With 52 billion ($65.08 million) in the pike and 19 billion expected to price this week, record volumes are the prediction for October. The European ABS market is starting to see some softer spreads in the secondary front, although new issue books are reportedly still well-subscribed, according to Royal Bank of Scotland analysts,

Lloyds TSB announced its inaugural GBP5.6 billion ($10.5 billion) securitization of U.K. residential mortgages. The deal, backed by mortgages originated by Cheltenham & Gloucester Plc, will be issued from a special purpose vehicle called Arkle. Citigroup, Lehman Brothers and Lloyds are lead managers on the deal.

And just at the heels of the Lloyds' announcement, Barclays Capital released details of Gracechurch Mortgage Financing plc, which is its debut delinked Master Trust. The first issue will total GBP6 billion that includes sterling- euro- and dollar-denominated tranches. Like Arkle, it will issue single-A tranches, which have been absent from other recent U.K. master trust deals. Backing a structure of up to 18 tranches, the current pool consists of 72,107 loans with 12 months seasoning and 63.14% weighted average LTV.

But despite the hefty RMBS calendar of late, HBOS' GBP5.5 billion Permanent Master Issuer Series 2006-1 led by ABN Amro, Citigroup and UBS was upsized by GBP1 billion and, among the new hefty deal announcements, managed to price its five-year triple-B notes five basis points inside the 50 basis point talk. All other tranches priced within guidance ranges.

Paragon Mortgages GBP1.0 billion U.K. conforming and nonconforming RMBS saw the margins on the sterling- and euro-denominated tranches for Class A2 tranches discussed at 12 to 13 basis points. Price guidance on USD denominated tranches was talked at -1 basis point area. The 3.2-year triple-A rated Class A2c notes were offered at a spread of around 10 basis points and the double-A rated Class Bc tranche was talked at around the high teens basis point level. The 4.9-year, double-A rated Class B notes were talked in the low 20 basis points range and the single-A rated Class C notes were guided at the low 40 basis point area. Roughly 28.9% of the loans are considered conforming owner-occupied, 35.6% are buy-to-let, and 35.5% are nonconforming owner-occupied. Weighted average LTV is 80.6%, with 4.4 months seasoning. The Class A2d tranche was preplaced.

On the subprime side of RMBS, talk circulated of Bear Stearns leading a GBP500 million U.K. nonconforming RMBS Mansard Mortgages 2006-1 for Rooftop Mortgages. According to Royal Bank of Scotland analysts, the transaction eliminates several of the past Farringdon Mortgages features, such as a reserve heavily dependent on excess spread trapping. Underwriters expect to wrap the transactions up shortly. Standard & Poor's reported the latest draw to come from Farringdon No.2, which last week drew GBP53,555 from its reserve fund this quarter. The draw represents 2.51% of the opening quarter reserve balance. The reserve fund currently stands at 1.04% while the required fully funded amount is 2.2%.

"This draw, which was mainly the result of realized losses on eight repossession sales, was smaller than the two reserve fund draws from Farringdon No.1 in April and July this year," Morgan Stanley analysts said. "S&P is awaiting loan-level data in order to evaluate rating implications."

U.K. nonconforming lender Oakwood Homeloans began marketing Alba 2006-2, a GBP537.8 million pool of purchased prime self-certified and buy-to-let loans from GMAC-RFC (61.9%) and near- and subprime loans from Kensington Mortgages (29.6%) and Money Partners (8.5%). The structure will be issued in sterling, euro and dollar denominations.

Underwriters also began marketing 600 million Diamond Mortgage Finance 2006 NV, a first- and second-lien RMBS for Krefima. The structure has a September 2013 call with a step-up of 25 basis points for Class A notes and double spread for other classes.

Book runners offered spread guidance on the GBP1 billion U.K. nonconforming Leek 18 from Britannia Building Society. Offered in sterling, dollars and euro denominations, the 0.53 year Class A1 notes were guided to a spread of four to five basis points, while the 2.93 year Class A2 tranches were talked at 14 to 15 basis points. The 5.15-year subordinated notes are marketed in sterling and euro denominations, and the double-A rated Class M tranches were talked at a spread of mid-20 basis points over benchmarks, while the single-A rated Class B tranches were guided to mid-40 basis points and the triple-B rated Class C tranches to mid-80 basis points.

The Kingdom of Belgium 685 million B-TRA 2006-1 - a securitization of delinquent Belgian tax receivables, including VAT, income and withholding tax - offered price guidance on the 1.94-year Class A tranche at a spread of seven basis points. By midweek, guidance on the 5.98-year, double-A rated Class B tranche tightened to 19 to 20 basis points from the low 20 basis points level. Talk on the 7.97-year, single-A rated Class C tranche tightened as well. It was talked at 28 to 30 basis points from the low 30 basis points earlier issued. Approximately 9.75 billion of receivables back the deal that is derived from about 454,500 obligors.

(c) 2006 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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