After a relatively slow end of August, the European ABS market is gearing up for what is set to be a busy September. Already in the first week of this month several deals are in the works as market players return to their desks after going on their summer vacations.
"We expect a rush of announcements this week from underwriters looking to market September-priced deals," Royal Bank of Scotland analysts said. "The visible European calendar stands at over 24 billion ($30.8 billion) in the short term, excluding 1.8 billion-equivalent of Australian dollar-denominated RMBS tranches some of which are targeted to the European investor base. We believe that dealers have been positioning for a strong month, but we still expect some margin pressure in certain sectors, such as CMBS, where strong supply has created spread sogginess."
But Commerzbank analysts said that the pickup in supply should be met by pent-up demand, which should resist spread widening, at least in the short term.
Barclays Bank announced that it is planning to sell GBP111.8 million ($212 million) of additional notes to support its Gracechurch credit card securitization, Gracechurch Card Notes 2006-A. Barclays Capital, the bank's investment banking arm, is the lead manager. The notes will offer a weighted average life of 2.07 years and will be available in euro, sterling and U.S. dollars. Moody's Investors Service has rated the notes sub-investment grade at Ba1. The notes will create 2% extra credit enhancement for existing Gracechurch Card deals. Moody's said the note would finance any shortfalls in finance charge allocations to Gracechurch credit card securitization notes issued from 2002 to 2005.
Barclays CMBS
Price guidance was released for the 545.134 million ECLIPSE 2006-2 plc (Fornax), the latest CMBS deal to come from the Barclays Capital CMBS conduit.
The five-year triple-A tranche is talked at 18 to 19 basis points, while the slightly longer 5.9-year triple-A tranche is talked in the low 20s. Moving down the curve, the 5.9-year double-A tranche is talked in the high 20s, the 5.9-year single-A tranche at 45 to 50 basis points and the 5.9 year triple-B tranche is talked at 90 the basis point area.
The deal is backed by 18 commercial mortgaged-backed loans and one value added tax (VAT) loan (this is the VAT payment and subsequent reimbursement by the French government). The CMBS loans are collateralized by a diversified pool of properties across Europe.
There are six classes of notes, with each class subordinate to the immediately preceding class, and one retained IO class (class X), ranking senior to the class D notes, which will receive excess and defaulting interest payments. Class G notes are issued subject to available funds. There is also a liquidity facility with an initial limit of 45 million or 8.3% of the balance of the notes. Pricing is expected in September.
Societe Generale announced its 3.5 billion ($4.4 billion) synthetic consumer loan securitization, Black Consumer 2006-1. The transaction is structured with a super senior in pari passu with the Class A2 notes. The underlying pool contains 443,000 loans with a weighted average seasoning of 17.8 months. In addition to an approximately 1 billion Class A2 cash tranche, deal will be supported by 490 million of cash tranches.
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