The new Dutch 2 billion ($2.5 billion) prime RMBS for Obvion was part of the new issue line-up last week, raising the near-term visible pipeline to 22.7 billion. But even with the January pipeline building more quickly than it has in previous years, the market remained relatively quiet in the third week of the year, defying market expectations for a busier January.
Where the market stands in terms of pricing is yet to be determined. All eyes are on Northern Rock's Granite 2007-1 benchmark issue. So far, the U.K. RMBS deal is generously talked straight through its capital structure - early indications are seeing all of the tranches talked at levels achieved in November of last year, with some pieces talked slightly inside those levels.
According to market analysts, the strong interest in most tranches of the Granite deal has prompted concerns about possibly tighter price talk, especially in subordinated tranches. Those concerns drew out some selling in the issuer's older U.K. RMBS master trust subordinated tranches, Royal Bank of Scotland analysts said. The weakest interest shown so far appeared to be in most of the medium-term U.S. dollar- and long sterling-denominated senior tranches, which were less than fully subscribed, although the analysts expected the U.S. dollar-denominated interest to pick up.
Traders at Dresdner Kleinwort said that the release of the deal's guidance, coupled with the emergence of several bid lists as some accounts looked to take profits, has led to a slightly more cautious tone, though there is continued client buying of secondary paper.
As pricing levels were left to be determined, the market saw another RMBS deal emerge via Dutch issuer Obvion's STORM 2007-1. The transaction is backed by the collateral of 10,499 mortgages with a weighted average LTV of 94.1% and a 6.4-month weighted average seasoning. Three senior tranches will be offered, supported by four publicly offered subordinated tranches, structured to a low triple-B rating.
A couple of CMBS deals were also part of last week's line-up. Wilco 2007-1, the 404 million pan-European CMBS, was also announced. The transaction is backed by a pan-European portfolio of 26 loans for 26 properties originated by Westdeutsche Immobilienbank AG made to German open-ended estate funds with a geographical concentration in France, Holland, the U.K., Belgium, Spain and Portugal. The weighted average LTV of the portfolio to be securitized is 47%. The loans with an LTV above 40% will be split into senior loans and junior loans.
From the U.K., the GBP440 million ($863.2 million) CMBS Bruntwood Alpha Plc offered dealers two non-cross collateralized seven-year interest-only loans, backed by 48 properties, predominantly offices, located throughout the U.K. The portfolio has a diversified base with 570 tenants over a range of industry sectors. Pricing is expected early this week.
Bookrunners released guidance on FCC Auto ABS Compartiment 2007-1, the 1.25 billion French auto ABS transaction for Credipar. The 1.2 billion triple-A rated 4.5-year Class A notes were talked at the 11 basis point area, and the single-A rated 6.3-year Class B tranche was talked at the 20 basis point area.
Guidance was also out on the 700 million Italian consumer loan ABS from Santander Consumer Bank SpA, Golden Bar-4 2007. The triple-A rated 4.8-year 658 million Class A tranche was talked at a spread in the 14 basis points area over the three-month Euribor. The deal was issued from the 2.5 billion MTN program set up in 2004.
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