2%). The triple-A rated 6.2-year Class A notes priced at 30 basis points, the single-A rated 11.9-year Class B tranche priced at 60 basis points, the triple-B minus rated 11.9-year Class C notes priced at 100 basis points and the double-B minus-rated 11.9-year Class D tranche priced at 200 basis points. All the notes were retained.
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