ABS Markets Daily - 22 August 2024
Category: ABS Markets
*Durham B preplaces *One European introduces itself *Three Australians price
Primary
Europe/UK
Today marked the second refinancing of a pre-GFC mortgage pool, while a new mandate also entered the market.
Prime UK BTL RMBS Durham Mortgages B (refinancing 2) has been pre-placed via arranger and lead manager Barclays.
Durham Mortgages B (refinancing 2)
| Class | Size (£m) | C/E (%) | WAL | Coupon | Price | S/F/D | Status |
| A | 837.604 | 21.75 | 2.24 | SONIA+90 | 100.20764 | AAA/AAA/AAA | Preplaced |
| B | 47.411 | 17.25 | 3.01 | SONIA+115 | 99.58569 | AA+/AA+/AA | Preplaced |
| C | 48.465 | 12.65 | 3.01 | SONIA+130 | 99.17528 | AA-/A+/A | Preplaced |
| D | 35.295 | 9.30 | 3.01 | SONIA+175 | 98.50449 | A-/BBB+/BBB(h) | Preplaced |
| E | 29.500 | 6.50 | 3.01 | SONIA+270 | 97.86491 | BB+/BB/BB(h) | Preplaced |
| F | 18.437 | 4.75 | 3.01 | SONIA+350 | 97.37199 | B/B/BB | Preplaced |
| X | 10.535 | - | - | SONIA+350 | 99.67468 | CCC/CCC/CCC | Preplaced |
| Total | 1027.247 |
TOE: 11:20 UKT, 22 August 2024
FTT: 12:00 UKT, 22 August 2024
Settlement date: 27 August 2024
Legal final maturity: November 2054
Collateral highlights
£1,778,746,855 portfolio of 17,049 seasoned BTL mortgages originated by Mortgage Express, Bradford & Bingley, GMAC, Kensington and Close Brothers. WA indexed LTV: 59.71%, WA seasoning: 176.88 months and WA remaining term: 96.80 months. Loans in arrears >= 1 month: 3.12%, loans in arrears >= 3 month: 1.79%.
Braccan Mortgage Funding 2024-1
The visible European new issue pipeline looks like this:
| Name | Deal type | Originator | Ccy | Size(m) | Arranger | Timing |
| Bumper NL 2024-1 | Auto lease ABS | Axus | EUR | TBD | LeasePlan | Pricing next week |
| RevoCar 2024-2 | Auto loan ABS | Bank11 | EUR | 500 | Unicredit | Pricing next week |
| BBVA Consumer Auto 2024-1 | Auto loan ABS | BBVA | EUR | 1005 | BBVA, SG | Pricing w/c 2 Sep |
| Red & Black Auto Italy Compartment 3 | Auto loan ABS | Fiditalia | EUR | TBD | SG | Pricing w/c 2 Sep |
| Braccan M F 2024-1 (mandate) | BTL RMBS | Foundation Home Loans | GBP | TBD | Lloyds, Natixis | TBD |
Australia
Today's market activity remains steady, in line with the pace observed throughout the week, with three deals priced.
| Class | Size (A$m) | C/E (%) | WAL | Gdance | Coupon | Price | Moody's |
| A | 280.000 | 20.00 | 1.80 | 145 | 1mBBSW+145 | 100 | Aaa |
| B | 24.500 | 13.00 | 2.70 | 175 | 1mBBSW+175 | 100 | Aa2 |
| C | 14.000 | 9.00 | 2.70 | 220 | 1mBBSW+220 | 100 | A2 |
| D | 7.000 | 7.00 | 2.70 | 265 | 1mBBSW+265 | 100 | Baa2 |
| E | 13.300 | 3.20 | 2.70 | 520 | 1mBBSW+520 | 100 | Ba2 |
| F | 3.850 | 2.10 | 2.70 | 650 | 1mBBSW+650 | 100 | B2 |
| G1 | 3.675 | 1.05 | 3.70 | N/A | N/A | NR | |
| G2 | 3.675 | - | 3.70 | Retained | Retained | NR | |
| Total | 350.000 |
Pricing date: 22 August 2024
Settlement date: 29 August 2024
Legal Final Maturity: May 2045
Non-conforming RMBS La Trobe Financial 2024-3 has upsized from A$750m. Pricing as follows:
La Trobe Financial 2024-3
| Class | Size (A$m) | C/E (%) | WAL | IoI | Gdance | Final G | Coupon | Price | S/M | Coverage |
| A1S | 375.00 | 20.00 | 0.40 | 90a | 90a | 85-90 | 1mBBSW+85 | 100 | AAA/Aaa | 1.2x |
| A1L | 625.00 | 20.00 | 3.00 | 130-135a | 130-135a | 1mBBSW+130 | 100 | AAA/Aaa | 1.0x | |
| A2 | 137.50 | 9.00 | 3.00 | 160a | 160a | 155-160 | 1mBBSW+155 | 100 | AAA/Aaa | 2.5x |
| B | 50.11 | 4.99 | 3.80 | 170a | 170a | 1mBBSW+170 | 100 | AA/NR | 1.0x | |
| C | 32.89 | 2.36 | 3.80 | 185a | 185a | 1mBBSW+185 | 100 | A/NR | 2.5x | |
| D | 15.00 | 1.16 | 3.80 | 210a | 210a | 1mBBSW+210 | 100 | BBB/NR | 2.1x | |
| E | 7.00 | 0.60 | 3.20 | N/A | N/A | 1mBBSW+ | BB/NR | - | ||
| F | 3.00 | 0.36 | 1.50 | N/A | N/A | 1mBBSW+ | B/NR | - | ||
| EQ1 | 2.625 | 0.15 | 5.00 | N/A | N/A | 1mBBSW+ | NR/NR | - | ||
| EQ2 | 1.875 | 0.00 | 5.00 | N/A | N/A | 1mBBSW+ | NR/NR | Retained | ||
| Total | 1250.00 |
Pricing date: 22 August 2024
Settlement date: T+10 5 September 2024
Legal Final Maturity: November 2055
Consumer ABS Zip Master Trust Series 2024-2 has upsized from A$300m. Pricing as follows:
Zip Master Trust Series 2024-2
| Class | Size (A$m) | C/E (%) | IoI | Gdance | Coupon | Price | S&P | Coverage |
| A | 231.00 | 34.00 | 170a | 170 | 1mBBSW+170 | 100 | AAA | 1.0x |
| B | 31.15 | 25.10 | L200s | 210 | 1mBBSW+210 | 100 | AA | 1.7x |
| C | 20.30 | 19.30 | M200s | 245 | 1mBBSW+245 | 100 | A | 2.0x |
| D | 34.65 | 9.40 | L300s | 310 | 1mBBSW+345 | 100 | BBB | 2.6x |
| E | 15.40 | 5.00 | Plus 600a | 600 | 1mBBSW+600 | 100 | BB | 4.7x |
| G | 17.50 | - | - | - | 1mBBSW+ | NR | - | |
| Total | 350.00 |
Pricing date: 22 August 2024
Settlement date: 10 September 2024
Legal Final Maturity: September 2027
The visible Australian new issue pipeline looks currently like this:
| Name | Deal type | Originator | Size(m) | Arranger | Timing |
| Liberty Series 2024-1 SME (mandate) | SME ABS | Liberty Financial | 500 | NAB | Pricing w/c 2 Sep |
| Puma Series 2019-1 A (refinancing) | Prime RMBS | Macquarie | 462 | TBA | TBA |
See SCI’s International ABS Deal Tracker for more.
See SCI News’ article recently published: Rock-solid July for primary ABS market | Asset back securities (ABS) | Structured Credit Investor
Regulatory notice
Durham Mortgages B – redemption notice
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