Arranger Royal Bank of Scotland and joint lead managers Lloyds and JP Morgan put out initial price thoughts for the as yet unsized 3.3 year triple-A rated tranche of Brass No. 4, which will be part sold and part retained, at 55bp area over one month Libor on Wednesday morning.
On Thursday morning guidance was issued at 55bp. The leads intended to price the deal on Friday morning, though no update had been given on demand by the close of business on Thursday.
They have been negotiating a tricky market. While core ABS trading has been relatively serene compared to many markets in recent sessions, a banker on the deal said the principal comparable, Yorkshire’s Brass No. 3 transaction, had been marked anywhere between the low 40bp and low 50bp area this week.
The triple-A rated 3.36 year Class 'A' portion features 12.2% credit enhancement, which is derived from 9.5% note subordination from the unrated Class 'Z' notes and a 2.7% fully funded reserve fund.
The provisional pool is sized at £1.276bn and backed by UK prime residential loans with an average current balance of £221,333, a weighted average loan-to-value of 73.51%, weighted average seasoning of 7.9 months and weighted average remaining term of 26 years.