U.K. RMBS issuance continues to price tightly in heavy demand, setting historical lows for the sector benchmark yields, say industry sources. Spreads are expected to continue tightening, according to JPMorgan Securities, fueled by strong investor demand and the relative value of securitization compared to credit alternatives.

Dutch activity began to pick up with a second RMBS issue marketing last week from ASR Bank's 1.163 million (US$1.44 million). The Delphinus 2004 deal saw its four tranches tighten on the back of strong demand for RMBS paper. The triple-A piece tightened by 1.5 to 2 basis points and priced at 21 basis points over the three-month Euribor. The last transaction in the program, Delphinus 2003-2, priced its class A at 24 basis points over Euribor during the second half of last year. "Continuing the recent theme, trading on the break was two basis points tighter at 100.09, a discount margin of Euribor plus 19, suggesting further tightening may ensue into February," said analysts at Royal Bank of Scotland.

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