Alliance & Leicester's Fosse 2010-2 transaction was launched and priced yesterday afternoon after a two-week delay.

The 2.6-year euro and sterling-denominated bonds priced at 140 basis points over the three-month Libor, compared with 125 basis points over for Arkle 2010-1 and 120 basis points for Fosse 2010-1. The U.S. dollar-denominated 2.6-year bonds priced at +143 basis points. Guidance had been set at 140 bsais points for all currencies.

The difficult marketing situation in the current environment led to JPMorgan stepping in, with the commitment to purchase $1.5 billion worth of paper across all rated tranches. "This effectively supported the bumpy marketing process characterized by the volatile market environment and rising risk aversion," UniCredit analysts said.

The deterioration in the primary market environment, with volatility in U.K. prime RMBS on the secondary market where spreads have widened up to 170 basis points on the back of the sovereign crisis, led to a pricing of triple-As roughly 20 basis points wider than the Fosse 2010-1 transaction.

However, the deal was still priced in line with indicated levels at around 140 basis points and also priced aggressively inside of comparable secondary spreads. UniCredit analysts said that the pricing highlights that investors are convinced of the very good performance and fundamental track record of the Fosse program.


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