RMBS

Investors had a range of new UK RMBS issuers to choose from this week. The one familiar face was Paragon Group, which priced a £1bn securitisation of buy to let (BTL) mortgages on Thursday with ABN Amro, Barclays Capital and JP Morgan as bookrunners.

A glimmer of hope returned to the Spanish ABS market this week as investors piled into the triple-A tranches of Bancaja’s Eu2bn RMBS, causing guidance to be revised tighter.

HSBC and RZB Oesterreich priced Moskommertsbank’s first securitisation of residential mortgages this week.

With the credit markets becalmed this week, the European ABS markets continued to be weighed down by huge volumes of supply.

The glut of Spanish RMBS continued to weigh heavy on spreads this week.

KBC and Merrill Lynch have released price guidance for KBC Bank’s Eu3.5bn Belgian RMBS, HomeLoan Invest 2007. The Eu3.2bn triple-A tranche, the only notes on offer, is talked at 9bp-10bp over Euribor. The portfolio has an average loan to value ratio of 60.54% and average seasoning of 26.2 months. Some 27.8% of the pool is concentrated in Antwerp. DZ Bank and Natixis closed the books yesterday (Thursday) on Cassa Centrale MBS 2007-1, the Eu490m securitisation of residential and small ticket commercial mortgages for 26 Italian cooperative banks. The Eu247.5m, 2.9 year triple-A tranche will be priced at 11bp over Euribor, the Eu214m, 9.5 year triple-A notes at 16bp over, and the Eu17.8m single-A notes with a 13.9 year average life at 45bp over. The notes are backed by 4,495 loans, 83.5% of them secured on residential properties with an average loan to value ratio of 54.5%. HSBC and RZB Oesterreich have issued price guidance in the 150bp area over Libor for the $163.2m, triple-B rated senior tranche of Moskommertsbank’s Russian RMBS. The most recent Russian RMBS, Gazprombank’s euro denominated trade earlier in June, offered a margin of 110bp over Euribor. Meanwhile, Bank of Moscow is preparing a R8.8bn securitisation of lease receivables for Moscow United Grid Company. ABN Amro, Barclays Capital and JP Morgan will begin roadshows for Paragon Mortgages’ latest securitisation of buy to let loans next week.

Several securitisations of residential mortgages from around continental Europe were priced this week.

The US subprime CDO markets endured a rollercoaster ride this week as two Bear Stearns hedge funds teetered on the edge of collapse.

Despite the continuing chaos in the US subprime mortgage market, some degree of order seemed to return to the UK non-conforming RMBS sector this week.