While the U.S. market took a break to give thanks last week, its European counterpart was busy making headway, pricing a slate of deals before the holiday lull starts to reach across the Atlantic.
By Thanksgiving, the European market had priced at least three deals, and a handful of others were launched to ensure the momentum continues until the end of the year. In the German RMBS market, synthetics Building Comfort 2002-1 and Provide Blue 2002-2 priced earlier in the week.
Provide Blue 2002-2 is the eighth Provide transaction to come to market, but this one displays one of the stronger pools seen in German securitizations, market sources said. Nonetheless, the triple-A rated notes priced at 29 basis points over Euribor. This represents a six basis points widening over the prior Provide deal that priced in February of this year, reflecting a general widening that many transactions have experienced of late.
The unrated class A tranche priced at 34 basis points over Euribor. According to a source, although the pool displays remarkably strong asset quality, the deal suffered widening primarily due to the transaction's lower weighted average loan-to-value ratio (LTV). "Due to the synthetic structure of these deals, the amount of funded notes is rather small and heavily subordinated, therefore transactions are analysed more thoroughly by investors," reported analysts at Royal Bank of Scotland (RBS). The class B, double-A rated notes priced at 47 basis points over Euribor, and the class C, single-A rated notes priced at 67 basis points over.
Another Provide synthetic is currently in the market. Provide Residence, the German synthetic RMBS issue, saw price talk widen out last week as well. The class A notes are at talk of 30 basis points over Euribor, from original talk in the high 20s, said market analysts.
Outside of the Provide domination was the German synthetic issue Building Comfort 2002-1. At 225 million, it's both the largest German RMBS so far this year and the only one not from the Provide series. "Compared to Provide Blue 2002-1, the pool quality is slightly weaker," reported Dresdner Kleinwort Wasserstein. "The portfolio contains 29.7% investment properties and 20% exposure to Eastern Germany. Pricing was wider than Provide Blue 2002-2 across the board." The class A notes priced at 33 basis points over Euribor, the class B notes priced at 50 basis points over, and the class C notes priced at 80 over.
UK non-conforming mortgage-backed issue Mortgage Plc 4 priced its 257.6 million transaction also at the wide end of talk. The class A notes priced at 50 basis points over Libor - eight basis points wider than Mortgages Plc 3, which priced this time last year. According to analysts at RBS, the 2.4-year senior class of Mortgages Plc 3 priced last November at 42 basis points over Libor, highlighting the widening seen in RMBS markets, particularly non-prime deals across all tranches.
