Securitisation

ABS bankers say RMBS is ready to cope without JP Morgan The revival of the RMBS market could soon face an important test if recent losses in JP Morgan's Chief Investment Office (CIO) have affected the unit's willingness to continue the bulk buying of Dutch and UK RMBS seen in the past.

Aussie auto ABS offers bonds in sterling Bank of Queensland subsidiary BOQ Equipment Finance will offer a sterling tranche in REDS EHP 2012-1E, a securitisation of car leases originated in Australia.

Obvion sticks with euros for Storm 2012-3 RMBS Obvion has announced a third RMBS of the year from its Storm programme, choosing not to follow fellow Dutch issuer Aegon with a dollar deal but instead provide some much needed euro RMBS supply.

Santander UK raises £2.25bn through Fosse RMBS in torrid week Santander UK managed to raise £2.25bn of funding through its Fosse 2012-1 RMBS in a week when Eurozone storm clouds were gathering over the markets. The deal offered bonds across 10 tranches, five currencies and four maturities. And for the first time since 2007, it included double-A rated notes.

Prime ABS nonplussed amid euro chaos Stocks have plummeted, peripheral sovereign bond yields have passed 6% again and financials indices have returned to late 2011 levels. But the worsening market backdrop has not yet shut the door on the ABS market.

B&B Aire Valley master trust reaches non-asset trigger in expected breach Bradford & Bingley’s Aire Valley master trust has breached its non-asset trigger, shifting all bond payments to sequential pass-through, whereby tranches will be paid in order of seniority rather than according to expected maturity. Traders reported no movement in the bonds’ price this week, however, as the trigger had been so widely anticipated.

Sabadell buys back €925m of ABS as investor participation increases Banco Sabadell’s ABS buyback has given the bank a handy boost of core tier one capital ahead of the European Banking Authority’s 9% core tier one capital deadline at the end of June.

Strong bid likely as BNP Paribas consumer loan subsidiary brings French auto ABS BNP Paribas Personal Finance has announced Autonoria 2012-1, a securitisation of French auto loans.

Downgrades to hit UK RMBS counterparties The imminent downgrade by MoodyÕs of European banksÕ long-term and short-term ratings will see more than half of all UK RMBS counterparties breach their first rating trigger. Royal Bank of Scotland and Lloyds TSB face the highest exposures, but all affected banks will need to post collateral, find a third party guarantee or appoint a replacement.

Barclays launches and prices Gracechurch Cards 2012-3 Barclays on Thursday met enquiries from US based investors for long dated credit card paper, launching and pricing its third deal of the year from Gracechurch Card Funding.

Moody’s bank downgrades hit UK RMBS swap counterparties Moody’s imminent downgrade of European banks’ long-term and short-term ratings will see more than half of all UK RMBS counterparties breach their first rating trigger. Royal Bank of Scotland and Lloyds TSB face the highest exposures, but all affected banks will need to post collateral, find a third party guarantee or appoint a replacement.

BNP consumer loan subsidiary brings auto ABS BNP Paribas Personal Finance has announced Autonoria 2012-1, a securitisation of French auto loans.

Pricing for Santander’s Fosse RMBS tightened, Yen tranche added Strong demand for Santander UK’s Fosse 2012-1 RMBS allowed leads to tighten pricing in three out of nine tranches. The UK originator has also added a pre-placed Yen tranche, bringing the number of currencies on offer to five.

Sabadell buys back €925m of ABS as investor participation grows Banco Sabadell’s ABS buyback has given the bank a handy boost of core tier one capital ahead of the European Banking Authority's 9% core tier one capital deadline at the end of June.

Fosse RMBS sees return of master trust double-As Santander UK has decided to offer notes across nine tranches and in four different currencies and maturities for its Fosse 2012-1 RMBS. The transaction, which the leads hope to price on Wednesday, includes the first offering of double-A notes from a UK master trust since 2007.

Westpac eyes returns to domestic RMBS Westpac Banking Corp is planning to return to the residential mortgage-backed securities market, and has lined up a A$750m ($748.7m) deal that comes quick on the heels of the first non-conforming deal in Australia all year.

B&B Aire Valley master trust breaches non-asset trigger Bradford & Bingley’s Aire Valley master trust has breached its non-asset trigger, shifting all bond payments to sequential pass-through, whereby tranches will be paid in order of seniority rather than according to expected maturity. Traders, however, reported no move in the bonds’ price on Monday morning as the trigger had been so widely anticipated.

ABS provides AIB with route back to the capital markets, thanks to UK mortgages AIB has raised the first unguaranteed funding for an Irish institution since 2009 through its Tenterden RMBS. Though the deal was hailed as an important restorative step for Irish banks, it succeeded because the securitisation structure delinked the UK collateral from the Irish sponsor, said market participants.

Catalunya Banc begins second attempt at buying back ABS from reluctant investors Spain’s Catalunya Banc has rejoined the slew of Spanish borrowers trying to bolster their balance sheets through ABS buybacks. It follows the bank’s tender in February for the same set of bonds.

Secondary market starving, but it holds firm The European ABS secondary market remained mostly unmoved this week by concerns about the returning Eurozone sovereign crisis.