Credit Research
24 February 2015
Securitization Market Watch EUROMONEY CREDIT RESEARCH POLL: Please participate. Click on http://www.euromoney.com/FixedIncome2015 to take part in the online survey.
■
■
■
Market Comment: Since the beginning of January, issuance activity has clearly been gaining momentum, particularly amid strong UK supply. Although the ECB’s footprint in the primary market has finally become visible – when looking at the investor allocation data of ABSPP-eligible transactions – actual purchase volumes remain anemic given that paper in the secondary market is increasingly hard to come by. In ABS trading, the tightening trend remains intact, albeit on thin flows, in line with overall credit markets last week. Primary Market and Pipeline: Primary market activity centered around Auto ABS and leveraged loan CLOs last week. A UK Auto ABS was launched last week alongside a Spanish Auto ABS, which was remarketed. The fourth leveraged loan CLO in 2015 was also priced last week, while at least four additional transactions are currently being prepared. The European pipeline, which has been dominated by sterling deals this year, has seen a number of notable additions, including two UK non-conforming RMBS which join a UK Credit Card ABS, a UK Social Housing ABS and a German Auto ABS. Brief Comments:
■
■
Deal-Specific Information: Proventus Euro ABS CDO (tender offer),Titan Europe 2006-3 (udpate), Eclipse 2006-4 (Hercules) (loan extension), Glastonbury Finance 07-1 (update), Arkle Master Issuer (repurchase), Alzette European CLO (update), Duchess I CDO (udpate), Deco 14-Pan Europe 5 (standstill) Rating Actions: S&P rating actions (various), Private Driver 2012-1 and 2012-2 (upgrades), Infinity Soprano 2007-1 (downgrades), Mesdag Charlie (upgrades), Eurosail-NL 07-1 (upgrades/downgrades), Pearl (upgrades), Golden Bar & Sunrise (upgrades), Berica (downgrades), Spoleto Mortgages (upgrades), Dedalo Finance (upgrade), UCI (downgrades), IM Pastor 3 and 4 (downgrades), Mitchells & Butlers Finance (upgrade), Juno Eclipse (upgrade), Titan Europe 06-5 (downgrade), Taurus CMBS (PE) 2007-1 (downgrades)
Authors 20
25
23 20
19
20
15 15
15 13
10
5
9
15
11
10
10
10
9
10
– Securitization is pivotal to building a capital-market union – EMEA structured finance experiences low losses
UniCredit Research
Holger Kapitza (UniCredit Bank) Structured Credit Analyst
[email protected] +49 89 378-28745 Manuel Trojovsky (UniCredit Bank) Structured Credit Analyst
[email protected] +49 89 378-14145
6 5
– Spanish loan defaults drop further – Dutch housing market is in recovery mode
Market Comment ____________________________ 2 Brief Comments _____________________________ 3 Deal-Specific Information ______________________ 6 Primary Market ______________________________ 7 Pipeline ____________________________________ 9 Last Week's Rating Changes __________________ 12 Rating Drift ________________________________ 27 Primary Market Comparison ___________________ 28 Market Statistics ____________________________ 29 Delinquency Data ___________________________ 33 Market Spreads ____________________________ 34
MONTHLY ISSUANCE VOLUMES
8
– Spanish RMBS collateral performance improves further
Contents
0
0 Jan
Feb
Mar
Apr
2014 total EUR bn
May Jun 2015
Jul
Aug Sep
Oct
Nov Dec
2014 Number of Deals (RS)
2015
Bloomberg UCGR, ABSX Internet www.research.unicreditgroup.eu
Source: Bloomberg, Concept ABS, UniCredit Research
page 1
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Market Comment Struck by sterling supply Since the beginning of January, issuance activity is clearly gaining momentum, particularly amid strong UK supply. Although the ECB footprint in the primary market has finally become visible when looking at the investor allocation data of ABSPP-eligible transactions, actual purchase volumes remain anemic given that paper in the secondary market is increasingly hard to come by. In ABS trading, the tightening trend remains intact, albeit on thin flows, in line with overall credit markets last week.
5bp YTD, NC paper has narrowed by around 5-10bp. Looking ahead, we expect the sector to continue to benefit from ABSPP tailwinds, as investors will increasingly look to other non-eligible sectors such as UK NC and leveraged loan CLOs in the absence of new supply. Meanwhile, spreads in the peripheral space tightened in further, too, with Portugal lagging only slightly behind the performance of Italy and Spain. Moreover, market participants were kept busy with an EUR 860mn RMBS portfolio liquidation (most likely from France, with 54 names, mainly out of Spain 60% and Italy 30%), which received very good interest and traded in full in two buckets. ECB FOOTPRINT IN PRIMARY AND REMARKETED DEALS
UniCredit Research
New primary and remarketing supply has been limited so far Insurers/Pension Funds
Banks
Asset managers
Central banks/Supras
800 700 600
EUR mn
Broader credit markets experienced a relatively slow end to last week on balanced flows, as investors were in wait-andsee mode awaiting the outcome of the negotiations between the Eurogroup and Greece. While the agreement announced on Friday night was clearly a relief, investors are now waiting for the list of reform measures required for the successful completion of the ongoing aid program. Corporate bond spreads were largely unchanged last week amid low activity. Likewise, secondary trading in the ABS universe remained quiet last week as market participants continued to grapple with the bid-only market spanning all sectors, which, in turn, has led to further spread compression despite squeezed levels. Against a background of this ongoing lack of supply in many of the high-quality sectors (Dutch Prime RMBS, Auto ABS), spreads are well bid below +20bp, albeit without proper trading proof. After experiencing a short period of weakness, UK prime and non-conforming (NC) RMBS are regaining momentum, with spreads back in tightening mode again. While UK Prime levels have tightened roughly
500 400 300
bucket accounting for 16-55% (see chart). However, the strong central bank/supra involvement cannot belie the fact that European ECB purchases continue to fall short of expectations. Additions under the ABSPP were a moderate EUR 138mn last week, which brings the net settled amount to EUR 3.01bn after 13 weeks. This compares with cumulative purchases of EUR 48.7bn in covered bonds, almost 80% (EUR 32.192bn) of which were acquired in the secondary market. French central bank governor Christian Noyer said last week that RMBS account for the largest portion of purchases under the program so far. Unsurprisingly, the supply squeeze in eurozone supply prompted investors to look to the UK primary market again, where EUR tranches continue to attract wide interest. A look at Nationwide’s UK Master Trust SILVA 2015-1 reveals that UK investors bought 69% and 67% of the sterling (1A) and dollar (2A2) classes, respectively. However, they also took 38% in the EUR-denominated A21 tranche while Dutch (25%), German (16%), French (11%), US (8%) and other (2%) investors accounted for the remaining take-up. By investor type, asset managers accounted for 51% while banks and insurers bought 46% and 1%, respectively.
200 294.0
287.2 100 110.6
109.5
DRVON 13 A
VOBAF 5 A2 (remarketing)
0 COMP 2012-3 A (remarketing)
ARENA 2014-2NHG A1/A2/A3
Source: UniCredit Research, ConceptABS, Bloomberg
The investor split in a number of eurozone ABS launched since the start of the ABSPP shines a light on the ECB’s involvement, with the central bank and supranationals
page 2
Today, Kensington Mortgage Company announced its forthcoming UK non-conforming RMBS transaction: Residential Mortgage Securities 28 plc, whose roadshow starts on 24 February 2015. Also, in the UK, Santander launched its Auto ABS, Motor 2015-1 plc (GBP 755mn), with senior classes denominated in USD/GBP. Pricing was at the lower end of or within IPTs, with Class A1 at 1mUSDL plus 60bp whereas Class A2 priced notably tighter, at 1mL plus 48bp. Placement was not that easy due
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
to the chunk of Silverstone paper (GBP 1.5bn) – with a similar issuance in dual currencies and the inclusion of a one-year revolving period. Coverage in US notes was at 1.4x, whereas sterling notes were at a lower 1.1x, respectively. The remarketing of Banque PSA’s Spanish auto deal, COMP 2012-3, with a print of 60bp on its Class A notes (EUR 668mn), was successful (pricing at par). The fixed-rate tranche was covered 1.8x with 19 accounts participating. Not surprisingly, the ECB might be involved due to 43% taken by central banks/supras. Last but not least, the leveraged loan CLO from Blackstone, Dartry Park CLO Ltd, was launched at +130bp (at par) for the senior class, in line with previous CLOs. With respect to the pipeline, the marketing of the UK non-conforming Precise Mortgage Funding 2015-1 Plc (GBP 204mn) from Charter Court Financial Services is underway. Its Class A notes (WAL 3.9Y) come with IPTs of 3mL plus 90 to 95bp, which are comparable to the last Precise from November 2014. Pricing is expected to be completed by Wednesday. The roadshow for the UK credit card ABS with a WAL of 5Y, Newday Partnership Funding 2015-1 (GBP 244.25mn), has started again. Last December, Newday tried to market two issues (with a WAL of 3Y and 5Y respectively), but, due to lack of investor appetite, only the short-term issue was launched. Guidance for the current 5Y deal has not yet been published. From 23 February on, the German Auto ABS, Red & Black Auto Germany 3 (EUR 800mn), from Societe Generale, will be offered. Pricing details have not yet been disclosed. Finally, the leveraged loan CLO, from Spire Partners, Aurium CLO I (with a volume of EUR 300mn), is still in the pipeline. For its Class A notes, final guidance at 3mE plus 135bp DM (pricing of 99.74) has been announced.
UniCredit Research
Brief Comments ■
Spanish RMBS collateral performance improves further: Against a backdrop of encouraging macroeconomic data such as lower unemployment, higher GDP growth and a growing number of housing transactions, the performance of loans underlying Spanish RMBS transactions registered moderate improvements in 4Q14. Overall, 60-plus-day delinquencies dropped by 95bp yoy and 21bp qoq to 2.2%. Similarly, severe delinquencies (90-plus days) fell across originators, edging down 80bp yoy and 17bp qoq to 1.37% in December 2014. By vintage, severe delinquencies decreased for RMBS issued up to 2010 while it rose by 68bp to 1.99% for the 2011 vintages and moderately for the 2012 to 2014 vintages. The sector’s higher resilience is also reflected in lower 60-90-day delinquencies, which moved 16bp lower yoy to 0.82%, suggesting that fewer loans rolled into severe delinquencies, particularly when considered in conjunction with the lower severe arrears number. Hence, new delinquencies are now building up more slowly than old delinquencies are moving into defaults. Unlike in 2013, when delinquencies were falling, but cumulative defaults were rising at a faster rate, Moody’s notes an ongoing performance stabilization trend in 2014 on the back of both lower 90-plus-day delinquencies and lower cumulative defaults. Cumulative defaults and 90-plus-day delinquencies represented 4.62% of the original balance in December 2014, down from 4.65% in September 2014. While dropping 77bp qoq to 3.56%, prepayments edged up slightly by 34bp yoy. A look at underperforming transactions reveals that the number of transactions
page 3
recording fully-drawn reserve funds and PDLs has increased slightly, while those registering deviations from target continued to increase. The chart highlights current deviations from reserve fund target levels in deals rated by Moody’s, with 27 deals displaying fully drawn funds. The triangular markers on the chart show reserve fund levels at the previous interest payment dates (IPDs), with black markers indicating an improvement (i.e. a lower deviation from the target at the previous IPD) and red markers indicating a deterioration (i.e. a higher or unchanged deviation from the target at the previous IPD). RESERVE FUND DRAWS IN SPANISH RMBS deviation from target now positive deviation from target previous IPD negative/unchanged deviation from target previous IPD 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100% 1
6
11 16 21 26 31 36 41 46 51 56 61 66 71 76 81 Transactions (ranked by current deviation)
Source: UniCredit Research, Moody's
■
Spanish loan defaults drop further. According to Bank of Spain’s index, the number of defaulted loans stood at EUR 172.6bn in December 2014, a level last seen in June 2013 and below its peak of EUR 197.3bn in January 2014. The index dropped by 12.5% yoy in
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
December 2014, the fourth month in a row with a notable decline. Momentum had gathered speed in March 2014, thus more than compensating for the deterioration at the end of 2013. This comes as no surprise, as the loan volume has been shrinking due to the crisis. Furthermore, more than EUR 50,781mn had been transferred to Sareb by end of 2012, Spain’s ”bad bank”, to clean up the financial sector. However, the recent development in the index is positive and in line with the economic recovery in Spain (GDP at 2.0% yoy in 4Q14). SPANISH LOAN PERFORMANCE IS IMPROVING
DUTCH HOUSE PRICES ARE STABILIZING …
…. with a recent drop in defaulted loans
… with sustainable growth of around 2% yoy over the last few months
45% 40% 35% 30% 25% 20% 15% 10% 5% 0% -5% -10% -15% -20%
4 2 0 -2 -4 -6 -8 -10
Jan-15
Sep-14
Jan-14
May-14
Sep-13
Jan-13
May-13
Sep-12
Jan-12
May-12
Sep-11
Jan-11
May-11
Sep-10
Jan-10
May-10
Sep-09
Jan-09
May-09
Sep-08
Jan-08
-12
May-08
Source: Bloomberg, UniCredit Research
Dutch house price changes in % yoy
Dec-14
Jun-14
Sep-14
Mar-14
Dec-13
Jun-13
Sep-13
Mar-13
Dec-12
Jun-12
Sep-12
Mar-12
Dec-11
Jun-11
Sep-11
Mar-11
Dec-10
Jun-10
6
Sep-10
Defaulted loans (>90+ overdue) in % yoy
remain approximately 20% below their peak in 2008, they have shown steady annual increases in each of the past 10 months. The price increase of 2.1% yoy in January adds to this picture and is in line with the 2% rise in the previous month. The low interest rate environment, a positive outlook for the economy with a stabilizing job market, as well as improving consumer confidence, are regarded as credit positive for the Dutch housing market. The recent end of some governmental incentive measures (e.g. cheap funding by municipalities, tax-free gifts) will only have a minor impact and we expect the recovery to continue in 2015.
Source: Bloomberg, UniCredit Research
■
Dutch housing market is in recovery mode. The recent data published by Statistics Netherlands for January 2015 indicate that the stabilization of house prices in the Netherlands is taking hold. While prices still
UniCredit Research
page 4
■
Securitization is pivotal to building a capital-market union. The European Commission (EC) published its Green Paper (link) on how to unlock funding for business, with a special focus on SMEs, and enhance the EU’s growth through the creation of a single capital market. Among others, it highlighted the need for a high-quality EU securitization framework to support this. The EC also published a consultation document, which focuses on “a better differentiation by the development of simple, transparent and standardized securitizations” (link) from a bank, investor and economic perspective. Interestingly, the reforms, which had been undertaken to ensure financial stability, are too strict with respect to securitizations, according to the EC, and are hindering a comeback of the market. It is thus aimed to adjust the existing regulatory framework accordingly. In order to achieve this, the EC will work on the following: 1. a restart of the market on a sustainable basis; 2. an efficient risk transfer to a broad set of institutional investors/banks; 3. using securitization as a funding tool for non-banks/banks; and 4. protecting investors and managing the overall risks. Thus, the market participants are required to provide their views on the current functioning of the European securitization market, and on how the EU legal framework can be improved, by 13 May 2015. Subsequently, the EC will publish a proposal on how to build a sustainable securitization market with a focus on high-quality securitizations. However, the EC explicitly pointed out that this new framework should not be perceived as a new label comparable to credit ratings, and that investors still need to rely on thorough due diligence.
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
■
EMEA structured finance (SF) experiences low losses. The SF bonds rated by Fitch and issued in EMEA between 2000 and 2014 had an original balance of EUR 3.1bn, of which only 0.3% has been written off. When expected losses are also taken into account, total losses in EMEA grow slightly to 0.7%. The performance in EMEA is exceptionally strong compared to that of the US, with realized losses of 2.9% out of an original balance of EUR 6.3bn and expected total losses of 6.2%, with the latter mainly skewed by losses of CDOs (15.6%). With respect to total losses in EMEA, consumer/commercial ABS (0.07%/0.12%) and RMBS (0.21%) clearly outperform structured credit (SC) (1.58%) and CMBS (3.99%). With respect to EMEA RMBS, Spanish (1.8%) and NC deals from the UK (0.5%) and The Netherlands (1.2%) are the drivers of losses (total).
EMEA STRUCTURED FINANCE LOSSES …. on really low levels but with peaks in CMBS and SC EMEA Total loss (%)
EMEA Original balance (€ bn)
EMEA SF: 2000-2014 Issuance
100.0%
99.0%
98.0%
97.0%
96.0%
95.0% Consumer ABS
Commercial ABS
CMBS
RMBS
SC
Source: Fitch, UniCredit Research
UniCredit Research
page 5
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Deal-Specific Information Date
Deal name
Event
Description
Source: Concept ABS; ifr, Bloomberg
February 2015
Proventus Euro ABS tender offer CDO
Collateral manager Mizuho has announced a tender offer for the credit-linked-notes from its February 2007 synthetic CDO of ABS. No minimum prices have been quoted for the unmodified Dutch auction so far. Deadline for offers will be 4pm on 4 March 2015, with results expected a day later. Fitch rates the Class A at BB-, the Class B at B-, the Classes C and D at CCC and the Classes E and F at CC. JP Morgan is the dealer manager.
February 2015
Titan Europe 2006-3 update
The legal hurdles which had delayed the enforcement of the defaulted Monnet loan (EUR 67.3mn, 15.1% of pool, 8 Belgian and German offices) have now been resolved with an affirmation of titles in Belgium and a termination of litigation proceedings in Germany. The loan with a reported LTV of 267% (Fitch estimate: 336.5%) defaulted originally in 2010 after a Debt-service-coverage-ratio covenant breach and missed its April 12 due date, subsequently.
February 2015
Eclipse 2006-4 (Hercules)
The Cannon bridge loan (GBP155.1m, 20.2% of pool, London office) was extended again until 17 April 2015 with the sales transaction reported to be close to completion and full repayment anticipated at the IPD in April 2015.
February 2015
Glastonbury Finance update 07-1
The deadline for the resolution on an early pay-down of the transaction was extended until 24 February 2015. Current indications of acceptance are: Class G and X notes: 100.0%, Class B notes: 75.0%, Class C notes: 91.9%, Class D notes: 78.1%, Class E notes: 20.0%, Class F notes: 25.0%.
February 2015
Arkle Master Issuer
repurchase
Lloyds Bank has agreed to repurchase all loans in the master trust which are over three months in arrears. The move follows a comparable action by Permanent Master Issuer at the end of January. The latest figures for Arkle showed 90-plus-day arrears of 131bp by the end of January 2015.
February 2015
Alzette European CLO
update
The issuer has given notice that the majority of the sub note holders have requested the redemption of the deal on the 16 March 2015 payment date.
February 2015
Duchess I CDO
udpate
The issuer has reminded noteholders that they need to complete redemption notices for that deal to be redeemed on 28 April 2015. The issuer did receive written requests from more than two thirds of the secured income notes holders to redeem the transaction on 28 January, but further conditions were not met on the five days prior to that date.
February 2015
Deco 14-Pan Europe standstill 5
UniCredit Research
loan extension
The Bulgarian whole loan borrower in the transaction entered into a standstill on 17 February 2015 and currently prepares in discussion with special servicer Capita for a proposal relating to the maturity date in October.
page 6
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Primary Market Deal name: Closing date: Bloomberg ID: [Moody's] [S&P]
Motor 2015-1 plc Feb 20, 2015 MOTOR 2015-1X
Originator: Santander Consumer Bank Lead Managers: Bank of America Merrill Lynch, Citigroup, Santander GBM Swap counterparty: HSBC Bank PLC
Additional description – UK Auto Loan ABS, USD/GBP deal, structure tba – Excess spread: 410 bp – Reserve account: 3.0% – Total size of pool: GBP 839 mn – No. of borrowers: 89,978 – Average contract amount: GBP 9,326 – WA seasoning: 0.7Y – WART: 3.3Y – Revolving period: 1.3Y – Arrears: Less than 1% 60-plus-day – Loan type: car loans (new): 56.0%, car loans (used): 44.0% – WA interest rate: 6.9% – Regional concentration: United Kingdom (100.00%), South East England (16.40%), Scotland (15.40%), East Midlands (14.30%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
Spread
A1
USD 375 mn
21.0%
AAA/Aaa/NR/NR
1.96Y
---
1m$L + 60 bp
A2
GBP 375 mn
21.0%
AAA/Aaa/NR/NR
2.75Y
---
1mL + 48 bp
B
GBP 71.8 mn
11.5%
AA/A2/NR/NR
3.92Y
---
---
C
GBP 64.3 mn
3.0%
NR/NR/NR/NR
3.92Y
---
---
Deal name: Closing date: Bloomberg ID:
Originator: Banque PSA Finance Lead Managers: Crédit Agricole CIB, Santander GBM Swap counterparty: None
Auto ABS 2012-3 FTA Feb 18, 2015 COMP 2012-3
Additional description – Spanish Auto ABS, Class A remarketing – Excess spread: excess spread: tbd – Reserve account: 1.0% – Total size of pool: EUR 800 mn – No. of loans: 139,314 – Borrower types: consumer (96%), commercial (4%) – Average contract amount: EUR 5,530 – Revolving period: 2.3Y – Loan type: : , car loans (new): 91.0%, car loans (used): 9.0% – Regional concentration: Spain (100.00%)
UniCredit Research
page 7
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
Spread
A
EUR 668 mn
17.5%
NR/NR/AA+/AA (low)
1.3Y
---
0.6% fixed
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Deal name: Closing date: Bloomberg ID:
Dartry Park CLO Limited Feb 18, 2015 DARPK 1X
Originator: Lead Manager:
Additional description – Leveraged Loan CLO by GSO Capital
UniCredit Research
page 8
Blackstone/GSO Corporate Funding Limited Goldman Sachs
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A-1A
EUR 238 mn
---
NR/Aaa/AAA/NR
---
2029
Spread 3mE + 130 bp
A-1B
EUR 5 mn
---
NR/Aaa/AAA/NR
---
2029
1.6% fixed
A-2A
EUR 30 mn
---
NR/Aa2/AA+/NR
---
2029
3mE + 210 bp
A-2B
EUR 12 mn
---
NR/Aa2/AA+/NR
---
2029
2.5% fixed
B
EUR 24 mn
---
NR/A2/A/NR
---
2029
3mE + 290 bp
C
EUR 21.5 mn
---
NR/Baa2/BBB/NR
---
2029
3mE + 375 bp
D
EUR 24.5 mn
---
NR/Ba2/BBB/NR
---
2029
3mE + 565 bp
E
EUR 11.5 mn
---
NR/B2/B-/NR
---
2029
3mE + 700 bp
Sub notes
EUR 44.6 mn
---
NR/NR/NR/NR
---
---
---
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Pipeline RMBS Deal name: Precise Mortgage Funding 2015-1 PLC Exp. closing date: Feb 2015
Originator: Charter Court Financial Services Lead Managers: Bank of America Merrill Lynch, JP Morgan, Lloyds Banking Group Swap counterparty: Natixis
Additional description – UK non confirming RMBS by Charter Court Financial Services – Regional concentration: United Kingdom (100.00%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A
GBP 169.52 mn
18.5%
AAA/NR/AAA/NR
3.9Y
2020e
90-95a
B
GBP 11.96 mn
12.75%
AA/NR/AA/NR
5.3Y
2020e
145a
C
GBP 10.4 mn
7.75%
AA+/NR/A/NR
5.3Y
2020e
190a
D
GBP 11.84 mn
2.06%
BBB/NR/BBB/NR
5.3Y
2020e
240a
Z
GBP 4.29 mn
NR/NR/NR/NR
Sub
GBP 6.12 mn
NR/NR/NR/NR
Spread
2048
Deal name: Auburn Securities 8 plc Exp. closing date: Feb 2015 [Moody's] [Fitch]
Originator: Permanent TSB Lead Manager: Citigroup Swap counterparty: None
Additional description – UK BTL RMBS, delayed – Total size of pool: GBP 657 mn – No. of borrowers: 4,954 – Average contract amount: GBP 151,000 – WA seasoning: 8.2Y – Buy-to-let: 93.0% – Owner occupied: 6.1% – Interest-only: 96.0%
Class
Volume
CE
S&P / M / F / D
WAL
A
GBP tba
24.0%
NR/Aaa/AAA/NR
4.36Y
B
GBP tba
0.0%
NR/NR/NR/NR
5.06Y
Class
Volume
CE
S&P / M / F / D
WAL
A_tbd
tba
Lfm
Spread
Lfm
Spread
Deal name: Residential Mortgage Securities 28 plc Exp. closing date: Feb 2015 Additional description – UK non-confirming RMBS – Regional concentration: United Kingdom (100.00%)
UniCredit Research
page 9
-/-/-/-
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
CLO
Deal name: Aurium CLO I Limited Exp. closing date: Mar 2015
Originator: Lead Manager:
Spire Partners Deutsche Bank AG
Additional description – Spire Partners Leveraged Loan CLO, Volcker-compliant, final guidance – Revolving period: 4.0Y – Non-call period: 2.0Y
Class
Volume
CE
S&P / M / F / D
WAL
A
EUR 179.5 mn
40.17%
AAA/Aaa/NR/NR
5.4Y
135a (DM)
B
EUR 33.5 mn
29.0%
AA/Aa2/NR/NR
6.7Y
220 (DM)
C-1
EUR 18 mn
23.0%
A/A2/NR/NR
7.2Y
315 (DM)
D
EUR 15.5 mn
17.83%
BBB/Baa2/NR/NR
7.5Y
425a (DM)
E
EUR 21 mn
10.83%
BB/Ba2/NR/NR
8Y
635a (DM)
F
EUR 10.75 mn
7.25%
B/B2/NR/NR
8.5Y
830 (DM)
Equity
EUR 30.52 mn
0.0%
NR/NR/NR/NR
Lfm
Spread
ABS Deal name: Red & Black Auto Germany 3 UG Exp. closing date: Mar 2015 [S&P]
Originator: Bank Deutsches Kraftfahrzeuggewerbe AG Lead Manager: Societe Generale Swap counterparty: DZ Bank AG
Additional description – German Auto Loan ABS – Excess spread: 300 bp – Reserve account: 1.0% – Total size of pool: EUR 800 mn – No. of loans: 76,461 – No. of borrowers: 75,580 – Borrower types: consumer (87.1%), commercial (12.9%) – Average contract amount: EUR 10,463 – WA seasoning: 0.7Y – WART: 4.9Y – Loan type: : , car loans (new): 24.4%, car loans (newly used): 40.6%, car loans (used): 35.0% – WA interest rate: 4.5% – Regional concentration: Germany (100.00%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A
EUR 740 mn
8.5%
AAA/Aaa/NR/NR
1.8Y
2024
B
EUR 60 mn
1.0%
NR/NR/NR/NR
4.2Y
2024
UniCredit Research
page 10
Spread
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Deal name: Swan Housing Capital Exp. closing date: Mar 2015
Originator: Swan Housing Association Lead Managers: Lloyds Banking Group, Royal Bank of Scotland Plc, Santander
Additional description – UK Social Housing single-tranche ABS – Regional concentration: United Kingdom (100.00%)
Class
Volume
A_tbd
tba
Deal name: Newday Partnership Funding 2015-1 PLC Exp. closing date: Mar 2015 Bloomberg ID: NDPFT 2015-1 [S&P]
Originator: NewDay Lead Managers: Citigroup, Deutsche Bank AG, Royal Bank of Scotland Plc, Santander Swap counterparty: None
Additional description – UK credit card and instalment ABS, marketing – Total size of pool: GBP 757 mn – Average contract amount: GBP 3,124 – WA seasoning: 4.0Y – Regional concentration: South East England (13.71%), London (11.59%), North West England (11.46%), Scotland (9.95%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A
GBP 185.25 mn
25.9%
AAA/NR/AAA/NR
5Y
2020e
B
GBP 22.5 mn
16.9%
AA/NR/AA/NR
5Y
2025
C
GBP 14 mn
11.3%
A+/NR/A-/NR
5Y
2025
D
GBP 10.125 mn
7.25%
BBB+/NR/BBB/NR
5Y
2025
E
GBP 6.875 mn
4.5%
BBB+/NR/BB/NR
5Y
F
GBP 5.5 mn
2.3%
BB/NR/B/NR
UniCredit Research
page 11
CE
S&P / M / F / D
WAL
Lfm
Spread
-/-/-/-
Spread
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Last Week's Rating Changes ■
■ ■
■
■
■ ■
■ ■
S&P 377 European structured finance ratings placed on credit watch negative following bank rating actions: On 3 February 2015, the agency placed the ratings of Barclays Bank PLC, Lloyds Bank PLC, Lloyds TSB Bank PLC, The Royal Bank of Scotland PLC, Deutsche Bank AG, Unicredit Bank AG, HSBC Bank PLC, and Commerzbank AG on credit watch negative following its review of governmental support (link). Subsequently, S&P has placed 377 structured finance ratings on credit watch negative, whereas 315 tranches in 99 RMBS, 35 tranches in 12 CMBS, one tranche in one ABS, 24 tranches in 17 structured credit transactions, and two ABCP programs, respectively, have been affected (link). The rating actions were prompted due to the counterparty criteria and potential downgrades of any of these counterparties. The agency expects to resolve the credit watch placements by mid of May 2015. Private Driver 2012-1 and 2012-2: S&P has upgraded the Class B notes of the two simultaneously issued and retained deals to AA from A+ due to the strong performance and the fact, that OC levels having reached its targets. Infinity Soprano 2007-1: The CMBS has had its Class A tranche cut to B2 from Baa3 by Moody's following the agency's updated valuation assessment of the EHE Pool 1A reference obligation. This represents 68.5% of the transaction's portfolio. Earlier this month, the updated valuation of the remaining 25 assets in the portfolio came in at EUR 185.5mn, down 23% on the EUR254.3m appraisal from two years earlier. Also Fitch cut the Class A to BB from BBB and the Class B to CCC from single-B. Mesdag Charlie: Fitch reported upgrades at the top of the capital structure for this April 2007 German CMBS. The solid stats of the largest loan in the pool, the EUR 112mn Berlin loan, account for the positive move. Contributing 57.1% of the current pool balance and secured on Berlin multi-family housing collateral, the loan currently reports a valuation of EUR 201.9mn for its underlying properties, generating a securitized LTV of 55.47%. Subsequently, the Class A went to AAA and Class B to A+. Eurosail-NL 07-1: Deleveraging led to a Moody’s upgrade at the top of the capital structure of this Dutch NC RMBS from July 2007, whereas the lower end of the capital structure was punished with downgrades due to poor pool performance. Thereafter, the Class A went to Aaa from Aa1, whereas the Class C was cut to A3 from A2, the Class D to Caa1 from Ba1 and the Class E to Ca from Caa1. Pearl: Moody’s applied upgrades to two Dutch NHG RMBS from SNS Bank’s Pearl brand due to deleveraging. In both cases the Class S notes were affected, which provide additional CE for the top of the capital structure as part of a restructuring added post-launch. Pearl 1’s Class S went to Aa3 from Baa1 and Pearl 2’s Class S went to Aa2 from Baa1. Golden Bar & Sunrise: Moody’s reported upgrades for three Italian consumer ABS transactions as a result of stable pool performance and deleveraging. For Golden Bar 2014-1, Class A went to Aa2 from A2 and Class B to A3 from Baa2. For June 2006’s Sunrise, the Class C went to Baa1 from B1 and for Sunrise Series 2-2007, the Classes A & B were upped to Aa2 from A2 and Class C to Baa1 from B1. Berica: Although Berica-6 has been paying down and CE increasing accordingly, S&P downgraded the Class B and C notes to BB from BBB. This was based on the poor pool performance, which is below the Italian market. S&P cut the Class B to BBB from A and the Class C to B- from BB+ in Berica-5 due to the same reason. Spoleto Mortgages: Significant deleveraging of the deal was rewarded by S&P, subsequently the agency upgrading the Class C to A from BBB.
UniCredit Research
page 12
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
■ ■ ■ ■
■ ■ ■
■
Dedalo Finance: The Italian RMBS has been upgraded by S&P due to deleveraging and arrear levels, which are currently running below the Italian index. The Class A went to A from A-. UCI: Poor pool performance prompted S&P to downgrade three Spanish RMBS from October 2006 to February 2008. For UCI-16, the Class A2 was cut to BB- from BBB- and the Class B to CCC+ from B-; for UCI-17, the Class A2 went to B+ from BBB and the Class B to CCC- from CCC; for UCI-18, the Class A was cut to B- from BB and the Class B to CCC+ from B-. IM Pastor 3 and 4: With both of these Spanish RMBS performing so badly since being undercollateralized as well as hitting the Class D interest deferral trigger, S&P has applied downgrades. For both IM Pastor 3 and 4, the Class A was cut to B- from B+ and the Classes B and C went to CCC from B-. Mitchells & Butlers Finance: The UK pub whole business securitization was upgraded at the base of the capital structure by S&P. The agency has reacted to the solid performance of the underlying business and appreciated the good locations (for the most part) and diversified range of establishments, skewing more towards a restaurant-like offering than a traditional “spitand-sawdust” pub portfolio, which has helped the group to weather the domestic financial crisis relatively well. Furthermore, S&P pointed out, that M&B’s managed operations are not at risk from Parliament’s scrutiny of the tenanted model. The Class D1 went to BBB+ from BBB, subsequently. Juno Eclipse: The Italian Obelisco portfolio loan (secured on ten properties, mostly offices in Rome) is now the largest position in the current pool, accounting for 58.8% of the total by balance. According to S&P, the weighted average occupancy rate is 81.93% and LTV is at 40.93%. The Class A was thereafter upgraded to A+ from A. Titan Europe 06-5: Following the interest shortfall, S&P's cut the top of the capital structure and the Class A went to CCC from B+. All other notes were affirmed at D. Taurus CMBS (PE) 2007-1: Interest shortfalls, which reached as high as Class A2 caused by negative carry generated by senior fees mainly associated with the Fishman JEC loan have resulted in rating actions by DBRS. The recently realized loss on the discounted sale of the Leipzig loan to the B-lender spurred the cuts to Classes E and F to D from single-C. The safeguard status of Fishman JEC (79.1% of pool) came to an end last month and negotiations are underway, but the nearby lease expirations will probably need to be resolved before too much progress can be made. The agency has put all other tranches on downward review. Leveraged loan CLOs: Deleveraging is rewarded by Moody’s on two transactions. Queen Street CLO II’s the Class C was upped to A1 from A2 and the Class D to Baa2 from Baa3. eleX Alpha’s Class C was similarly upgraded to Aa2 from A1. BNP Paribas’ Versailles CLO from November 2006 was upgraded by Moody’s, the agency rewarded substantial deleveraging, with Class A now fully paid up. The Class C went to Aaa from A1, the Class D to A1 from Baa3 and the Class E to Ba1 from Ba3.
RATING ACTIONS: 18 FEBRUARY TO 23 FEBRUARY 2015 Date
Deal name
23-Feb-15
AyT Hipotecario BBK II
Class
ISIN
Agency
From
To
A
ES0312251004
Moody's
A1/*+
Aa2
23-Feb-15 23-Feb-15
AyT Hipotecario BBK II
B
ES0312251012
Moody's
Baa1/*+
Aa2
AyT Hipotecario BBK II
C
ES0312251020
Moody's
B1/*+
Ba1
23-Feb-15
Bankinter 3 Fondo de Titulizacion Hipotecaria
A
ES0314019003
Moody's
A1/*+
Aa2
23-Feb-15
Bankinter 3 Fondo de Titulizacion Hipotecaria
B
ES0314019011
Moody's
A3/*+
Aa2
UniCredit Research
page 13
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
23-Feb-15
Bankinter 3 Fondo de Titulizacion Hipotecaria
C
ES0314019029
Moody's
Baa3/*+
A2
23-Feb-15
Bankinter 4 FTH
A
ES0313919005
Moody's
A2/*+
Aa2
23-Feb-15
Bankinter 4 FTH
B
ES0313919013
Moody's
Baa3/*+
A1
23-Feb-15
Bankinter 4 FTH
C
ES0313919021
Moody's
B1/*+
Ba1
23-Feb-15
Bankinter 7 FTH
A
ES0313547004
Moody's
A2/*+
Aa2
23-Feb-15
Bankinter 7 FTH
B
ES0313547012
Moody's
Ba2/*+
Baa2
23-Feb-15
Bankinter 7 FTH
C
ES0313547020
Moody's
B2/*+
Ba1
23-Feb-15
Bankinter 9 FTA
A2P
ES0313814016
Moody's
A3/*+
A1
23-Feb-15
Bankinter 9 FTA
A2T
ES0313814057
Moody's
A1/*+
Aa2
23-Feb-15
Bankinter 9 FTA
B (P)
ES0313814024
Moody's
B1/*+
Ba1
23-Feb-15
Bankinter 9 FTA
B (T)
ES0313814065
Moody's
Baa1/*+
A1
23-Feb-15
Bankinter 9 FTA
C (P)
ES0313814032
Moody's
B3/*+
B1
23-Feb-15
Bankinter 9 FTA
C (T)
ES0313814073
Moody's
Ba2/*+
Baa3
23-Feb-15
Credico Finance 12 S.r.l.
A
IT0004954647
S&P
A
A+
23-Feb-15
FCC Nacrea
A
FR0010406058
Moody's
Aaa
Aa2
23-Feb-15
FCC Nacrea
X
FR0010406074
Moody's
A2
Baa2
23-Feb-15
GC Sabadell 1 FTH
A2
ES0316874017
Moody's
A1/*+
Aa2
23-Feb-15
GC Sabadell 1 FTH
B
ES0316874025
Moody's
Ba1/*+
Baa2
23-Feb-15
GC Sabadell 1 FTH
C
ES0316874033
Moody's
Ba3/*+
Ba2
23-Feb-15
IM Sabadell RMBS 3
A
ES0347790000
Moody's
A1/*+
Aa3
23-Feb-15
IM Sabadell RMBS 3
B
ES0347790018
Moody's
Baa2/*+
Baa2
23-Feb-15
IM Sabadell RMBS 3
C
ES0347790026
Moody's
Ba1/*+
Baa3
23-Feb-15
Nostrum Mortgages No.1 Plc (2003-1)
A
XS0180041278
S&P
BBB
BB
23-Feb-15
Private Driver 2012-1 Fixed GmbH
B
XS0765762892
S&P
A+/*+
AA
23-Feb-15
Private Driver 2012-2 Fixed GmbH
B
XS0765763510
S&P
A+/*+
AA
22-Feb-15
Yapi Kredi DPR Finance Company 2
2007-B
XS0288904435
S&P
BBB+
NR
21-Feb-15
Yapi Kredi DPR Finance Company 2
2007-B
XS0288904435
Moody's
Baa3
WR
20-Feb-15
Gracechurch Mortgage Financing Plc Series 2011-1
2A2
XS0706688826
Fitch
AAA
PIF
20-Feb-15
Gracechurch Mortgage Financing Plc Series 2011-1
2Z
XS0705553443
Fitch
NR
PIF
20-Feb-15
Mesdag (Charlie) B.V.
A
XS0289819889
S&P
AA-
AA
20-Feb-15
Mesdag (Charlie) B.V.
B
XS0289822677
S&P
A-
A
20-Feb-15
Mesdag (Charlie) B.V.
C
XS0289823568
S&P
B-
CCC
19-Feb-15
Aeolos SA
A
XS0140322743
S&P
B/*-
B-/*-
19-Feb-15
Atlante Finance S.r.l.
C
IT0004069057
S&P
B
B-
UniCredit Research
page 14
To
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
19-Feb-15
BBVA 6 FTPYME FTA
A2(G)
ES0370460018
S&P
A-
A+
19-Feb-15
Douro Mortgages No.2
A1
XS0269341334
S&P
A-
BBB+/*-
19-Feb-15
Douro Mortgages No.2
A2
XS0269341680
S&P
A-
BBB+/*-
19-Feb-15
Infinity 2007-1 (Soprano) FCC
A
FR0010478420
Fitch
BBB
BB
19-Feb-15
Infinity 2007-1 (Soprano) FCC
A
FR0010478420
Moody's
Baa3
B2
19-Feb-15
Infinity 2007-1 (Soprano) FCC
B
FR0010478438
Fitch
B
CCC
19-Feb-15
Mesdag (Charlie) B.V.
A
XS0289819889
Fitch
AA
AAA
19-Feb-15
Mesdag (Charlie) B.V.
B
XS0289822677
Fitch
BBB
A+
19-Feb-15
Silverstone Master Issuer plc Series 2011-1
3A1
XS0692718470
S&P
AAA
NR
19-Feb-15
Silverstone Master Issuer plc Series 2011-1
3A2
XS0692718637
S&P
AAA
NR
19-Feb-15
Silverstone Master Issuer plc Series 2011-1
3A3
XS0692718801
S&P
AAA
NR
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
1A
XS1191555173
Fitch
AAAe
AAA
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
1A
XS1191555173
Moody's
Aaae
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
1A
XS1191555173
S&P
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A1
XS1191556148
Fitch
AAAe
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A1
XS1191556148
Moody's
Aaae
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A1
XS1191556148
S&P
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A2
XS1191557468
Fitch
AAAe
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A2
XS1191557468
Moody's
Aaae
19-Feb-15
Silverstone Master Issuer Plc Series 2015-1
2A2
XS1191557468
S&P
19-Feb-15
Southern Pacific Financing 05-B Plc
A
XS0221839318
S&P
A
A/*-
19-Feb-15
Southern Pacific Financing 05-B Plc
B
XS0221840324
S&P
A
A/*-
19-Feb-15
Southern Pacific Financing 05-B Plc
C
XS0221840910
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 05-2 PLC
C1C
XS0234209459
S&P
A
A/*-
18-Feb-15
Nelnet Student Loan Trust
A7
XS0254562209
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
1A
XS0264186585
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
1B1
XS0264187393
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
1B2
XS0264191742
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
1B3
XS0264194258
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
1C2
XS0264192716
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
2A1
XS0264192989
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
2A2
XS0264197517
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
2A3
XS0264197780
S&P
A+
A+/*-
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
2B2
XS0264193284
S&P
A+
A+/*-
UniCredit Research
page 15
Aaa AAA AAA Aaa AAA AAA Aaa AAA
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
18-Feb-15
Aire Valley Mortgages 2006-1 Plc
Class
ISIN
Agency
From
To
2B3
XS0264197863
S&P
A+
A+/*-
18-Feb-15 18-Feb-15
Aire Valley Mortgages 2007-1 Plc
1B
XS0298410126
S&P
A
A/*-
Aire Valley Mortgages 2007-1 Plc
1C
XS0298410555
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-1 Plc
2A1
XS0298411017
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-1 Plc
2A2
XS0298412841
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-1 Plc
2A3
XS0298413229
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-1 Plc
2B
XS0298413658
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-1 Plc
2C
XS0298415273
S&P
A
A/*-
18-Feb-15
Aire Valley Mortgages 2007-2 Plc
A1
XS0329886526
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2007-2 Plc
A2
XS0329904956
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2007-2 Plc
B
XS0329906225
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2008-1 Plc
S1-A1
XS0378258833
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2008-1 Plc
S1-A2
XS0378263163
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2008-1 Plc
S2-A1
XS0378266000
S&P
AA-
AA-/*-
18-Feb-15
Aire Valley Mortgages 2008-1 Plc
S2-A2
XS0378268717
S&P
AA-
AA-/*-
18-Feb-15
Aqua Mortgages No.1 (Tagus)
A
XS0400981279
S&P
A-
A
18-Feb-15
as Securities 1 Plc
M2a
XS0226131463
S&P
A+
A+/*-
18-Feb-15
as Securities 1 Plc
M2b
XS0226131620
S&P
A+
A+/*-
18-Feb-15
Atlantes Mortgage No. 2
A
XS0348690651
S&P
A-
A-/*-
18-Feb-15
Atlantes Mortgage No.1 Plc
A
XS0161394324
S&P
A
A/*-
18-Feb-15
AyT Genova Hipotecario IV FTA
A
ES0370150007
Moody's
A3/*+
A1
18-Feb-15
AyT Genova Hipotecario IV FTA
B
ES0370150015
Moody's
B1/*+
Ba1
18-Feb-15
Ayt Genova Hipotecario lX FTH
A2
ES0312300017
Moody's
Baa1/*+
A1
18-Feb-15
Ayt Genova Hipotecario lX FTH
B
ES0312300025
Moody's
Ba3/*+
Baa3
18-Feb-15
Ayt Genova Hipotecario lX FTH
C
ES0312300033
Moody's
B3/*+
Ba3
18-Feb-15
Ayt Genova Hipotecario lX FTH
D
ES0312300041
Moody's
Caa1/*+
B3
18-Feb-15
AyT Genova Hipotecario VI, FdTH
A2
ES0312349014
Moody's
Baa1/*+
A1
18-Feb-15
AyT Genova Hipotecario VI, FdTH
B
ES0312349022
Moody's
Ba3/*+
Ba1
18-Feb-15
AyT Genova Hipotecario VI, FdTH
C
ES0312349030
Moody's
B2/*+
B1
18-Feb-15
AyT Hipotecario Mixto V
A
ES0312252002
Moody's
Baa3/*+
Baa2
18-Feb-15
AyT Hipotecario Mixto V
B
ES0312252010
Moody's
B3/*+
B2
18-Feb-15
Azor Mortgages No.2 (GAMMA Sociedade de Titualarizacao de Creditos, S.A.)
A
XS0378557234
S&P
A-
A-/*-
18-Feb-15
Azor Mortgages PLC
A
XS0206334095
S&P
A-
A-/*-
18-Feb-15
Azor Mortgages PLC
B
XS0206334335
S&P
A-
A-/*-
UniCredit Research
page 16
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Bankinter 11 FTdA
C
ES0313714034
S&P
BBB-
BB+
18-Feb-15
Bankinter 11 FTdA
D
ES0313714042
S&P
B
B-
18-Feb-15
Bankinter 13 FTA
B
ES0313270029
S&P
A
BBB+
18-Feb-15
Bankinter 13 FTA
C
ES0313270037
S&P
BBB
BB
18-Feb-15
Bankinter 13 FTA
D
ES0313270045
S&P
BB-
B-
18-Feb-15
Bankinter 3 Fondo de Titulizacion Hipotecaria
B
ES0314019011
S&P
AA
A+
18-Feb-15
Bankinter 3 Fondo de Titulizacion Hipotecaria
C
ES0314019029
S&P
BBB+
BBB
18-Feb-15
Bankinter 4 FTH
C
ES0313919021
S&P
BB+
B-
18-Feb-15
Bankinter 6 - Fondo de Titulizacion de Activos
B
ES0313546014
S&P
A+
BBB
18-Feb-15
Bankinter 6 - Fondo de Titulizacion de Activos
C
ES0313546022
S&P
A
BBB
18-Feb-15
Bluestone Securities plc - Series 2007-1
A2a
XS0300920237
S&P
A
A/*-
18-Feb-15
Bluestone Securities plc - Series 2007-1
AZ
XS0300920583
S&P
A
A/*-
18-Feb-15
Bluestone Securities plc - Series 2007-1
Ba
XS0300920823
S&P
A
A/*-
18-Feb-15
Bluestone Securities Plc 2006-1
A1
XS0264881508
S&P
A
A/*-
18-Feb-15
Bluestone Securities Plc 2006-1
A2
XS0264881920
S&P
A
A/*-
18-Feb-15
Bluestone Securities Plc 2006-1
B
XS0264882654
S&P
A
A/*-
18-Feb-15
Bluestone Securities Plc Series 2005-1
A
XS0222339631
S&P
A
A/*-
18-Feb-15
Bluestone Securities Plc Series 2005-1
B
XS0222339391
S&P
A
A/*-
18-Feb-15
BOS (Shared Appreciation Mortgages) No. 3 Plc
1
XS0084337475
S&P
A
A/*-
18-Feb-15
BP Mortgages 2007-2 S.r.l.
B
IT0004239379
S&P
A+
A
18-Feb-15
BP Mortgages 2007-2 S.r.l.
C
IT0004239395
S&P
BBB
BBB+
18-Feb-15
BP Mortgages S.r.l.
B
IT0004215338
S&P
A+
A
18-Feb-15
BP Mortgages S.r.l.
C
IT0004215346
S&P
BBB
BBB+
18-Feb-15
Brunel Residential Mortgages Securitisation No. 1 plc
A4a
XS0289300898
S&P
A+
A+/*-
18-Feb-15
Brunel Residential Mortgages Securitisation No. 1 plc
A4b
XS0289303215
S&P
A+
A+/*-
18-Feb-15
Brunel Residential Mortgages Securitisation No. 1 plc
A4c
XS0289307398
S&P
A+
A+/*-
18-Feb-15
Brunel Residential Mortgages Securitisation No. 1 plc
B4a
XS0289324138
S&P
A+
A+/*-
18-Feb-15
Brunel Residential Mortgages Securitisation No. 1 plc
B4b
XS0289324484
S&P
A+
A+/*-
18-Feb-15
Canary Wharf Finance II Plc (tap)
A7
XS0295171341
S&P
A
A/*-
18-Feb-15
Canary Wharf Finance II Plc (tap)
B3
XS0295172075
S&P
A
A/*-
18-Feb-15
Canary Wharf Finance II Plc (tap)
C2
XS0295172406
S&P
A
A/*-
18-Feb-15
Canary Wharf Finance II Plc 2001-1
A3
XS0130681512
S&P
A
A/*-
18-Feb-15
Canary Wharf Finance II Plc No 1
A1
XS0112279616
S&P
A
A/*-
18-Feb-15
Canary Wharf Finance II Plc No 1
B
XS0112281190
S&P
A
A/*-
UniCredit Research
page 17
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
18-Feb-15
Celtic Residential Irish Mortgage Securisation No.16
Class
ISIN
Agency
From
To
A1
XS0474129433
S&P
A-
A-/*-
18-Feb-15 18-Feb-15
Celtic Residential Irish Mortgage Securisation No.16
A2
XS0474133385
S&P
A-
A-/*-
Clavis Securities Plc 2006-1
A3a
XS0255457706
S&P
A
A/*-
18-Feb-15
Clavis Securities Plc 2006-1
A3b
XS0255438748
S&P
A
A/*-
18-Feb-15
Deco 11 - UK Conduit 3 Plc
A1a
XS0279810468
S&P
A
A/*-
18-Feb-15
Deco 15 - Pan Europe 6 Ltd.
A2
XS0307400258
S&P
A
A/*-
18-Feb-15
Deco 15 - Pan Europe 6 Ltd.
A3
XS0307400506
S&P
A
A/*-
18-Feb-15
Eddystone Finance Plc
A1a
XS0248504986
S&P
A
A/*-
18-Feb-15
Eddystone Finance Plc
A1b
XS0248505959
S&P
A
A/*-
18-Feb-15
Eddystone Finance Plc
A2
XS0248506684
S&P
A
A/*-
18-Feb-15
Eddystone Finance Plc
B
XS0248507229
S&P
A
A/*-
18-Feb-15
Eddystone Finance Plc
C
XS0248507658
S&P
A
A/*-
18-Feb-15
EPIC (Brodie) Plc
A
XS0258760080
S&P
A
A/*-
18-Feb-15
Equity Release Funding No. 1 Plc
A2
XS0121197981
S&P
A
A/*-
18-Feb-15
Equity Release Funding No. 2 Plc
A2
XS0147706237
S&P
A
A/*-
18-Feb-15
Equity Release Funding No. 3 Plc
A2
XS0169950531
S&P
A
A/*-
18-Feb-15
Equity Release Funding No. 3 Plc
A3
XS0169950705
S&P
A
A/*-
18-Feb-15
Equity Release Funding No. 4 Plc
A2
XS0197423345
S&P
A-
A-/*-
18-Feb-15
Equity Release Funding No. 4 Plc
B
XS0197423774
S&P
A-
A-/*-
18-Feb-15
Equity Release Funding No. 4 Plc
C
XS0197424236
S&P
A-
A-/*-
18-Feb-15
Equity Release Funding No. 4 Plc
D
XS0197424400
S&P
A-
A-/*-
18-Feb-15
Equity Release Funding No. 5 Plc
A
XS0225883387
S&P
A-
A-/*-
18-Feb-15
Equity Release Funding No. 5 Plc
B
XS0225883973
S&P
A-
A-/*-
18-Feb-15
Eurohome UK Mortgages 2007-1
A
XS0290416527
S&P
A
A/*-
18-Feb-15
Eurohome UK Mortgages 2007-2 plc
A2
XS0311691272
S&P
A
A/*-
18-Feb-15
Eurosail 2006-1 Plc
A2c
XS0253567720
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-2BL Plc
A2c
XS0266235612
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-2BL Plc
B1a
XS0266238715
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-2BL Plc
B1b
XS0266244440
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-2BL Plc
C1a
XS0266246817
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-2BL Plc
C1c
XS0266250413
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-3NC Plc
A3a
XS0271944604
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-3NC Plc
A3c
XS0271945833
S&P
A+
A+/*-
18-Feb-15
Eurosail 2006-4NP Plc
A3a
XS0275909934
S&P
A
A/*-
UniCredit Research
page 18
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Eurosail 2006-4NP Plc
A3c
XS0275917796
S&P
A
A/*-
18-Feb-15
Eurosail 2006-4NP Plc
M1a
XS0275920071
S&P
A
A/*-
18-Feb-15
Eurosail 2006-4NP Plc
M1c
XS0275921715
S&P
A
A/*-
18-Feb-15
Eurosail UK 2007-1NC Plc
A3a
XS0284931853
S&P
A+
A+/*-
18-Feb-15
Eurosail UK 2007-1NC Plc
A3c
XS0284999496
S&P
A+
A+/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
1B1
US38741YDU01
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
1M1
US38741YDX40
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
2A1
US38741YDR71
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
2A2
CA38741YEC99
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
2B1
US38741YDV83
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
2M1
US38741YDY23
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3A1
US38741YDS54
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3A2
XS0298974840
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3B1
US38741YDW66
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3B2
XS0298975813
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3B3
XS0298980813
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3M2
XS0298976621
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
3M3
XS0298981621
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
4A1
US38741YDT38
S&P
A
A/*-
18-Feb-15
Granite Master Issuer 2007-2 Plc
4A2
XS0298980060
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2003-2 plc
2-A
XS0168665718
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2003-2 plc
2-B
XS0168666013
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2003-2 plc
2-C1
XS0168666104
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2003-2 plc
2-C2
XS0168666443
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2003-2 plc
2-M
XS0168771748
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-1 PLC
Series 2 A1
US38741VAF22
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-1 PLC
Series 2 A2
XS0184562816
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-1 PLC
Series 2 B
XS0184563111
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-1 PLC
Series 2 C
XS0184563897
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-1 PLC
Series 2 M
XS0184563541
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-2 Plc
Ser 3 A
XS0193218350
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-2 Plc
Ser 3 B
XS0193218863
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-2 Plc
Ser 3 C
XS0193220927
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-2 Plc
Ser 3 M
XS0193219754
S&P
A
A/*-
UniCredit Research
page 19
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Granite Mortgages 2004-3 PLC
S2/A1
US38741SAF92
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-3 PLC
S2/A2
XS0201483228
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-3 PLC
S2/B
XS0201483657
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-3 PLC
S2/C
XS0201485355
S&P
A
A/*-
18-Feb-15
Granite Mortgages 2004-3 PLC
S2/M
XS0201484036
S&P
A
A/*-
18-Feb-15
Greenock Funding No.5 Plc
A2
XS0438495227
S&P
A-
A-/*-
18-Feb-15
Greenock Funding No.5 Plc
A3
XS0438514548
S&P
A-
A-/*-
18-Feb-15
Greenock Funding No.5 Plc
A4
XS0438516329
S&P
A-
A-/*-
18-Feb-15
Greenock Funding No.5 Plc
A5
XS0438520438
S&P
A-
A-/*-
18-Feb-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
A3a
XS0292638920
S&P
A+
A+/*-
18-Feb-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
A3b
XS0292650974
S&P
A+
A+/*-
18-Feb-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
A3c
XS0292652756
S&P
A+
A+/*-
18-Feb-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
M1a
XS0292639225
S&P
A+
A+/*-
18-Feb-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
M1b
XS0292651196
S&P
A+
A+/*-
18-Feb-15
Landmark Mortgage Securities No. 1 Plc
Aa
XS0258051191
S&P
A+
A+/*-
18-Feb-15
Landmark Mortgage Securities No. 1 Plc
Ac
XS0260674725
S&P
A+
A+/*-
18-Feb-15
Landmark Mortgage Securities No. 1 Plc
B
XS0260675888
S&P
A+
A+/*-
18-Feb-15
Landmark Mortgage Securities No. 2 Plc
Aa
XS0287189004
S&P
A+
A+/*-
18-Feb-15
Landmark Mortgage Securities No. 2 Plc
Ac
XS0287192727
S&P
A+
A+/*-
18-Feb-15
Ludgate Funding 2007-FF1 Plc
A2a
XS0304503534
S&P
A+
A+/*-
18-Feb-15
Ludgate Funding 2007-FF1 Plc
A2b
XS0304504003
S&P
A+
A+/*-
18-Feb-15
Lusitano Mortgages No.1 Plc
A
XS0159068807
S&P
A
A/*-
18-Feb-15
Lusitano Mortgages No.3 Plc
A
XS0206050147
S&P
A-
A-/*-
18-Feb-15
Magellan Mortgages No.1 Plc
A
XS0140415836
S&P
A-
A-/*-
18-Feb-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
A1A
XS0214916081
S&P
A-
A-/*-
18-Feb-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
A1B
XS0214916917
S&P
A-
A-/*-
18-Feb-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
M1
XS0214917303
S&P
A-
A-/*-
18-Feb-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
M2
XS0214917642
S&P
A-
A-/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
A3c
XS0270513590
S&P
A
A/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
B1a
XS0270496994
S&P
A
A/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
B1b
XS0270510224
S&P
A
A/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
B1c
XS0270513756
S&P
A
A/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
C1a
XS0270497612
S&P
A
A/*-
18-Feb-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
C1c
XS0270513830
S&P
A
A/*-
UniCredit Research
page 20
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Money Partners Securities (MPS) 1 Plc
M2a
XS0226131463
S&P
A+
A+/*-
18-Feb-15
Money Partners Securities (MPS) 1 Plc
M2b
XS0226131620
S&P
A+
A+/*-
18-Feb-15
Money Partners Securities (MPS) 2 Plc
A2A
XS0236411780
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 2 Plc
A2C
XS0236412754
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 2 Plc
M1A
XS0236413307
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 2 Plc
M1B
XS0236413489
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 3 Plc
A2a
XS0254114712
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 3 Plc
A2b
XS0254121337
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 3 Plc
A2c
XS0254122814
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 3 Plc
M1a
XS0254130080
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 3 Plc
M1b
XS0254130676
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 4 PLC
A1a
XS0274950368
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 4 PLC
A1b
XS0274965556
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 4 PLC
M1a
XS0274969384
S&P
A
A/*-
18-Feb-15
Money Partners Securities (MPS) 4 PLC
M1b
XS0274970713
S&P
A
A/*-
18-Feb-15
Morpheus (Eloc-19)
B
XS0198458266
S&P
A
A/*-
18-Feb-15
Morpheus (Eloc-19)
C
XS0198459157
S&P
A
A/*-
18-Feb-15
Mortgages No. 6 Plc
A2
XS0206259888
S&P
A
A/*-
18-Feb-15
Mortgages No. 6 Plc
B
XS0206260464
S&P
A
A/*-
18-Feb-15
Mortgages No. 6 Plc
C
XS0206260894
S&P
A
A/*-
18-Feb-15
Mortgages No. 7 Plc
A2
XS0225922110
S&P
A
A/*-
18-Feb-15
Mortgages No. 7 Plc
B
XS0225922383
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
A4
XS0248865494
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Ba
XS0248222142
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Bb
XS0248866971
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Ca
XS0248222225
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Cb
XS0248867789
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Ma
XS0248221920
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-1 Plc
Mb
XS0248866542
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-2
A3a
XS0257991603
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-2
A3b
XS0257989458
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-2
M
XS0257992676
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-3 Plc
A2
XS0272616631
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-3 Plc
A3a
XS0272617282
S&P
A
A/*-
UniCredit Research
page 21
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Newgate Funding 2006-3 Plc
A3b
XS0272626788
S&P
A
A/*-
18-Feb-15
Newgate Funding 2006-3 Plc
Mb
XS0272627836
S&P
A
A/*-
18-Feb-15
Newgate Funding 2007-1 Plc
A2
XS0287752611
S&P
A
A/*-
18-Feb-15
Newgate Funding 2007-1 Plc
A3
XS0287753775
S&P
A
A/*-
18-Feb-15
Newgate Funding 2007-1 Plc
Ma
XS0287755713
S&P
A
A/*-
18-Feb-15
Newgate Funding 2007-1 Plc
Mb
XS0287756877
S&P
A
A/*-
18-Feb-15
Newgate Funding 2007-3
A2B
XS0329656101
S&P
A
A/*-
18-Feb-15
Newgate Funding plc Series 2007-2
A2
XS0304279630
S&P
A
A/*-
18-Feb-15
Newgate Funding plc Series 2007-2
A3
XS0304280059
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 11) Plc
A1
XS0246900756
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 12) Plc
A1
XS0261644941
S&P
AA+
AA+/*-
18-Feb-15
Paragon Mortgages (No. 13) Plc
A1
XS0272533935
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 13) Plc
A2a
XS0272534313
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 13) Plc
A2b
XS0272534586
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 13) Plc
A2c
XS0272535393
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 14) plc
A1
XS0292826921
S&P
AAA
AAA/*-
18-Feb-15
Paragon Mortgages (No. 7) Plc
A1 a
XS0193405890
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 7) Plc
A1 b
XS0193406195
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 7) Plc
A1 c
XS0193406351
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 7) Plc
B1 a
XS0193406435
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 7) Plc
B1 b
XS0193406609
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 8) Plc
A2A
XS0203410922
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 8) Plc
A2B
XS0203411144
S&P
AA
AA/*-
18-Feb-15
Paragon Mortgages (No. 9) Plc
Aa
XS0224725423
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 9) Plc
Ab
XS0224728286
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 9) Plc
Ac
XS0224848852
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 9) Plc
Ba
XS0224729334
S&P
A
A/*-
18-Feb-15
Paragon Mortgages (No. 9) Plc
Bb
XS0224730779
S&P
A
A/*-
18-Feb-15
Paragon Personal and Auto Finance (No. 3) Plc
A1
XS0219226841
S&P
AA
AA/*-
18-Feb-15
Paragon Personal and Auto Finance (No. 3) Plc
A2
XS0219227492
S&P
AA
AA/*-
18-Feb-15
Paragon Personal and Auto Finance (No. 3) Plc
B1
XS0219227658
S&P
AA
AA/*-
18-Feb-15
Paragon Personal and Auto Finance (No. 3) Plc
B2
XS0219229860
S&P
AA
AA/*-
18-Feb-15
Pelican Mortgages No.2 Plc
A
XS0177081634
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-1 Plc
A2C
XS0217069656
S&P
A
A/*-
UniCredit Research
page 22
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
18-Feb-15
Preferred Residential Securities 2005-1 Plc
Class
ISIN
Agency
From
To
B1A
XS0217637213
S&P
A
A/*-
18-Feb-15 18-Feb-15
Preferred Residential Securities 2005-1 Plc
B1C
XS0217069813
S&P
A
A/*-
Preferred Residential Securities 2005-1 Plc
C1C
XS0217070076
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-2 Plc
A2a
XS0234203684
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-2 Plc
A2c
XS0234204732
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-2 Plc
B1a
XS0234207594
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-2 Plc
B1c
XS0234208485
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2005-2 Plc
C1a
XS0234209020
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
A2a
XS0243656625
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
A2b
XS0243704532
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
A2c
XS0243663837
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
B1a
XS0243655577
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
B1c
XS0243665022
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
C1a
XS0243658670
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 2006-1 Plc
C1c
XS0243665964
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 7 Plc
A2
XS0183097939
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 7 Plc
B
XS0183101558
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 7 Plc
C
XS0183102283
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
A1A1
XS0198309691
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
A1A2
XS0198313024
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
A1B
XS0198313610
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
A1C
XS0198318171
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
B1A
XS0198318411
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
B1C
XS0198318841
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
C1A
XS0198319062
S&P
A
A/*-
18-Feb-15
Preferred Residential Securities 8 Plc
C1c
XS0198319229
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
A2a
XS0203538052
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
A2c
XS0203542088
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
M1a
XS0203538300
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
M1c
XS0203542245
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
M2a
XS0203538482
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 19 Plc (RMS 19)
M2c
XS0203542591
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
A2A
XS0213175788
S&P
A+
A+/*-
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
A2C
XS0213176596
S&P
A+
A+/*-
UniCredit Research
page 23
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
M1A
XS0213177214
S&P
A+
A+/*-
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
M1C
XS0213178022
S&P
A+
A+/*-
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
M2A
XS0213178709
S&P
A+
A+/*-
18-Feb-15
Residential Mortgage Securities 20 Plc (RMS 20)
M2C
XS0213179343
S&P
A+
A+/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
A3a
XS0259417565
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
A3c
XS0259418290
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
M1a
XS0259418456
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
M1c
XS0259418530
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
M2a
XS0259418704
S&P
A
A/*-
18-Feb-15
Residential Mortgage Securities 22 Plc (RMS 22)
M2c
XS0259418969
S&P
A
A/*-
18-Feb-15
RMAC 2003-NS1 Plc
A3
XS0163011165
S&P
A
A/*-
18-Feb-15
RMAC 2003-NS2 PLC
A3
XS0171105439
S&P
A
A/*-
18-Feb-15
RMAC 2003-NS3 PLC
A3
XS0177532743
S&P
A
A/*-
18-Feb-15
RMAC 2003-NS4 PLC
A3
XS0179780803
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS1
A3
XS0185375325
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS2 Plc
A3
XS0194465653
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS3 Plc
A2A
XS0200800943
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS3 Plc
A2C
XS0200802568
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS3 Plc
M1
XS0200802725
S&P
A
A/*-
18-Feb-15
RMAC 2004-NS3 Plc
M2
XS0200803962
S&P
A
A/*-
18-Feb-15
RMAC 2004-NSP4
A2
XS0206944240
S&P
A
A/*-
18-Feb-15
RMAC 2004-NSP4
M1
XS0206944596
S&P
A
A/*-
18-Feb-15
RMAC 2005 NS1
A2a
XS0212187826
S&P
A
A/*-
18-Feb-15
RMAC 2005 NS1
A2c
XS0212189103
S&P
A
A/*-
18-Feb-15
RMAC 2005 NS1
M1
XS0212190028
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS3
A2A
XS0230220443
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS3
A2C
XS0230220872
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS3
M1A
XS0230221250
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS3
M1C
XS0230221334
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS4 Plc
A3a
XS0235775854
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS4 Plc
M1a
XS0235781159
S&P
A
A/*-
18-Feb-15
RMAC 2005-NS4 Plc
M2a
XS0235778106
S&P
A
A/*-
18-Feb-15
RMAC 2005-NSP2 Plc
A2a
XS0220953235
S&P
A
A/*-
18-Feb-15
RMAC 2005-NSP2 Plc
A2b
XS0220954712
S&P
A
A/*-
UniCredit Research
page 24
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
RMAC 2005-NSP2 Plc
A2c
XS0220957061
S&P
A
A/*-
18-Feb-15
RMAC 2005-NSP2 Plc
M1a
XS0220957657
S&P
A
A/*-
18-Feb-15
RMAC 2005-NSP2 Plc
M1c
XS0220959356
S&P
A
A/*-
18-Feb-15
RMAC No. 1 Series 2006-NS2 Plc
A2a
XS0257367960
S&P
A
A/*-
18-Feb-15
RMAC No. 1 Series 2006-NS2 Plc
A2c
XS0257369073
S&P
A
A/*-
18-Feb-15
RMAC No. 1 Series 2006-NS2 Plc
M1a
XS0257369156
S&P
A
A/*-
18-Feb-15
RMAC No. 1 Series 2006-NS2 Plc
M1c
XS0257370329
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Plc (Series 2006-NS1)
A2a
XS0248588047
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Plc (Series 2006-NS1)
A2c
XS0248595091
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Plc (Series 2006-NS1)
M1a
XS0248589524
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Plc (Series 2006-NS1)
M1c
XS0248596735
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Plc (series 2006-NS4)
A3a
XS0277409446
S&P
A
A/*-
18-Feb-15
RMAC Securities No. 1 Series 2007-NS1
A2A
XS0307493162
S&P
A+
A+/*-
18-Feb-15
RMAC Securities No. 1 Series 2007-NS1
A2B
XS0307489566
S&P
A+
A+/*-
18-Feb-15
RMAC Securities No. 1 Series 2007-NS1
A2C
XS0307505601
S&P
A+
A+/*-
18-Feb-15
Sandwell Commercial Finance No.1 Plc
B
XS0191371391
S&P
A
A/*-
18-Feb-15
Sandwell Commercial Finance No.1 Plc
C
XS0191372522
S&P
A
A/*-
18-Feb-15
Sandwell-2
A
XS0229030126
S&P
A
A/*-
18-Feb-15
Silenus (European Loan Conduit ELOC No. 25) Ltd.
A
XS0290300143
S&P
A
A/*-
18-Feb-15
Silenus (European Loan Conduit ELOC No. 25) Ltd.
B
XS0290301117
S&P
A
A/*-
18-Feb-15
Southern Pacific Financing 04-A Plc
A
XS0190203124
S&P
A
A/*-
18-Feb-15
Southern Pacific Financing 04-A Plc
B
XS0190204445
S&P
A
A/*-
18-Feb-15
Southern Pacific Financing 04-A Plc
C
XS0190205178
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2004-2 Plc
C1a
XS0196615396
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2004-2 Plc
C1c
XS0196616360
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2004-2 Plc
D1a
XS0196616527
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2004-2 Plc
D1c
XS0196618069
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-2 Plc
B1a
XS0225861490
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-2 Plc
B1c
XS0225862894
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-2 Plc
C1a
XS0225865483
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-2 Plc
C1c
XS0225876688
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
A2a
XS0235514972
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
A2c
XS0235515607
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
B1a
XS0235516084
S&P
A
A/*-
UniCredit Research
page 25
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Date
Deal name
Class
ISIN
Agency
From
To
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
B1c
XS0235516241
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
C1a
XS0235516324
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2005-3 Plc
C1c
XS0235516753
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2006-1 Plc
A2a
XS0240948397
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2006-1 Plc
A2c
XS0240957380
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2006-1 Plc
B1c
XS0240950880
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2006-1 Plc
C1a
XS0240951185
S&P
A
A/*-
18-Feb-15
Southern Pacific Securities (SPS) 2006-1 Plc
C1c
XS0240952076
S&P
A
A/*-
18-Feb-15
TDA 31 FTdA
A
ES0377103009
S&P
AA
AA/*-
Source: Rating Agencies, Bloomberg, UniCredit Research
UniCredit Research
page 26
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Rating Drift RATING DRIFT: 90-DAY MOVING AVERAGE Rating Drift (# of notches upgraded - # notches downgraded)
Rating Drift (# of notches upgraded - # notches downgraded)
Standardized Drift (# upgrades - # downgrades)/total # of rating changes
Standardized Drift (# upgrades - # downgrades)/total # of rating changes
2
2
1
1
0
0
-1
-1 -2
-2
Feb-15
Feb-14
Aug-14
Feb-13
Aug-13
Feb-12
Aug-12
Feb-11
Aug-11
Feb-10
Aug-10
Feb-09
Aug-09
Feb-08
Aug-08
Feb-07
Aug-07
Feb-06
Aug-06
Feb-05
-5
Aug-05
-5
Feb-04
-4
Aug-04
-4
Feb-03 Aug-03 Feb-04 Aug-04 Feb-05 Aug-05 Feb-06 Aug-06 Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15
-3
-3
RATING ACTIONS PER SECTOR: LAST 90-DAYS Upgrades
Downgrade
526
Number of rating actions
3
RATING DRIFT: 1Y MOVING AVERAGE
311 45
41
15
9
28
29
51
274 ABS
CDO
CLO
CMBS
RMBS
Source: Rating Agencies, Bloomberg, UniCredit Research
The rating drift reflects the rating trend in the ABS universe across the ABS, CDO, CLO, CMBS and RMBS sectors. Both drift measures, the rating drift and the standardized drift, are calculated on a 90-day and a 1Y rolling basis. The standardized drift uses the difference between upgrades and downgrades relative to the total number of rating actions. The resulting range is therefore bounded by 1 (in which all rating actions would be upgrades) and -1 (all rating actions would be downgrades). The second curve called Rating Drift also takes into account the number of notches in each rating action.
UniCredit Research
page 27
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Primary Market Comparison AUTO ABS, NEW ISSUANCE COMPARISON
AUTO ABS (AAA, 1ME)
100 90
TURBF 5 B ECARA 4 B DRVUK 2 B ABEST 10 B
ECARA 3 B
Issuance spread (bp)
80 70 60 50 40 30 20
ABEST 9 A ECAR 2014-2 B CAR 2014-F1V B BUMP 6 B DRVON 12 B BSKY GER2 B DRVPR 2014-4 B VCL 20 B ABEST 10 A TURBF 5 A MOTOR 2014-1X A2 ECARA 3 A DRVUK 2 A BUMP 6 A SCGA 2014-1 A ECARA 4 A CAR 2014-F1V A ECAR 2014-2 A BILK 6 A GLDR 2014-B A DRVON 12 AGLDR 2014 A A DRVPR 2014-4 A BSKY GER2 A SILVA 5 AVCL 20 A
DRVON 13 B MOTOR 2015-1X A2
avg Spread
avg WAL
Finland
100
1.10
France
67
2.13
Germany
46
1.72
Netherlands
74
2.58
Norway
44
1.60
United Kingdom
120
1.98
Other
200
3.10
56
1.85
avg Spread
avg WAL
68
2.11
All
DRVON 13 A
10 0 Feb-14
AUTO ABS (AAA, 1ML) May-14
Aug-14 Auto 1mL Issues
Nov-14
Feb-15
Auto 1mE Issues
United Kingdom
EUROPEAN RMBS, NEW ISSUANCE COMPARISON
EUROPEAN RMBS (AAA, 3ME) 3mE Issues
Issuance spread (bp)
130 110
CLARF 2014-1 A1 CATSN 1 A
avg Spread
avg WAL
Netherlands
79
3.55
United Kingdom
88
3.65
All
79
3.58
avg Spread
avg WAL
101
3.53
3mL Issues
MARSS 2014-1 A1
BERAB 3 A
90 70 50 30
EUROPEAN RMBS (AAA, 3ML)
CHSNT 2014-1 A LAN 2014-2X 2A CFHL 2014-1 A2A GFUND 2014-1 A2 DRWBY 3 A FRIAR 2014-1 A LAN 2014-1X 2A STORM 2014-2 A2 LAN 2014-2X 1A SAEC 15 A2 2014-1 A1 SMI 2015-1X 1A DOLPH 2014-3 A SAEC 14 A1 FOSSM 2014-1XGFUND A2 CFHL 2014-1 A1 ARENA 2014-2NHG A2 LAN 2014-1X 1A STORM 2014-3 A2 SMI 2015-1X 2A1 STORM 2014-2 A1 STORM 2014-3 A1 SAEC 15 A1 ARENA 2014-2NHG A1 SAEC 14 A2 OKK 1 A
United Kingdom
Source: UniCredit Research
10 Jan 14
UniCredit Research
May 14
Jul 14
Oct 14
Jan 15
page 28
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Market Statistics ISSUANCE BY ASSET CLASS 2014
2015
171.8
151.0
152.6 124.9
132.1
112.9
128.4 101.1
114.8
600 500
417.8 368.1
400
346.1
300
223.6
213.1
500 400 300 200
163.7
213.1
10.8 100
0
0 2007
Nov
CMBS
2013
2014
2015
TOTAL ABS OUTSTANDING ABS BY COUNTRY CLO
2007
CDO
UK
Netherlands
Spain
Italy
Germany
France
Portugal
AAA
Other
1,800
1,600
1,600
1,400
1,400
2012
2013
2014
2015
Jan-15
0
Jan-14
200
Jan-13
A
BBB
BB
B
CCC
CC
600
0
Jan-12
AA
800
400
Jan-11
Jan-15
Jan-14
Jan-13
Jan-12
Jan-11
Jan-10
0
Jan-09
2011
1,000
200
Jan-10
200
Jan-08
2010
1,200
400
Jan-09
400
600
Jan-08
600
800
Jan-07
800
1,000
Jan-06
1,000
1,200
Jan-05
1,200
Jan-04
1,400
Volume (EUR bn)
1,800
Volume (EUR bn equivalent)
1,800
Jan-07
2009
TOTAL ABS OUTSTANDING BY RATING
2,000
Jan-06
2008
Dec
Jan-15
Oct
2012
Jan-14
Sep
2011
Jan-13
Aug
2010
Jan-12
Jul
2009
Jan-11
Jun
2008
2,000
Jan-05
Spain Retained
600
2,000
Jan-04
Italy Other
700
648.9
100
1,600
Volume (EUR bn)
Netherlands Multi
Jan-10
ABS
United Kingdom Germany
800
200
TOTAL ABS OUTSTANDING BY SECTOR RMBS
900
Jan-09
May
Retained
Jan-08
Apr
CMBS
Jan-07
Mar
CLO
Jan-06
Feb
CDO
800
0 Jan
RMBS
816.2 700
163.7
203.7
50
96.8
100
79.1
98.6
150
6.3 4.0 3.0 17.0 9.0 10.8 29.6 19.9 0.0 38.7 43.9 0.0 63.5
EUR bn equivalent
200
ABS
900
EUR bn equivalent
2013
250
ISSUANCE BY COUNTRY
EUR bn equivalent
CUMULATIVE ISSUANCE
Source: UniCredit Research, Bloomberg, ConceptABS
UniCredit Research
page 29
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
PUBLIC ISSUANCE (EXCL. RETAINED DEALS) PERCENTAGE BY DOMICILE OF ASSETS IN 2014
PERCENTAGE BY DEAL TYPE IN 2014
Multi 16.5% RMBS 37.0%
ABS 41.5%
Netherlands 0.0%
PERCENTAGE BY CURRENCY IN 2014
USD 8%
Other 0.0%
Germany 7.5% Italy 5.1%
CMBS 5.1% CLO 16.5%
GBP 36%
ISSUANCE IN BN EUR
2015 YTD
ISSUANCE IN BN EUR
2013 YTD
2013 total
2014 YTD
2014 total
2015 YTD
ABS
2.7
28.6
3.1
34.9
4.0
CDO
0.0
0.0
0.0
0.0
0.0
CLO
0.3
10.0
1.6
16.0
CMBS
1.4
9.0
0.4
RMBS, thereof
5.6
21.0
Netherlands
5.6
United Kingdom
2013 total
2014 YTD
2014 total
2015 YTD
Netherlands
4.2
15.1
0.5
11.0
0.0
United Kingdom
0.0
18.8
0.4
27.7
6.2
1.6
Spain
0.0
0.8
0.0
0.4
5.2
0.5
Italy
0.0
2.4
0.0
0.0
26.1
3.6
Germany
1.0
16.1
15.1
0.0
9.7
0.0
Multi
0.0
0.0
5.2
0.0
13.1
3.6
Ireland
0.0
Spain
0.0
0.0
0.0
0.1
0.0
Other
Italy
0.0
0.0
0.0
2.3
0.0
Total
Germany
0.0
0.0
0.0
0.0
0.0
0.0
0.7
0.0
0.9
0.0
Total
10.0
68.6
5.1
82.3
9.6
UniCredit Research
Domicile of Assets
2015 YTD
ISSUANCE IN BN EUR
2013 YTD
Other
EUR 56%
United Kingdom 64.0%
Spain 6.9%
CDO 0.0% 2015 YTD
Asset class
Other 0%
2013 YTD
2013 total
2014 YTD
2014 total
2015 YTD
EUR
8.6
47.9
3.6
52.0
5.4
GBP
1.4
17.3
1.4
25.1
3.5
0.7
USD
0.0
2.1
0.0
4.7
0.8
9.4
0.5
Other
0.0
1.4
0.0
0.5
0.0
1.5
9.4
0.7
Total
10.0
68.6
5.1
82.3
9.6
7.8
0.4
14.5
1.6
0.5
0.0
0.0
0.0
0.0
7.2
0.4
9.9
0.0
5.2
68.6
3.2
82.3
9.6
page 30
Currency
Source: Bloomberg, Reuters, UniCredit Research
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
RETAINED DEALS PERCENTAGE BY DOMICILE OF ASSETS IN 2014
PERCENTAGE BY DEAL TYPE IN 2014
Netherlands 0%
CLO 0.0%
RMBS 18.2%
PERCENTAGE BY CURRENCY IN 2014
USD 0.0% United Kingdom 34%
GBP 34.4% EUR 65.6%
CMBS 0.0% Multi 0% ABS 81.8%
Other 66% Germany 0%
2015 YTD
ISSUANCE IN BN EUR Asset class
2014 total
2015YTD
22.9
0.9
CDO
0.0
0.0
CLO
27.2
0.0
0.1
0.0
80.7
0.2
5.6
0.0
RMBS, thereof Netherlands United Kingdom Spain
6.5
0.2
17.2
0.0
Italy
3.0
0.0
Germany
0.0
0.0
Other
48.4
0.0
Total
130.8
1.1
UniCredit Research
Italy 0%
2015 YTD
ISSUANCE IN BN EUR
ABS
CMBS
Spain 0%
Domicile of Assets
2015 YTD
ISSUANCE IN BN EUR 2014 total
2015YTD
Netherlands
15.2
0.0
United Kingdom
16.3
0.4
Spain
26.8
0.0
Italy
12.3
0.0
Germany
9.2
0.0
Multi
0.0
0.0
Ireland
2.1
0.0
Other
49.0
0.8
Total
130.8
1.1
page 31
Currency
2014 total
2015 YTD
EUR
114.4
0.8
GBP
16.1
0.4
USD
0.0
0.0
Other
0.3
0.0
Total
130.8
1.1
Source: Bloomberg, Reuters, UniCredit Research
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
RATING DISTR.OF FUNDED TRANCHES IN BN EUR 2013 total
140
2014 total
QUARTERLY ISSUANCE BY COUPON TYPE
2015 YTD
Floating
90 49.1
80 70
sub BBB
NR
ISSUANCE IN BN EUR
33.7
51.9
2015 Q4
BBB
0.0 0.0 0.0 0.0
2015 Q3
A
0.0 0.0
2015 Q2
AA
4.0
2015 Q1 6.7
AAA
2013 Q4
0
2013 Q3
2013 Q1
20
2013 Q2
0
2014 Q3
10
4.3
45.9
20 40
4.0
3.9
4.9
2014 Q2
30
2014 Q1 15.6
40
40.7
50
10.0
29.8
60
11.4
38.1
80
8.6
60
24.7
in bn EUR
100
2014 Q4
120
in bn EUR
Fixed
100
ISSUANCE IN BN EUR
2013 YTD
2013 total
2014 YTD
2014 total
2015 YTD
AAA
8.4
81.5
2.3
115.4
5.3
Fixed
2.1
30.3
1.5
65.9
4.0
AA
0.1
7.6
0.1
21.8
1.2
Floating
9.3
133.4
5.3
147.1
6.7
A
1.2
32.6
2.2
31.1
1.6
Total
11.3
163.7
6.8
213.1
10.8
BBB
0.9
4.1
0.8
6.6
0.1
sub BBB
0.1
3.4
0.1
6.8
0.2
0.6
14.6
1.3
24.3
0.6
11.3
143.9
6.8
205.9
9.0
NR Total
UniCredit Research
2013 YTD
2013 total
2014 YTD
2014 total
2015 YTD
Source: Bloomberg, Reuters, UniCredit Research
page 32
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Delinquency Data AUTO ABS 60+ DAY DELINQUENCIES France
Germany
Portugal
Spain
UK PRIME RMBS 90+DAY DELINQUENCIES Italy
UK
Arkle Granite Langton Index
Index (EMEA)
3.0 8.0 2.5
7.0
2.0
6.0
Arran Greenock Others
ITALIAN RMBS 90+ DAY DELINQUENCIES
Fosse Holmes Permanent
Gracechurch Lanark Silverstone
2007
2008
2011
2012/2013
Index
2.0
(%)
(%)
4.0
1.5 1.0 0.5
1.0
DUTCH RMBS 60+ DAY DELINQUENCIES 1997-2004 2006 2008 2010 2012
2.4 2.2 2.0 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0
2001-2004
2005 2007 2009 2011 Index (Prime)
2005
2006
2007
Jul-14
Jan-15
Jul-13
Jan-14
Jul-12
Jan-13
Jul-11
Jan-12
Jul-10
Jan-11
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jul-04
Feb-14
Aug-14
Feb-13
Aug-13
Feb-12
Aug-12
Feb-11
Aug-11
Feb-10
Aug-10
Feb-09
Aug-09
Feb-08
Aug-08
Feb-07
Aug-07
Feb-06
Aug-06
Feb-05
Aug-05
Aug-04
UK NON-CONFORMING 90+ DAY DELINQUENCIES
Jan-05
0.0
0.0
Jul-14
Jul-13
Jan-14
Jul-12
Jan-13
Jul-11
Jan-12
Jul-10
Jan-11
Jul-09
Jan-10
Jul-08
Jan-09
Jul-07
Jan-08
Jul-06
Jan-07
Jul-05
Jan-06
Jan-05
0.0
SPANISH RMBS 90+ DAY DELINQUENCIES
2008
1997-2005 2008 2011
Index
30
4.5
2007 2010 Index
2006 2009 2012-2014
4.0
25
3.5 3.0
(%)
(%)
20 15 10
2.5 2.0 1.5 1.0
5
Dec-14
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Jun-10
Dec-10
Jun-09
Dec-09
Jun-08
Dec-08
Dec-07
Jun-07
Dec-06
Jun-06
Dec-05
0.0
Jun-05
Nov-14
May-14
Nov-13
May-13
Nov-12
May-12
Nov-11
Nov-10
May-11
Nov-09
May-10
Nov-08
May-09
Nov-07
May-08
May-07
Nov-06
Nov-05
May-06
Sep-14
Mar-14
Sep-13
Mar-13
Mar-12
Sep-12
Mar-11
Sep-11
Mar-10
Sep-10
Mar-09
Sep-09
Mar-08
Sep-08
Sep-07
Mar-07
Sep-06
Mar-06
Sep-05
Mar-05
Mar-04
Sep-04
0.5 0
Dec-04
(%)
2006
2010
2.0
0.5
(%)
2005
2009
2.5
3.0
1.0
2000-2004
3.0
5.0 1.5
3.5
Source: Moody's, UniCredit Research
UniCredit Research
page 33
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Market Spreads
UK Prime RMBS (AAA) 0.5-2Y WAL Dutch Prime RMBS (AAA) 0.5-2Y WAL Italian Prime RMBS (AA) 2-5Y WAL
UK NON-CONFORMING (WAL>2Y)
UK Prime RMBS (AAA) 2-5Y WAL Dutch Prime RMBS (AAA) 2-5Y WAL Spain Prime RMBS (A) 2-5Y WAL
UK Non-Conforming RMBS (AA) 2-5Y WAL
400
Spread (bp)
Spread (bp)
350
250 200
UK Non-Conforming RMBS (AA) 5-10Y WAL
UK Non-Conforming (A) 5-10Y WAL
450
300
EUROPEAN ABS (SENIOR TRANCHES, WAL >0.2)
150
350
70
300
60
250
50
Spread (bp)
EUROPEAN PRIME RMBS (SENIOR TRANCHES, WAL>2Y)
200 150
Germany ABS Auto Leases AAA
Germany ABS Auto Loans AAA
France Auto Loan ABS AAA
European Auto ABS AAA (ex Germany)
40 30
100
20
50
10
100 50 0 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15
EUROPEAN PRIME RMBS (BBB, WAL>2Y)
0 Feb-13
Aug-13
Feb-14
Aug-14
EUROPEAN CMBS (AA, WAL>2Y)
Portugal Prime RMBS (BBB) 2-10Y WAL Spain Prime RMBS (BBB) 5-10Y WAL Italian Prime RMBS (BBB) 2-5Y WAL
UK CMBS (AA) WAL>1Y
0 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15
Feb-15
OTHER EUROPEAN ABS Italian Lease (A) WAL>0.24Y
German CMBS (AA) WAL>1Y
Italian Lease (BBB) WAL>0.24Y
700 350
1,200
600 300 500
800 600 400
200 150
Nov-13
Feb-14
May-14
Aug-14
Nov-14
Feb-15
300
100
50
Aug-13
400
200
100
200 0 May-13
250
Spread (bp)
Spread (bp)
Spread (bp)
1,000
0 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15
0 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15
Source: UniCredit Research
UniCredit Research
page 34
See last pages for disclaimer.
24 February 2015
Credit Research
Securitization Market Watch
Disclaimer Our recommendations are based on information obtained from, or are based upon public information sources that we consider to be reliable but for the completeness and accuracy of which we assume no liability. All estimates and opinions included in the report represent the independent judgment of the analysts as of the date of the issue. We reserve the right to modify the views expressed herein at any time without notice. Moreover, we reserve the right not to update this information or to discontinue it altogether without notice. This analysis is for information purposes only and (i) does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any financial, money market or investment instrument or any security, (ii) is neither intended as such an offer for sale or subscription of or solicitation of an offer to buy or subscribe for any financial, money market or investment instrument or any security nor (iii) as an advertisement thereof. The investment possibilities discussed in this report may not be suitable for certain investors depending on their specific investment objectives and time horizon or in the context of their overall financial situation. The investments discussed may fluctuate in price or value. Investors may get back less than they invested. Changes in rates of exchange may have an adverse effect on the value of investments. Furthermore, past performance is not necessarily indicative of future results. In particular, the risks associated with an investment in the financial, money market or investment instrument or security under discussion are not explained in their entirety. This information is given without any warranty on an "as is" basis and should not be regarded as a substitute for obtaining individual advice. Investors must make their own determination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal, fiscal and financial position. As this document does not qualify as an investment recommendation or as a direct investment recommendation, neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. Investors are urged to contact their bank's investment advisor for individual explanations and advice. Neither UniCredit Bank nor any of their respective directors, officers or employees nor any other person accepts any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith. This analysis is being distributed by electronic and ordinary mail to professional investors, who are expected to make their own investment decisions without undue reliance on this publication, and may not be redistributed, reproduced or published in whole or in part for any purpose. Responsibility for the content of this publication lies with: a) UniCredit Bank AG (UniCredit Bank), Am Tucherpark 16, 80538 Munich, Germany, (also responsible for the distribution pursuant to §34b WpHG). The company belongs to UniCredit Group. Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany. b) UniCredit Bank AG London Branch (UniCredit Bank London), Moor House, 120 London Wall, London EC2Y 5ET, United Kingdom. Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany and subject to limited regulation by the Financial Conduct Authority, 25 The North Colonnade, Canary Wharf, London E14 5HS, United Kingdom and Prudential Regulation Authority 20 Moorgate, London, EC2R 6DA, United Kingdom. Further details regarding our regulatory status are available on request. c) UniCredit Bank AG Hong Kong Branch (UniCredit Bank Hong Kong), 25/F Man Yee Building, 68 Des Voeux Road Central, Hong Kong. Regulatory authority: Hong Kong Monetary Authority, 55th Floor, Two International Financial Centre, 8 Finance Street, Central, Hong Kong d) UniCredit Bank AG Singapore Branch (UniCredit Bank Singapore), Prudential Tower, 30 Cecil Street, #25-01, Singapore 049712 Regulatory authority: Monetary Authority of Singapore, 10 Shenton Way MAS Building, Singapore 079117 e) UniCredit Bank AG Tokyo Branch (UniCredit Tokyo), Otemachi 1st Square East Tower 18/F, 1-5-1 Otemachi, Chiyoda-ku, 100-0004 Tokyo, Japan Regulatory authority: Financial Services Agency, The Japanese Government, 3-2-1 Kasumigaseki Chiyoda-ku Tokyo, 100-8967 Japan, The Central Common Government Offices No. 7. POTENTIAL CONFLICTS OF INTERESTS Company n.a.
Key n.a.
Key 1a: UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law) owns at least 2% of the capital stock of the company. Key 1b: The analyzed company owns at least 2% of the capital stock of UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law). Key 2: UniCredit Bank AG and/or a company affiliated with it (pursuant to relevant domestic law) belonged to a syndicate that has acquired securities or any related derivatives of the analyzed company within the twelve months preceding publication, in connection with any publicly disclosed offer of securities of the analyzed company, or in any related derivatives. Key 3: UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) administers the securities issued by the analyzed company on the stock exchange or on the market by quoting bid and ask prices (i.e. acts as a market maker or liquidity provider in the securities of the analyzed company or in any related derivatives). Key 4: The analyzed company and UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) concluded an agreement on services in connection with investment banking transactions in the last 12 months, in return for which the Bank received a consideration or promise of consideration. Key 5: The analyzed company and UniCredit Bank AG and/or a company affiliated (pursuant to relevant domestic law) have concluded an agreement on the preparation of analyses. Key 6a: Employees of UniCredit Bank AG Milan Branch and/or members of the Board of Directors of UniCredit (pursuant to relevant domestic law) are members of the Board of Directors of the Issuer. Members of the Board of Directors of the Issuer hold office in the Board of Directors of UniCredit (pursuant to relevant domestic law). Key 6b: The analyst is on the supervisory/management board of the company they cover. Key 7: UniCredit Bank AG Milan Branch and/or other Italian banks belonging to the UniCredit Group (pursuant to relevant domestic law) extended significant amounts of credit facilities to the Issuer. RECOMMENDATIONS, RATINGS AND EVALUATION METHODOLOGY Company Date Rating n.a. n.a. n.a.
UniCredit Research
Currency n.a.
Target price n.a.
page 35
24 February 2015
Credit Research
Securitization Market Watch
Overview of our ratings You will find the history of rating regarding recommendation changes as well as an overview of the breakdown in absolute and relative terms of our investment ratings on our website http://www.disclaimer.unicreditmib.eu/credit-research-rd/Recommendations_CR_e.pdf. Note on the evaluation basis for interest-bearing securities: Recommendations relative to an index: For high grade names the recommendations are relative to the "iBoxx EUR Benchmark" index family, for sub investment grade names the recommendations are relative to the "iBoxx EUR High Yield" index family. Marketweight: We recommend having the same portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is equal to the total return of the index. Overweight: We recommend having a higher portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is greater than the total return of the index. Underweight: We recommend having a lower portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is less than the total return of the index. Outright recommendations: Hold: We recommend holding the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is equal to the yield. Buy: We recommend buying the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is greater than the yield. Sell: We recommend selling the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is less than the yield. We employ three further categorizations for interest-bearing securities in our coverage: Restricted: A recommendation and/or financial forecast is not disclosed owing to compliance or other regulatory considerations such as a blackout period or a conflict of interest. Coverage in transition: Due to changes in the research team, the disclosure of a recommendation and/or financial information are temporarily suspended. The interest-bearing security remains in the research universe and disclosures of relevant information will be resumed in due course. Not rated: Suspension of coverage. Trading recommendations for fixed-interest securities mostly focus on the credit spread (yield difference between the fixed-interest security and the relevant government bond or swap rate) and on the rating views and methodologies of recognized agencies (S&P, Moody’s, Fitch). Depending on the type of investor, investment ratings may refer to a short period or to a 6 to 9-month horizon. Please note that the provision of securities services may be subject to restrictions in certain jurisdictions. You are required to acquaint yourself with local laws and restrictions on the usage and the availability of any services described herein. The information is not intended for distribution to or use by any person or entity in any jurisdiction where such distribution would be contrary to the applicable law or provisions. Coverage Policy A list of the companies covered by UniCredit Bank is available upon request. Frequency of reports and updates It is intended that each of these companies be covered at least once a year, in the event of key operations and/or changes in the recommendation. SIGNIFICANT FINANCIAL INTEREST: UniCredit Bank and/or a company affiliated (pursuant to relevant national law) with them regularly trade shares of the analyzed company. UniCredit Bank and/or a company affiliated may hold significant open derivative positions on the stocks of the company which are not delta-neutral. Analyses may refer to one or several companies and to the securities issued by them. In some cases, the analyzed issuers have actively supplied information for this analysis. ANALYST DECLARATION The author’s remuneration has not been, and will not be, geared to the recommendations or views expressed in this study, neither directly nor indirectly. ORGANIZATIONAL AND ADMINISTRATIVE ARRANGEMENTS TO AVOID AND PREVENT CONFLICTS OF INTEREST To prevent or remedy conflicts of interest, UniCredit Bank has established the organizational arrangements required from a legal and supervisory aspect, adherence to which is monitored by its compliance department. Conflicts of interest arising are managed by legal and physical and non-physical barriers (collectively referred to as “Chinese Walls”) designed to restrict the flow of information between one area/department of UniCredit Bank and another. In particular, Investment Banking units, including corporate finance, capital market activities, financial advisory and other capital raising activities, are segregated by physical and non-physical boundaries from Markets Units, as well as the research department. Disclosure of publicly available conflicts of interest and other material interests is made in the research. Analysts are supervised and managed on a day-to-day basis by line managers who do not have responsibility for Investment Banking activities, including corporate finance activities, or other activities other than the sale of securities to clients. ADDITIONAL REQUIRED DISCLOSURES UNDER THE LAWS AND REGULATIONS OF JURISDICTIONS INDICATED Notice to Australian investors This publication is intended for wholesale clients in Australia subject to the following: UniCredit Bank AG and its branches do not hold an Australian Financial Services licence but are exempt from the requirement to hold an Australian financial services licence in respect of the financial services UniCredit Bank AG and its branches provide to wholesale clients. UniCredit Bank AG and its branches are regulated by BaFin under German laws, which differ from Australian laws. This document is only for distribution to wholesale clients as defined in Section 761G of the Corporations Act. UniCredit Bank AG and its branches are not Authorised Deposit Taking Institutions under the Banking Act 1959 and are not authorised to conduct a banking business in Australia. Notice to Austrian investors This document does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any securities and neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. This document is confidential and is being supplied to you solely for your information and may not be reproduced, redistributed or passed on to any other person or published, in whole or part, for any purpose. Notice to Czech investors
UniCredit Research
page 36
24 February 2015
Credit Research
Securitization Market Watch
This report is intended for clients of UniCredit in the Czech Republic and may not be used or relied upon by any other person for any purpose. Notice to Hong Kong investors The information in this publication is intended for recipient(s) who is/are Professional Investor as defined in Section 1 of Part 1 of Schedule 1 to the Securities and Futures Ordinance (Cap. 571). The information in this publication is based on carefully selected sources believed to be reliable, however we do not make any representation as to the accuracy or completeness of the information. Any opinions herein reflect our judgement at the date hereof and are subject to change without notice. Any investments presented in this publication may be unsuitable for the investor depending on his or her specific investment objectives and financial position. Any reports provided herein are provided for general information purposes only and cannot substitute the obtaining of independent financial advice. Private investors should obtain the advice of their banker/broker about any investments concerned prior to making them. Nothing in this publication is intended to create contractual obligations. Notice to Italian investors This document is not for distribution to retail clients as defined in article 26, paragraph 1(e) of Regulation n. 16190 approved by CONSOB on 29 October 2007. In the case of a short note, we invite the investors to read the related company report that can be found on UniCredit Research website www.research.unicredit.eu. Notice to Japanese investors This document does not constitute or form part of any offer for sale or subscription for or solicitation of any offer to buy or subscribe for any securities and neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. Notice to Polish investors This document is intended solely for professional clients as defined in Art. 3 39b of the Trading in Financial Instruments Act of 29 July 2005. The publisher and distributor of the recommendation certifies that it has acted with due care and diligence in preparing the recommendation, however, assumes no liability for its completeness and accuracy. Notice to Russian investors As far as we are aware, not all of the financial instruments referred to in this analysis have been registered under the federal law of the Russian Federation "On the Securities Market" dated 22 April 1996, as amended (the "Law"), and are not being offered, sold, delivered or advertised in the Russian Federation. This analysis is intended for qualified investors, as defined by the Law, and shall not be distributed or disseminated to a general public and to any person, who is not a qualified investor. Notice to Singapore investors The information in this publication is intended solely for Institutional and Accredited investors only, as defined in section 4A of the Securities and Futures Act (Cap. 289) of Singapore (“SFA”) and is not intended to be made available to the retail public. We have taken reasonable steps to select information based on sources believed to be reliable. However we do not make any representation as to its accuracy or completeness. This publication is distributed for information only and is not a prospectus as defined in the SFA. It is not and should not be construed as an offer to sell or a solicitation of an offer to buy any security or investment product. It is also not and should not be construed as providing advice regarding any security, investment or product. Any opinions herein reflect our judgement at the date hereof and are subject to change without notice. Such opinions do not take into consideration the investment objectives, financial situation, risk appetite of any other characteristics and particular needs of an investor. You should consult your advisers concerning any potential transactions and consider carefully whether the security, investment or product is suitable for you before making any investment decision. Any reports provided herein are provided for general information purposes only. Any information regarding past performances of the investment may not be indicative of future performances and cannot substitute the obtaining of independent financial advice. Notice to Turkish investors Investment information, comments and recommendations stated herein are not within the scope of investment advisory activities. Investment advisory services are provided in accordance with a contract of engagement on investment advisory services concluded with brokerage houses, portfolio management companies, non-deposit banks and the clients. Comments and recommendations stated herein rely on the individual opinions of the ones providing these comments and recommendations. These opinions may not suit your financial status, risk and return preferences. For this reason, to make an investment decision by relying solely on the information stated here may not result in consequences that meet your expectations. Notice to UK investors This communication is directed only at clients of UniCredit Bank who (i) have professional experience in matters relating to investments or (ii) are persons falling within Article 49(2)(a) to (d) (“high net worth companies, unincorporated associations, etc.”) of the United Kingdom Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 or (iii) to whom it may otherwise lawfully be communicated (all such persons together being referred to as “relevant persons”). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with relevant persons. Notice to U.S. investors This report is being furnished to U.S. recipients in reliance on Rule 15a-6 ("Rule 15a-6") under the U.S. Securities Exchange Act of 1934, as amended. Each U.S. recipient of this report represents and agrees, by virtue of its acceptance thereof, that it is such a "major U.S. institutional investor" (as such term is defined in Rule 15a-6) and that it understands the risks involved in executing transactions in such securities. Any U.S. recipient of this report that wishes to discuss or receive additional information regarding any security or issuer mentioned herein, or engage in any transaction to purchase or sell or solicit or offer the purchase or sale of such securities, should contact a registered representative of UniCredit Capital Markets, LLC. Any transaction by U.S. persons (other than a registered U.S. broker-dealer or bank acting in a broker-dealer capacity) must be effected with or through UniCredit Capital Markets. The securities referred to in this report may not be registered under the U.S. Securities Act of 1933, as amended, and the issuer of such securities may not be subject to U.S. reporting and/or other requirements. Available information regarding the issuers of such securities may be limited, and such issuers may not be subject to the same auditing and reporting standards as U.S. issuers. The information contained in this report is intended solely for certain "major U.S. institutional investors" and may not be used or relied upon by any other person for any purpose. Such information is provided for informational purposes only and does not constitute a solicitation to buy or an offer to sell any securities under the Securities Act of 1933, as amended, or under any other U.S. federal or state securities laws, rules or regulations. The investment opportunities discussed in this report may be unsuitable for certain investors depending on their specific investment objectives, risk tolerance and financial position. In jurisdictions where UniCredit Capital Markets is not registered or licensed to trade in securities, commodities or other financial products, transactions may be executed only in accordance with applicable law and legislation, which may vary from jurisdiction to jurisdiction and which may require that a transaction be made in accordance with applicable exemptions from registration or licensing requirements. The information in this publication is based on carefully selected sources believed to be reliable, but UniCredit Capital Markets does not make any representation with respect to its completeness or accuracy. All opinions expressed herein reflect the author’s judgment at the original time of publication, without regard to the date on which you may receive such information, and are subject to change without notice. UniCredit Capital Markets may have issued other reports that are inconsistent with, and reach different conclusions from, the information presented in this report. These publications reflect the different assumptions, views and analytical methods of the analysts who prepared them. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is provided in relation to future performance. UniCredit Capital Markets and any company affiliated with it may, with respect to any securities discussed herein: (a) take a long or short position and buy or sell such securities; (b) act as investment and/or commercial bankers for issuers of such securities; (c) act as market makers for such securities; (d) serve on the board of any issuer of such securities; and (e) act as paid consultant or advisor to any issuer. The information contained herein may include forward-looking statements within the meaning of U.S. federal securities laws that are subject to risks and uncertainties. Factors that could cause a company’s actual results and financial condition to differ from expectations include, without limitation: political uncertainty, changes in general economic conditions that adversely affect the level of demand for the company’s products or services, changes in foreign exchange markets, changes in international and domestic financial markets and in the competitive environment, and other factors relating to the foregoing. All forward-looking statements contained in this report are qualified in their entirety by this cautionary statement
UniCredit Research
page 37
24 February 2015
Credit Research
Securitization Market Watch
This document may not be distributed in Canada. CR e 3
UniCredit Research
page 38
24 February 2015
Credit Research
Securitization Market Watch
UniCredit Research* Michael Baptista Global Head of CIB Research +44 207 826-1328
[email protected]
Dr. Ingo Heimig Head of Research Operations +49 89 378-13952
[email protected]
Credit Research Luis Maglanoc, CFA, Head +49 89 378-12708
[email protected]
Credit Strategy & Structured Credit Research
Financials Credit Research
Dr. Philip Gisdakis, Head Credit Strategy +49 89 378-13228
[email protected]
Franz Rudolf, CEFA, Head Covered Bonds +49 89 378-12449
[email protected]
Natalie Tehrani Monfared Regulatory & Accounting Service +49 89 378-12242
[email protected]
Corporate Credit Research
Dr. Christian Weber, CFA, Deputy Head Credit Strategy +49 89 378-12250
[email protected]
Valentina Stadler, Deputy Head Sub-Sovereigns & Agencies +49 89 378-16296
[email protected]
Emanuel Teuber Banks, Financial Services, Insurance +49 89 378-14245
[email protected]
Dr. Tim Brunne Quantitative Credit Strategy +49 89 378-13521
[email protected]
Florian Hillenbrand, CFA Covered Bonds +49 89 378-12961
[email protected]
Robert Vielhaber Sub-Sovereigns & Agencies +49 89 378-12004
[email protected]
Holger Kapitza Credit Strategy & Structured Credit +49 89 378-28745
[email protected]
Dr. Tilo Höpker Banks +49 89 378-12960
[email protected]
Dr. Claudia Vortmüller Banks +49 89 378-12429
[email protected]
Dr. Stefan Kolek EEMEA Corporate Credits & Strategy +49 89 378-12495
[email protected]
Luis Maglanoc, CFA Regulatory & Accounting Service +49 89 378-12708
[email protected]
Manuel Trojovsky Credit Strategy & Structured Credit +49 89 378-14145
[email protected]
Stephan Haber, CFA, Co-Head Telecoms, Technology +49 89 378-15192
[email protected] Dr. Sven Kreitmair, CFA, Co-Head Automotive & Mobility +49 89 378-13246
[email protected] Jana Arndt, CFA Basic Resources, Industrial G&S, Construction & Materials +49 89 378-13211
[email protected] Christian Aust, CFA Chemicals, Industrial Transportation, Paper & Packaging +49 89 378-12806
[email protected] Mehmet Dere Retail, Travel & Leisure, Oil & Gas +49 89 378-11294
[email protected] Olga Fedotova Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-1376
[email protected]
Michael Gerstner Utilities, Hybrids +49 89 378-15449
[email protected] Dr. Manuel Herold Consumers, Oil & Gas +49 89 378-12650
[email protected] Alexander Rozhetskin Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-7953
[email protected] Jonathan Schroer, CFA Media/Cable, Logistics, Business Services +49 89 378-13212
[email protected] Dr. Silke Stegemann, CEFA Health Care & Pharma, Food & Beverage, Personal & Household Goods +49 89 378-18202
[email protected]
Publication Address UniCredit Research Corporate & Investment Banking UniCredit Bank AG Arabellastrasse 12, D-81925 Munich
[email protected]
Bloomberg UCCR Internet www.research.unicredit.eu
*UniCredit Research is the joint research department of UniCredit Bank AG (UniCredit Bank), UniCredit Bank AG London Branch (UniCredit Bank London), UniCredit Bank AG Milan Branch (UniCredit Bank Milan), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech Republic and Slovakia, Bank Pekao, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Tiriac Bank (UniCredit Tiriac).
CR 10
UniCredit Research
page 39
