SCIWire

Euro secondary ebbs and flows

Tuesday 11 April 2017 09:00 London/ 04.00 New York/ 17.00 Tokyo

Activity in the European securitisation secondary market continues to ebb and flow.

Trading patterns continue unchanged across ABS/MBS and CLO sectors - from time to time volumes begin to build before dissipating once again amid positive market sentiment. Last week reflected that as activity fizzled out towards the end of the week, while yesterday saw a flurry of auctions and there are more to come today, but it's likely that the Easter holidays will prevent any sustainable trading momentum in the near-term.

Demand for paper remains strong and bonds continue to trade at or above market expectations. As a result, secondary spreads are flat to slightly tighter week on week across the board and appear to remain insulated from macro issues.

There are currently five BWICs on the European schedule for today and the largest is a 41 line mix of ABS, CDOs, CLOs CMBS and RMBS. The 407.35m original face dollar-, euro- and sterling-denominated auction is due at 15:00 London time.

It comprises: BERCR 6 B, BPM 2 B, BPMO 2007-2 B, BTOA 2 B, BUMF 4 M, CAVSQ 1 A1N, CFAB 2002-2 2A1, CFAB 2002-3 2A1, CFAB 2003-2 2A2, CFAB 2003-3 2A2, CLAVS 2007-1 AZ, CLAVS 2007-1 M1A, CWL 2002-3 1A1, CWL 2003-3 2A2, DECO 2006-E4X B, DECO 8-C2X C, DOURM 1 A, FAXT 2005-1 A2E, FIPF 1 A2, ITALF 2007-1 B, LUSI 3 A, MSDWC 2002-NC3 A2, NCSLT 2007-2 A3, PARGN 10X A2B, RAMP 2002-RS3 AII1, RAMP 2003-RS4 AIIA, RASC 2002-KS4 AIIB, SAST 2004-1 A, SHIPO 2 A, TDA 25 B, TDAC 5 A, TITN 2006-1X C, TITN 2006-3X B, TITN 2007-CT1X B, UCI 11 A, UCI 12 A, VELAA 2006-1 B, VELAH 3 B, WINDM VII-X C, ZOO II-X A1 and ZOO IV-X A1B.

Two of the bonds have covered on PriceABS in the past three months - PARGN 10X A2B at 95.06 on 3 April and TDAC 5 A at 96.831 on 3 February.

11/04/2017 09:00:57