Securitization Market Watch

Transcription

20 October 2015
Credit Research Securitization Market Watch ■
Market Comment: In line with the improvement in broader
credit markets, sentiment in the ABS market is looking up, and
the European ABS pipeline is busy with a few new deals.
Primary-market activity picked up slightly as two deals priced
last week. The secondary market is still a buyer’s market, and
spreads in core asset classes, such as Dutch RMBS, were
slightly tighter last week. As opposed to previous weeks, ABS
purchases by the ECB gained traction, with weekly additions
of more than EUR 1bn. Perhaps earlier than expected, VW
Bank has staged a comeback; it announced a new German
Auto Lease deal from its VCL platform.
■
Deal-Specific Information: Deco 6 UKLL 2 (update), Fairhold
Securitization (update), Talisman 6 (property sale), Talisman 4
(update).
■
Rating Actions: Taurus CMBS (PE) 2007-1 (downgrade),
Talisman 5 (downgrades), Boyne Valley (upgrades),
Scandinavian Consumer Loans III (upgrades).
MONTHLY ISSUANCE VOLUMES
20
Contents
Market Comment ____________________________ 2
Brief Comments _____________________________ 4
Deal-Specific Information ______________________ 6
Primary Market ______________________________ 7
Pipeline ____________________________________ 9
Deal Overview _____________________________ 13
Last Week's Rating Changes __________________ 19
Rating Drift ________________________________ 28
Primary Market Comparison ___________________ 29
Market Statistics ____________________________ 30
Delinquency Data ___________________________ 34
Market Spreads ____________________________ 35
25
23
22
■
Primary Market & Pipeline: In the primary market, a UK
Prime RMBS and a European leveraged-loan CLO were
priced last week. The European pipeline is picking up. A
German Auto Lease ABS, a Belgium Prime RMBS and a
Finnish Auto ABS have joined the pipeline, in addition to a few
European leveraged-loan CLOs. A Spanish SME CLO and
jumbo French Prime RMBS will be retained.
20
21
19
20
15
16
17
13
11
10
14
14
11
15
14
12
10
8
7
9
9
8
5
10
9
5
4
0
0
Jan
■
Brief Comments:
– Leveraged-loan CLO update: headwinds
European sector are likely to recede
Feb
Mar
Apr
2014 total EUR bn
faced
by
May
2015
Jun
Jul
Aug Sep
Oct
Nov Dec
2014 Number of deals (RS)
2015
Source: Bloomberg, Concept ABS, UniCredit Research
– Collateral performance of UK buy-to-let (BTL) RMBS sees
further improvement
Authors
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
Bloomberg
UCGR, ABSX
Internet
www.research.unicredit.eu
UniCredit Research page 1
See last pages for disclaimer.
20 October 2015
Credit Research
UniCredit Research Dutch and French RMBS provide rough pricing proxies
UK Prime RMBS (AAA) 2-5Y WAL
CFHL 2015-2 A1
CFHL 2014-1 A1
80
Dutch Prime RMBS (AAA) 2-5Y WAL
CFHL 2015-2 A2A
CFHL 2014-1 A2A
70
60
50
40
30
20
10
Oct-15
Sep-15
Aug-15
0
Jul-15
Traders report that activity in the secondary market has
been BWIC-driven, with strong execution in high-quality
sectors like Dutch RMBS and short-dated Italian senior
paper. Traders have noticed, among other things, CMBS,
UK NC and Italian mezzanine paper that has not been
traded as bids did not meet reserve levels. Secondary
markets are still bid-only, while spreads in Dutch RMBS are
slightly tighter and are unchanged in German Auto ABS
(VCL +50bp/Driver +55bp). Elsewhere, Cerberus and
Morgan Stanley are rumored to be the preferred bidders for
the GBP 11.7bn of UK mortgages from failed Northern
Rock Plc, although this has not yet been publically
announced. George Osborne, the UK’s chancellor of the
exchequer, intends to reduce national debt with the sale of
these mortgages, which comprise a portfolio of about
115,000 loans that were securitized into the Granite deals.
Meanwhile, after 46 weeks, the ECB’s ABSPP holdings
had risen by EUR 1.07bn (as of October 16) to EUR
PENATES 5 PRICING RANGE AND PRIME BENCHMARKS
Jun-15
In line with the improvement in broader credit markets,
sentiment in the ABS market is looking up, and the
European ABS pipeline is busy with a few new deals.
Primary-market activity has picked up slightly as two
deals priced last week. The secondary market is still a
buyer’s market, and spreads in core asset classes,
such as Dutch RMBS, were slightly tighter last week.
As opposed to previous weeks, ABS purchases by the
ECB gained traction, with weekly additions of more
than EUR 1bn. Perhaps earlier than expected, VW Bank
has staged a comeback; it announced a new German
Auto Lease deal from its VCL platform.
May15
Staging a comeback
14.47bn. This compares with outstanding volumes of EUR
126.1bn in covered bonds after additions of EUR 1.47bn
last week. The settlement of the Spanish Auto ABS by VW
Bank (the EUR 816mn Driver Espana Two) most likely
contributed to the surge in the ECB’s purchases for its
ABSPP, which historically have shown weekly additions of
just EUR 300mn on average. In addition, Bloomberg
reported that the ECB was seeking to buy EUR 158mn
Italian RMBS (Berica), originated by Banca Popolare di
Vicenza, in an OWIC last week.
Apr-15
Market Comment
Source: Markit, UniCredit Research
Activity picked up last week as a few deals joined the
European pipeline, leaving investors to deal with EURdenominated
continental
issuers.
Most
notably,
Volkswagen Leasing GmbH announced its forthcoming
VCL 22 German Auto-Lease benchmark transaction. VCL
page 2
Multi-Compartment S.A. – Compartment 22 will be the
first ABS deal from VW following the revelation of its dieselemissions manipulation. The originator will offer the Class
A (AAA rated, 7.9% CE, 1.2Y WAL) and Class B
(A+/A1/A(high)/A+, 5.5% CE, 1.9Y WAL) while the deal will
be eligible for the ECB’s ABSPP – since residual value risk
is not securitized. Compared to previous deals, the
structure provides investors with a higher cushion for
potential losses, while its rating levels remain unchanged.
In VCL 22, CE for Class A is 0.8% higher, while Class B
benefits from 5.5% (compared to 4.4% in VCL 21). More
interestingly, next to Moody’s, Fitch and DBRS,
Creditreform has been appointed as a fourth rating agency.
Within the deal’s investor presentation, VW provided
additional information on the share of cars that have an
EA189 EU5 engine and are securitized in VW’s Auto
ABS (link). The VW scandal mainly affects vehicles that are
equipped with the EA189 diesel engine and that were built
between 2008 and 2015. As a result, the share of affected
vehicles whose receivables were securitized increases with
the age of the ABS deal. Based on the number of affected
contracts (by volume), the share varies between 27.7% in
VCL 21 and about 43.4% in VCL 18, while DRVON 13
shows a share of 25.6% and 30.9% in DRVON 10. Outside
of Germany, the Spanish DRVES 2 shows affected
contracts of 44.5%, while the French DRIFR 2 and DRIFR
1 contain respectively 45.1% and 61.4%. The UK DRVUK 3
share is at 24.2%, and that of DRVUK 2 is 32.5%.
Fundamentally, we stick to our view that the impact from
the VW’s emissions-test cheating on the credit
performance of VW’s ABS is limited and temporary. The
latter holds true thanks to the remaining term of VW’s aging
Auto ABS deals. See our Special Focus for more
details (link). That said, the new VCL 22 will provide a nice
20 October 2015
Credit Research
pickup for investors who are comfortable with the issuer.
Investor meetings will start tomorrow.
Almost one year since it issued its KIMI 3 deal, Santander
Consumer Bank will start the roadshow to place another
Finnish Auto-Loan ABS from its KIMI program. SCF
Rahoituspalvelut I DAC (Kimi 4) will be offered in Class A
(AAA/Aaa, 1.25Y WAL, 14% CE) and Class B (AA/Aa2,
3.5Y WAL, 7% CE). The static deal offers a portfolio
balance of about EUR 389.4mn, for a total number of
26,555 loans, which are 100% fixed-rate. With a WAL of
2.35Y, the portfolio is 36.6% collateralized by new cars and
63.4% by used vehicles – with good diversification in terms
of vehicle manufacturers: among others, Volvo (13%), Kia
(12%) and Mercedes-Benz (11.5%). Importantly, auto-loan
receivables from the Volkswagen Group have been
excluded from the portfolio. The current pool displays 6.9%
of the outstanding balance, which are delinquent for one to
30 days. Compared to the previous SCF deal from 2014,
the current structure has changed slightly: 1. the second
reserve fund was removed, 2. Class A will be paying
floating interest and interest-rate risk will be hedged via a
fixed-floating interest-rate swap. IPTs for the deal have not
been released yet, but Kimi-3 priced its Class A (1.2Y
WAL) at 1Mms+45bp, while the class B (3.3Y WAL) came
in at 1Mms+65bp.
In Prime Belgium RMBS, Belfius Bank has started the
roadshow for its Penates Funding NV/SA Compartment
Penates 5, which will be the first from the series in five
years. The static cash deal offers a fast-pay Class A1 with
a 2Y WAL and a slow-pay Class A2 (4.7Y WAL), which are
both AAA rated, providing each of them with 20% of CE.
The portfolio of roughly EUR 1bn contains first-lien, fixedrate mortgages from prime borrowers located in Belgium
UniCredit Research with a weighted-average (WA) current LTV ratio of 72.1%,
a WA remaining term of 18.1Y; while its WA seasoning is
0.8Y. Penates 5 provides a unique feature. Unlike other
RMBS deals, it has no interest-rate hedge in place. Thus,
excess spread will vary over time. Until the step-up date, a
cap agreement is in place for its floating-rate notes (A1 and
A2) and this pays, on a quarterly basis, any excess over
the 3M-Euribor above 3.5%. The Penates program was
previously the securitization platform of Dexia, which
merged into Belfius Bank & Insurance in 2011. With the
new deal, Belfius has securitized 21.6% of its mortgage
book (as of September 2015), and previous deals from the
issuer have performed in line or better than the average in
Belgian RMBS. IPTs for the deal have not been provided.
However, Dutch, UK and selected French (CFHL) Prime
RMBS will act as the benchmark for the Belfius deal (see
chart). Moreover, in UK Prime RMBS, Permanent Master
Issuer plc 2015-1 by Lloyds Bank was successfully placed
with investors. Recent UK RMBS issuer have paid up
significantly given the sterling supply in the asset class so
far: 22 deals with an issuance volume of EUR 22.1bn YTD.
However, pricing for the fast-pay (1.9Y WAL) USD 400mn
A1 class and medium-term (2.9Y) GBP 250mn A2 class
came in at 3m$L+50bp and 3mL+60bp respectively, which
is in line with IPTs. The slow-pay (4.9Y WAL) EUR 500mn
class priced 3bp tighter, at 3mE+42bp. The deal was sold
to 39 investors –the first two classes went to asset
managers and banks from the US and the UK, while the
EUR tranche was taken by 19 investors from multiple
jurisdictions. Elsewhere, Caixabank closed and retained its
Foncaixa Pymes 6 today, a EUR 1.12bn Spanish SME
CLO. Aside from that, a jumbo French Prime RMBS (EUR
10bn) by Credit Agricole (CA), FCT Credit Agricole
Habitat 2015, has been announced. Likewise retained, the
deal is the inaugural French RMBS from CA and
page 3
securitizes loans from 39 domestic,
cooperative banks from the CA group.
regional
and
The following European leveraged-loan CLOs are currently
being marketed: Oak Hill European Credit Partners
2015-4 by Oak Hill, ALME Loan Funding IV by Apollo,
Jubilee XVI by Alcentra, Tymon Park CLO by
Blackstone/GSO and the successor of Toro European
CLO by Chenavari. In addition, 3i Debt Management has
priced its third European leveraged-loan CLO this year.
The triple-As of the EUR 414mn Harvest CLO XIV DAC
pay +145bp DM. The senior note has been split into two
parts: one providing 3mE+140bp (EUR 139mn), while the
other (EUR 100mn) pays 145bp over six-month Euribor.
20 October 2015
Credit Research
Brief Comments
UniCredit Research CLO NEW-ISSUANCE VOLUMES AND PRICING LEVELS
Volumes slow to a trickle as discount margins (DM) drift wider.
Average AAA spread
150
Oct-15
Aug-15
Apr-15
Jun-15
Feb-15
120
Oct-14
0
Dec-14
125
Aug-14
500
Apr-14
130
Jun-14
1000
Feb-14
135
Oct-13
1500
Dec-13
140
Aug-13
2000
Apr-13
145
Jun-13
2500
Primary spread (DM)
Issuance volume
3000
Feb-13
Leveraged-loan CLO update: headwinds faced by
European sector are likely to recede. Against the
backdrop of the less-rosy picture in European CLOs
recently, investors turned out for the European CLO
Summit in Monaco last week. As shown in the chart,
issuance momentum has slowed considerably, while the
rare primary deals have seen wider margins. At EUR
10.5bn YTD, current primary volumes have lagged those
of the previous year – new issuance had reached EUR
11.5bn by the same time in 2014. A monthly breakdown
reveals the anemic supply of recent months, after
volumes exceeded EUR 2bn from five deals in July.
Recent roadblocks include regulatory hurdles, sidelined
investors (amid recent credit-market volatility), a lack of
supply of new loans and a lack of new investors – to
name but a few. However, neither originators nor
investors have questioned the overall health of the
sector, with some referring to the current slowdown as a
blip, according to S&P LCD. Although sentiment among
market participants has clearly been less enthusiastic
than it was earlier this year, there is evidence that it
might have hit a trough; some of the issues described
above could turn out to be less problematic down the
road. As for CLO buyers, a number of potential new
investors attended the conference, suggesting that the
investor base should continue to expand. Their
negligible exposure to the energy and mining sectors,
less-advanced stage in the credit cycle and morefavorable fundamental outlooks are other factors
benefitting European CLOs. Another major CLO
conference takeaway that points to an uptick in
sentiment is the increased confidence thanks to the
EUR mn
■
greater regulatory clarity surrounding originator definition
(i.e. the release of the European Commission’s draft
securitisation regulation). This could lead to more
manager diversity through the (re-) entry of both larger
and smaller managers. Nevertheless, a number of
regulatory challenges remain, particularly with respect to
the fine tuning of disclosure requirements and the
application of grandfathering rules, as well as to the
extent to which warehouses are affected by retention
regulation.
Source: S&P LCD, Bloomberg, UniCredit Research
Elsewhere, with only 286 European loans to choose
from – as opposed to more than 1200 in the US – the
depth of the loan market remains a concern. The current
squeeze is unlikely to be remedied by sterling loans,
which would be highly attractive given their higher
margins and ample supply recently. However, the
page 4
prohibitive cost of perfect asset swaps prevents
managers from adding these loans to their warehouses.
While, in the case of CSAM’s CADOG 6X, the issue was
solved by the creation of a multi-currency (EUR/GBP)
structure, investor appetite for more of such types could
be limited, according to S&P LCD. Meanwhile, the
increasing share of covenant-lite loans within the
European universe has been less of a concern in our
view. As of mid-October, covenant-lite issuance remains
broadly unchanged, at EUR 15bn (compared with EUR
15.3bn in the previous year). Covenant-lite institutional
issuance has made up 49% of total issuance YTD (vs.
37% and 20% in 2014 and 2013). Equally important, the
proportion of covenant-lite loans included in the S&P
European Leveraged Loan Index (ELLI) has increased
steadily to 35% (from 6.5% in 4Q13). In our view,
however, the use of covenants is less relevant than a
range of other factors when it comes to assessing credit
quality. For European CLOs launched in 2015,
covenant-lite buckets typically range between 20% and
35%. In terms of performance, we note that, given the
current stage in the credit cycle – and with interest rates
likely to remain low as a result of the ECB’s QE (which
particularly supports the weakest portion of the market,
e.g. CCC credits) – defaults are likely to remain low. At
97.5 points, the average bid price for European,
performing covenant-lite loans is roughly 1.5 points
lower than those of covenanted loans, which are at 99
points. This suggests that the former remains an
important driver of par building activity. In contrast, their
US counterparts trade within 0.25-0.5 points.
20 October 2015
Credit Research
UniCredit Research UK BTL RMBS COLLATERAL PERFORMANCE
90-plus-day delinquencies in UK BTL collateral hit post-crisis low.
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
Jan-04
Jul-04
Jan-05
Jul-05
Jan-06
Jul-06
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Collateral performance of UK buy-to-let (BTL) RMBS
sees further improvement. Severe delinquencies in
UK BTL RMBS dropped to another post-crisis low in
August, according to Moody’s data. Overall, 90-plus-day
delinquencies dropped by 13bp yoy (to 0.6%) and by
2bp mom. Late-stage arrears fell the most in the
Paragon (-13bp yoy to 0.23%) and the seasoned Aire
Valley (-17bp yoy to 0.81%) portfolios, which together
account for 61.5% of outstanding volumes rated by
Moody’s. As for 60-plus-day delinquencies, the index
dropped by 10bp to 0.32% in August. Importantly,
outstanding volumes rated by the agency have grown by
3.3% yoy to GBP 27.8bn. Regarding 60-90-day arrears,
the trend is broadly unchanged, at 0.15%, which, in light
of lower late-stage arrears, indicates that fewer loans
have entered the bucket, thus supporting the positive
performance trend. The pace of outstanding
repossessions also declined moderately, to 0.08%, while
cumulative losses as a proportion of outstanding
balance increased by 10bp yoy to 0.88%. At 12.9%,
monthly prepayments have risen to their highest level
since August 2014. However, they remain considerably
below their pre-2008 levels of around 20%. Elsewhere,
reduced demand for BTL properties – a result of
mortgage-interest relief being restricted for landlords in
this sector – will, to some degree, weigh on UK houseprice growth. Yet, 2015 is currently on track towards
becoming the best year for BTL mortgage-deal issuance
since the credit crunch.
% of outstanding balance
■
Source: Moody's
page 5
20 October 2015
Credit Research
Deal-Specific Information
Date
Deal name
Event
Description
October 2015
Deco 6 UKLL 2
update
Solutus has now come back with its findings. In a nutshell, the servicer has backed the proposal. Given the looming
July 2017 LFM, Solutus sees little hope of increasing the value of the property in the remaining time. The property is
over-rented so there is little scope to increase income; furthermore there is not enough cash flow being generated to
fund a capex program. The property might increase in value in line with general market moves. However Solutus
notes that the last valuation was based on a 7% yield, compared to a launch yield of 6% in 2005. Solutus got two
updated broker valuations for the property, which came in at GBP 60mn and GBP 70mn - the proposal values the
asset at the upper end of this range.
October 2015
Fairhold
Securitization
update
The amounts due to the swap providers have been enumerated. UBS is claiming GBP 316.6mn, of which GBP
116.85mn is the RPI element which ranks equally with the senior notes. The HBOS swap liability totals GBP 275.6mn,
of which GBP 106.18mn is the RPI hedge.
October 2015
Talisman 6
property sale
One of the two remaining properties backing the defaulted Coconut loan (EUR 56mn, 25.5% of pool, German office
and retail, missed January 2012 due date) has been sold. Schoenefeld raised gross proceeds of EUR 22.2mn, EUR
900,000 above the February 2013 revaluation and also above the original valuation of EUR 16.9mn. The remaining
asset is an office in Dresden valued at EUR 29.5mn at loan inception (~EUR 27.5mn at February 2013 revaluation).
October 2015
Talisman 4
update
The final recovery determination for the DT-12 loan has been reported, the combination of the DPO, property sales
and the cash sweep leading to a figure of EUR 85.54mn versus the loan balance of EUR 155.8mn.
UniCredit Research Source: Concept ABS; ifr, Bloomberg
page 6
20 October 2015
Credit Research
Primary Market
Deal name:
Permanent 2015-1
Closing date:
Oct 14, 2015
Bloomberg ID:
PERMM 2015-1X
[Moody's] [S&P] [Fitch]
Originator:
Bank of Scotland
Lead Managers: Lloyds Banking Group, JP Morgan, ING Bank NV
Swap counterparties: Bank of Scotland, ING Bank NV
Additional description
– UK Prime RMBS by Lloyds/BoS
– Total size of pool: GBP 887 mn
– No. of loans: 245,333
– No. of borrowers: 239,729
– Average contract amount: GBP 97,000
– WA seasoning: 9.3Y
– WART: 13.5Y
– Interest-only: 46.7%
– Interest rate type: 26.6% fixed rate, 68% floating rate indexed to the Halifax Standard Variable Rate
– WA Current LTV: 58.8% (Moody's)
– Regional concentration: United Kingdom (100.00%), London (32.60%), South East England (29.70%), Scotland (9.90%),
North West England (9.40%), York (9.40%), South West England (7.40%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
Spread
A1
USD 400 mn
19.1%
AAA/Aaa/AAA/NR
1.9Y
2042
3m$ + 50 bp
A2
GBP 250 mn
19.1%
AAA/Aaa/AAA/NR
2.9Y
2042
3mL + 60 bp
A3
EUR 500 mn
19.1%
AAA/Aaa/AAA/NR
4.9Y
2042
3mE + 42 bp
A4
GBP 1000 mn
19.1%
AAA/Aaa/AAA/NR
10Y
2042
---.
B
GBP 370 mn
15.3%
AA/Aa2/AA/NR
10Y
2042
---.
M
GBP 270 mn
7.5%
A/A2/A/NR
10Y
2042
---.
C
GBP 370 mn
3.7%
BBB/Baa2/BBB/NR
7Y
2042
---.
Source: Concept ABS, Bloomberg, UniCredit Research
Deal name:
Closing date:
Bloomberg ID:
[Moody's]
Harvest CLO XIV
Oct 16, 2015
HARVT 14X
Originator:
Lead Manager:
– Leveraged loan CLO by 3i Debt Management, marketing
– Revolving period: 4.0Y
– Non-call period: 2.0Y
– Regional concentration: Multi (100.00%)
3i Debt Management Investments
Citibank
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
Spread
A-1A
EUR 139 mn
39.0%
NR/Aaa/AAA/NR
---
2029
3mE + 140 bp
6mE + 145 bp
A-1B
EUR 100 mn
39.0%
NR/Aaa/AAA/NR
---
2029
A-2
EUR 5 mn
39.0%
NR/NR/NR/NR
---
2029
1.8% fixed
B-1
EUR 32 mn
28.5%
NR/Aa1/AA/NR
---
2029
3mE + 215 bp
B-2
EUR 10 mn
28.5%
NR/Aa1/AA/NR
---
2029
2.8% fixed
C
EUR 23 mn
22.0%
NR/A2/A/NR
---
2029
3mE + 300 bp
3mE + 390 bp
D
EUR 25 mn
16.5%
NR/Baa3/BBB/NR
---
2029
E
EUR 24.5 mn
10.38%
NR/Ba2/BB/NR
---
2029
3mE + 550 bp
F
EUR 12 mn
7.38%
NR/B2/B-/NR
---
2029
3mE + 630 bp
Equity
EUR 43.4 mn
0.0%
NR/NR/NR/NR
---
2029
---
20 October 2015
Credit Research
Deal name:
Closing date:
Bloomberg ID:
London & Quadrant Housing Trust
Oct 16, 2015
LONQUA 3 ¾ 10/27/49
Originator:
London & Quadrant Housing
Lead Managers: Barclays Bank PLC, Lloyds Banking Group, Royal Bank of Scotland Plc
– UK social housing bond
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
Spread
A
GBP 250 mn
---
AA/A1/NR/NR
---
2049
+ 135 bp
20 October 2015
Credit Research
Pipeline
ABS
Deal name:
KIMI IV (SCF Rahoituspalvelut I DAC )
Exp. closing date: October 2015
Bloomberg ID:
KIMI 4
[Moody's] [Fitch]
Originator:
Santander Consumer Finance Oy
Lead Managers: Santander GBM, RBC, Bank of America Merrill Lynch
– Finnish Auto ABS by Santander Consumer Finance OY
– Average contract amount: 14,700
– WART: 4.0Y
– Loan type: car loans (new): 36.6%, car loans (used): 63.4%
– Regional concentration: Finland (100.00%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A
EUR 338.7 mn
14.0%
NR/Aaa/AAA/NR
1.25Y
2024
B
EUR 27.2 mn
7.0%
NR/Aa2/AA/NR
3.5Y
2024
C
EUR 5.8 mn
5.5%
NR/A2/A+/NR
3.62Y
2024
D
EUR 3.8 mn
4.5%
NR/Baa1/A-/NR
3.62Y
2024
E
EUR 6.6 mn
2.8%
NR/Ba1/BB+/NR
3.62Y
2024
F
EUR 7.3 mn
0.9%
NR/NR/NR/NR
3.62Y
2024
Spread
Deal name:
VCL Multi-Compartment SA Comp VCL 22
Exp. closing date: Oct 2015
[DBRS]
Originator:
Volkswagen Leasing GmbH
Lead Managers: Bank of America Merrill Lynch, HSBC Bank PLC, Skandinaviska Enskilda Banken AB
– German Auto leases by Volkswagen Leasing GmbH
– No. of loans: 71,875
– Average contract amount: 10,435
– Loan type: car leases (new): 95.7%, car loans (used): 2.1%
– Regional concentration: Germany (100.00%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A
tba
7.9%
NR/Aaa/AAA/AAA
1.24Y
2021
B
tba
5.5%
NR/A1/A+/A (high)
1.94Y
2021
Spread
20 October 2015
Credit Research
RMBS
Deal name:
PENATES FUNDING 5
Bloomberg ID:
PENAT 5
[Moody's] [Fitch]
Originator:
Belfius SA
Lead Managers: ABN Amro, BNP Paribas SA, Royal Bank of Scotland Plc, Santander GBM, Belfius SA
– Belgian RMBS by Belfius Bank NV
– Reserve account: 3.0% (non-amortizing)
– Total size of pool: EUR 1,050 mn
– Average contract amount: EUR 128,800
– WART: 18.1Y
– Arrears: 0
– Interest rate type: 100% fixed rate
– Regional concentration: Belgium (100.00%), Antwerpen (16.00%), Brussels (9.00%), Limburg (Belgium) (7.00%),
Luxembourg (area) (3.00%)
Class
Volume
CE
S&P / M / F / D
WAL
Lfm
A1
EUR 350 mn
20.0%
NR/Aaa/AAA/NR
2Y
2049
A2
EUR 450 mn
20.0%
NR/Aaa/AAA/NR
4.7Y
2049
B
EUR 200 mn
0.0%
NR/NR/NR/NR
5Y
2049
C
EUR 30 mn
0.0%
NR/NR/NR/NR
5Y
2049
Spread
Deal name:
FCT Credit Agricole Habitat 2015
[Moody's]
Originator:
Lead Manager:
Credit Agricole SA
Crédit Agricole CIB
– French bumper RMBS by Credit Agricole - retained
– Reserve account: 2.0%
– WART: 15.5Y
– Interest rate type: 85.9% fixed rate, 14.1% floating rate
– Regional concentration: France (100.00%)
Class
Volume
CE
S&P / M / F / D
A
EUR 8600 mn
14.0%
NR/Aaa/NR/NR
B
EUR 1400 mn
0.0%
NR/NR/NR/NR
WAL
Lfm
Spread
20 October 2015
Credit Research
CLO
Deal name:
Foncaixa Pymes 6
Originator:
Caixabank
Lead Manager: Caixabank
Swap counterparty: None
– Spanish Balance Sheet SME CLO by Caixabank (La Caixa)
– Arrears: > 1 Month Arrears 0.7%
– Regional concentration: Spain (100.00%)
Class
Volume
A
EUR 918.4 mn
NR/Aa3/NR/NR
125 bps
B
EUR 201.6 mn
NR/Caa2/NR/NR
150 bps
CE
S&P / M / F / D
WAL
Lfm
Spread
Deal name:
Tymon Park CLO (GSO)
Originator:
Lead Manager:
GSC Partners
Bank of America Merrill Lynch
– European leveraged loan CLO by GSO Capital Partners
Class
Volume
CE
S&P / M / F / D
A-1A
EUR 238 mn
39.75%
NR/Aaa/AAA/NR
135a
A-1B
Fixed
EUR 10 mn
39.75%
NR/Aaa/AAA/NR
135a
A-2A
EUR 32 mn
28.75%
NR/Aa2/AA/NR
200a
A-2B
Fixed
EUR 10 mn
28.75%
NR/Aa2/AA/NR
200a
B
EUR 24 mn
22.75%
NR/A2/A/NR
290-300
C
EUR 22 mn
17.25%
NR/Baa2/BBB/NR
385-395
D
EUR 26.5 mn
10.63%
NR/Ba2/BB/NR
600a
E
EUR 12 mn
7.63%
NR/B2/B-/NR
790-800
0.0%
NR/NR/NR/NR
Subordin EUR 44 mn
ated
WAL
Lfm
Spread
20 October 2015
Credit Research
Deal name:
ALME Loan Funding IV B.V.
Exp. closing date: Sep 2015
Originator:
Lead Manager:
Apollo Global Management
Deutsche Bank AG
– Leveraged loan CLO by Apollo
– Non-call period: 2.0Y
Class
Volume
A-1
EUR 266.25 mn
A-2
EUR 6 mn
NR/Aaa/AAA/NR
5.4Y
1.79% fixed
B-1
EUR 38.25 mn
NR/Aa2/AA/NR
6.8Y
205
B-2
EUR 13 mn
NR/Aa2/AA/NR
6.8Y
2.67% fixed
C
EUR 24.5 mn
NR/A2/A/NR
7.2Y
290
CE
S&P / M / F / D
WAL
NR/Aaa/AAA/NR
5.4Y
Lfm
Spread
135
D
EUR 23.25 mn
NR/Baa2/BBB/NR
7.6Y
360
E
EUR 29.5 mn
NR/Ba2/BB/NR
8.1Y
550
F
EUR 14.25 mn
NR/B2/B-/NR
8.6Y
650
Sub
EUR 44.54 mn
NR/NR/NR/NR
20 October 2015
Credit Research
Deal Overview
TRANSACTIONS LAUNCHED IN 2015 YTD
Transaction name
BB Ticker
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Transaction Party
Harvest CLO XIV
HARVT 14X
16-Oct-15
CLO
Leveraged Loans
Multi
EUR
413.9
Public
London & Quadrant Housing Trust
LONQUA 3 ¾
10/27/49
16-Oct-15
ABS
Social Housing
United Kingdom
GBP
250
Public
London & Quadrant Housing
Permanent 2015-1
PERMM 20151X
14-Oct-15
RMBS
Prime
United Kingdom
EUR
3,897.20
Retained
Bank of Scotland
Golden Bar (Securitisation) Srl Series 2015-1
GOLDB 2015-1
09-Oct-15
ABS
Consumer Loans (also personal
and purpose)
Italy
EUR
700
Retained
Santander Consumer Bank
Hypenn RMBS IV B.V.
HYPEN 4
01-Oct-15
RMBS
Prime
Netherlands
EUR
588.5
Retained
NN Bank
Avoca CLO XV
AVOCA 15X
25-Sep-15
CLO
Leveraged Loans
Multi
EUR
516.8
Public
KKR Credit Advisors
Taurus 2015-3
TAURS 2015EU3
23-Sep-15
CMBS
Industrial
Multi
EUR
145.8
Public
Driver Espana Two FT
DRVES 2
22-Sep-15
ABS
Auto Loans
Spain
EUR
787.3
Retained
VW Bank
Warwick Finance Residential Mortgages No.2 WARW 2
plc
18-Sep-15
RMBS
Sub-Prime
United Kingdom
GBP
1650
Retained
Co-op Bank PLC
Dukinfield plc
DKFLD 1
10-Sep-15
RMBS
Sub-Prime
United Kingdom
GBP
460
Retained
SPML
Driver UK Three Ltd
DRVUK 3
09-Sep-15
ABS
Auto Loans
United Kingdom
GBP
389.9
Public
Silver Arrow SA Compartment 6
SILVA 6
09-Sep-15
ABS
Auto Loans
Germany
EUR
1100
Retained
Mercedes-Benz Bank AG (Daimler
AG)
Albion No.3
ALBIN 3
09-Sep-15
RMBS
Prime
United Kingdom
GBP
325
Retained
Leeds Building Society
Storm 2015-II B.V.
STORM 2015-2
04-Sep-15
RMBS
Prime
Netherlands
EUR
1275
Retained
Obvion NV
Reitaly Finance Srl
RTLY 2015-1
31-Aug-15
CMBS
mixed CMBS
Italy
EUR
173
Public
Driver Master S.A., Compartment 5
DRIM5 2015-1
25-Aug-15
ABS
Auto Loans
Germany
EUR
1043.7
Retained
Driver Master S.A., Compartment 4
DRIM4 2015-1
25-Aug-15
ABS
Auto Loans
Germany
EUR
1043.7
Retained
WODS TRANSMISSION OFTO
WODTRN 3.446
08/24/34
25-Aug-15
ABS
Infrastructure
United Kingdom
GBP
255
Amicus Mortgage Finance 2015-1
AMF 2015-1
20-Aug-15
RMBS
Other RMBS
United Kingdom
GBP
100
Retained
Amicus Finance
18-Aug-15
ABS
Mixed Lease
Germany
EUR
503
Retained
abcfinance GmbH
Wave Lending Ltd. (Merrill Lynch)
abc SME Lease Germany SA Compartment 2 ABCSL 2
Launch
date
Volkswagen Financial Services
AG
Goldman Sachs
Volkswagen Bank GmbH
WoDS Transmission
Thrones 2015 No.1
THRON 2015-1
14-Aug-15
RMBS
Sub-Prime
United Kingdom
GBP
297.7
Retained
Asti Group RMBS Srl 2015
ASTIG 1
12-Aug-15
RMBS
Prime
Italy
EUR
553.4
Retained
Cassa di Risparmio di Asti SpA
KMU Portfolio SA Compartment 2015-1
KMU 2015-1
12-Aug-15
ABS
Auto Leases
Germany
EUR
150
Retained
AKF Bank
Abruzzo 2015 SME Srl
ABRUS 1
11-Aug-15
CLO
SME loans
Italy
EUR
557
Retained
Banca Popolare di Bari
20 October 2015
Credit Research
Transaction name
BB Ticker
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Transaction Party
Abruzzo 2015 RMBS Srl
ABRUR 1
11-Aug-15
RMBS
Prime
Italy
EUR
462.7
Retained
Banca Popolare di Bari
Asset-Backed European Sec Transaction
Twelve Srl (A-BEST 12)
ABEST 12
10-Aug-15
ABS
Auto Loans
Italy
EUR
800
Retained
FCA Bank Deutschland GmbH
Siena PMI 2015
SIENP 2015-1
06-Aug-15
CLO
SME loans
Italy
EUR
3000
Retained
Monte dei Paschi di Siena
Logistics UK 2015 Plc
LOGIS 2015-1A
31-Jul-15
CMBS
mixed CMBS
United Kingdom
GBP
680
Public
Bavarian Sky S.A. Compartment German
Auto Loans 3
BSKY GER3
31-Jul-15
ABS
Auto Loans
Germany
EUR
800
Retained
DECO 2015 - CHARLEMAGNE
DECO 2015CHRX
31-Jul-15
CMBS
mixed CMBS
Multi
EUR
316.1
Public
Geldilux-TS-2015 S.A.
GELDI 2015-TS
30-Jul-15
CLO
SME loans
Germany
EUR
2022
Retained
UniCredit
Dryden 39 CLO 2015
DRYD 2015-39X
30-Jul-15
CLO
Leveraged Loans
Multi
EUR
415.1
Public
Pramerica
29-Jul-15
ABS
Trade Receivables
Spain
EUR
400
Public
Fortia Energia S.L.
Babson Capital Europe Ltd.
IM Fortia 1, Fondo de Titulizacion
Blackstone Group
BMW Bank
Deutsche Bank AG
Babson Euro CLO 2015-1 BV
BABSE 2015-1X
27-Jul-15
CLO
Leveraged Loans
Multi
EUR
416.2
Public
BBVA Consumo 7 FT
BBVAC 7
27-Jul-15
ABS
and purpose)
Spain
EUR
1450
Retained
Adagio IV CLO
ADAGI IV-X
24-Jul-15
CLO
Leveraged Loans
Multi
EUR
362.3
Public
AXA Investment Managers S.A
Lanark Master Issuer plc Series 2015-1
LAN 2015-1X
24-Jul-15
RMBS
Prime
United Kingdom
EUR
703.7
Public
Clydesdale Bank plc
E-CARAT SA Compartment 8
ECAR 2015-1
24-Jul-15
ABS
Auto Loans
Germany
EUR
474.4
Retained
CFHL-2 2015 FCT
CFHL 2015-2
24-Jul-15
RMBS
Prime
France
EUR
1362
Retained
Credit Foncier de France
23-Jul-15
ABS
Auto Loans
Italy
EUR
1234
Retained
RCI Banque SA
Cars Alliance Auto Loans Italy 2015 Srl
Launch
date
Banco Bilbao Vizcaya Argentaria
S.A.
GMAC Bank / Leasing
Auburn Securities 9 plc
AUBN 9
23-Jul-15
RMBS
Prime - BTL
United Kingdom
GBP
525
Retained
Capital Home Loans Ltd.
Quarzo Srl 2015
QUARZ 2015-1
22-Jul-15
ABS
and purpose)
Italy
EUR
2200
Retained
Mediobanca SpA
Lusso S.r.L
LUSSO 2015-1
17-Jul-15
CMBS
Shopping Mall
Italy
EUR
85
Retained
BNP Paribas SA
Wendelstein 2015-1 UG
WENDL 2015-1
17-Jul-15
RMBS
Prime
Germany
EUR
20300
Retained
Deutsche Bank AG
IM EVO RMBS 1 FT
IMEVO 1
17-Jul-15
RMBS
Prime
Spain
EUR
500
Retained
Evo Banco
Paragon Mortgages (No.23) plc
PARGN 23
16-Jul-15
RMBS
Prime - BTL
United Kingdom
GBP
300
Retained
Paragon Group
Precise Mortgage Funding 2015-2B plc
PMF 2015-2B
16-Jul-15
RMBS
Prime - BTL
United Kingdom
GBP
224.8
Retained
Precise Mortgages
Orange Lion XII B.V.
ORANL 2015-12
15-Jul-15
RMBS
Prime
Netherlands
EUR
5234.4
Retained
ING Bank NV
Thetis Finance No.1 (Sagres STC)
THEFI 1
13-Jul-15
ABS
Auto Loans
Portugal
EUR
646.3
Retained
Black Diamond CLO 2015-1
BLACK 2015-1X
10-Jul-15
CLO
Leveraged Loans
Multi
EUR
417.9
Public
Kingswood Mortgages 2015-1
KNGWD 2015-1
10-Jul-15
RMBS
Prime
Germany
EUR
186.53
Retained
Carlyle Global Market Strategies Euro CLO
2015-2
CGMSE 20152X
10-Jul-15
CLO
Leveraged Loans
Multi
EUR
414.3
Public
Berica ABS 4 Srl
BERAB 4
09-Jul-15
RMBS
Prime
Italy
EUR
946.6
Retained
Credit Agricole Consumer Finance
Black Diamond
Macquarie Bank Limited
CELF (Carlyle Group)
Banca Popolare di Vicenza SCRL
20 October 2015
Credit Research
Transaction name
FCT Ginkgo Debt Conso 2015-1
BB Ticker
GNKGO 2015DC1
Launch
date
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Transaction Party
08-Jul-15
ABS
and purpose)
France
EUR
650
Retained
Harvest CLO XII
HARVT 12X
26-Jun-15
CLO
Leveraged Loans
Multi
EUR
413
Public
Sunrise S.r.l. Series 2015-2
SUNRI 2015-2
26-Jun-15
ABS
and purpose)
Italy
EUR
1110
Retained
Agos SpA
Atlantes SME No. 5
ATLSM 5
25-Jun-15
CLO
SME loans
Portugal
EUR
846
Retained
Banif Banco Inernaticional do
Funchal
FT RMBS Santander 4
SANTR 4
24-Jun-15
RMBS
Prime
Spain
EUR
3097.5
Retained
Banco Santander
Driver Master S.A.- Compartment 3
DRIM3 2015-1
22-Jun-15
ABS
Auto Loans
Germany
EUR
1043.7
Retained
VW Bank
DRIM2 2015-1
22-Jun-15
ABS
Auto Loans
Germany
EUR
1050
Retained
VW Bank
DRIM
22-Jun-15
ABS
Auto Loans
Germany
EUR
770.5
Retained
Newday Funding 2015-1 plc
NDFT 2015-1
15-Jun-15
ABS
Credit Cards
United Kingdom
GBP
282.9
Retained
NewDay
Tikehau CLO B.V.
TIKEH 2015-1X
12-Jun-15
CLO
Leveraged Loans
Multi
EUR
354.7
Public
Highway 2015-1 BV
HIGHW 2015-1
11-Jun-15
ABS
Auto Leases (w/ residual value)
Netherlands
EUR
700
Retained
Mint 2015 plc
MINT 2015-1
11-Jun-15
CMBS
Hotels
Multi
EUR
480.2
Public
Penarth Master Issuer plc Series 2015-2
PENAR 2015-2X
04-Jun-15
ABS
Credit Cards
United Kingdom
EUR
807.3
Public
Lloyds TSB Bank PLC
Driver France FCT Compartment Driver
France Two
DRIFR 2
03-Jun-15
ABS
Auto Loans
France
EUR
481.2
Public
VW Bank
Tikehau Capital Europe Limited
Athlon Car Lease Nederland B.V.
JP Morgan
Orange Lion 2015-11 RMBS BV
ORANL 2015-11
03-Jun-15
RMBS
Prime
Netherlands
EUR
795.1
Retained
ING Bank NV
Sunrise Srl Series 2015-1
SUNRI 2015-1
01-Jun-15
ABS
and purpose)
Italy
EUR
347
Retained
Agos SpA
FTA RMBS Prado I
PRADO 1
29-May-15
RMBS
Prime
Spain
EUR
450
Retained
Union de Creditos Inmobiliarios
MASTER CREDIT CARDS PASS
COMPARTMENT FRANCE SERIES 20151COMPARTMENT FRANCE
SERIESMASTER CREDIT CARDS PASS
COMPARTMENT FRANCE SERIES 2015-1
MCCPF 2015-1
27-May-15
ABS
Credit Cards
France
EUR
558.3
Retained
Carrefour Banque
Silverback Finance Ltd.
SLVBCK
27-May-15
CMBS
Others
Spain
EUR
1325
Private
Euro Galaxy IV CLO
EGLXY 2015-4X
26-May-15
CLO
Leveraged Loans
Multi
EUR
335.05
Public
IBL Finance Srl (IBL CQS 2015)
IBLCQ 2015-1
22-May-15
ABS
and purpose)
Italy
EUR
2233
Retained
IBL Banca SpA
Gosforth Funding 2015-1 plc
GFUND 2015-1
22-May-15
RMBS
Prime
United Kingdom
GBP
1388.9
Retained
Virgin Money
Gemgarto 2015-1 plc
GMG 2015-1
22-May-15
RMBS
Prime
United Kingdom
GBP
483.4
Retained
CPUK Finance Ltd (2015 issue)
CPUK FINANCE
LTD
22-May-15
CMBS
Whole Business
United Kingdom
GBP
490
Public
Dilosk RMBS No. 1 Ltd.
DILSK 1
22-May-15
RMBS
Prime
Ireland
EUR
207.7
Retained
Uro Property Holdings SOCIMI
S.A. (Uro)
PineBridge Investments
Kensington Group
Center Parcs
ICS Building Society
20 October 2015
Credit Research
Transaction name
BB Ticker
Launch
date
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Cairn CLO V B.V.
CRNCL 2015-5X
21-May-15
CLO
Leveraged Loans
Multi
EUR
308.6
Public
Cairn Loan Investments
Cadogan Square CLO VI
CADOG 6X
21-May-15
CLO
Leveraged Loans
Multi
EUR
413.6
Public
Credit Suisse Asset Management
Swiss Credit Card Issuance 2015-1 AG &
2015-2 AG
SCARD
20-May-15
ABS
Credit Cards
Switzerland
CHF
400
Public
Credit Suisse
Globaldrive Auto Receivables 2015-A BV
GLDR 2015-A
20-May-15
ABS
Auto Loans
Germany
EUR
543
Retained
Dutch Residential Mortgage Portfolio I BV
(DRMP I)
DRMP 1
19-May-15
RMBS
Prime
Netherlands
EUR
850
Retained
Achmea Hypotheekbank NV
Avoca CLO XIV Limited
AVOCA 14A A
15-May-15
CLO
Leveraged Loans
Multi
EUR
516.1
Public
FTA Pymes Santander 11
SANFT
14-May-15
CLO
SME loans
Spain
EUR
3753.8
Retained
Santander
Bavarian Sky France Compartment French
Auto Leases 1
BSKY FRE1
13-May-15
ABS
France
EUR
450
Retained
BMW Finance S.N.C.
Orwell Park CLO Ltd.
ORWPK 1X
13-May-15
CLO
Leveraged Loans
Multi
EUR
415
Public
BBVA RMBS 15 FTA
BBVAR 15
11-May-15
RMBS
Prime
Spain
EUR
4000
Retained
KKR Credit Advisors
Blackstone/GSO Corporate
Funding Limited
Banco Bilbao Vizcaya Argentaria
S.A.
Penta CLO 2 B.V.
PENTA 2015-2X
06-May-15
CLO
Leveraged Loans
Multi
EUR
413.9
Public
Delamare cards MTS issuer PLC 2015-1
DELAM 2015-1
06-May-15
ABS
Credit Cards
United Kingdom
GBP
300
Retained
Bluestep Mortgage Securities No.3 Ltd
STEP 3
06-May-15
RMBS
Sub-Prime
Sweden
SEK
3500
Retained
Bluestep Bostadslan Finans AB
Oak Hill European Credit Partners III
OHECP 20153X
30-Apr-15
CLO
Leveraged Loans
Multi
EUR
416.7
Public
Oak Hill Advisors (Europe), LLP
VCL Multi-Compartment S.A. Compartment
21
VCL 21
29-Apr-15
ABS
Auto Leases
Germany
EUR
1064
Public
Volkswagen Leasing GmbH
Warwick Finance Residential Mortgages No.1 WARW 1
Plc
28-Apr-15
RMBS
Sub-Prime
United Kingdom
GBP
2059.7
Retained
Co-op Bank PLC
Claris Lease 2015 S.r.l.
CLARL 2015-1
23-Apr-15
ABS
Mixed Lease
Italy
EUR
473
Retained
Veneto Banca SCRL
Jubilee CLO 2015-XV B.V.
JUBIL 2015-15X
23-Apr-15
CLO
Leveraged Loans
Multi
EUR
450.75
Public
Alcentra Limited
Taurus 2015-2 DEU
TAURS 2015DE2
23-Apr-15
CMBS
mixed CMBS
Germany
EUR
445
Public
Partners Group
Tesco Plc
Emilia SPV S.r.l.
EMILI 1
22-Apr-15
RMBS
Prime
Italy
EUR
1023.77
Retained
SC Germany Vehicles 2015-1 UG
SCGVE 2015-1
21-Apr-15
ABS
Auto Loans
Germany
EUR
700
Retained
Alba 7 SPV S.r.l.
ALSPV 7
17-Apr-15
ABS
Mixed Lease
Italy
EUR
796.9
Retained
Alba Leasing S.p.A.
ALBA 2015-1 PLC
ALBA 2015-1
17-Apr-15
RMBS
Other RMBS
United Kingdom
GBP
273.5
Retained
Paratus AMC
Ochiba 2015 BV
OCHIB 2015-1
14-Apr-15
ABS
and purpose)
Netherlands
EUR
945
Retained
Purple Master Credit Cards Series 2015-1
PMACC 2015-1
09-Apr-15
ABS
Credit Cards
France
EUR
715.4
Retained
CVC Cordatus Loan Fund V
CORDA 5X
01-Apr-15
CLO
Leveraged Loans
Multi
EUR
463.45
Public
31-Mar-15
ABS
Auto Loans
Germany
RevoCar 2015 UG
Transaction Party
Retained
Credito Emiliano SpA
Natixis
CVC Credit Partners Group Ltd
Bank11
20 October 2015
Credit Research
Transaction name
BB Ticker
Launch
date
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Transaction Party
Dolphin Master Issuer BV Series 2015-1
DOLPH 2015-1
30-Mar-15
RMBS
Prime
Netherlands
EUR
7279
Retained
ABN Amro
Asset-Backed European Securitisation
Transaction Eleven UG (haftungsbeschänkt)
(A-BEST 11)
ABEST 11
30-Mar-15
ABS
Auto Loans
Germany
EUR
516
Retained
DECO 2015-HARP Limited
DECO 2015HRPX
27-Mar-15
CMBS
mixed CMBS
Ireland
EUR
175
Public
HYPENN RMBS III B.V.
HYPEN 3
27-Mar-15
RMBS
Prime
Netherlands
EUR
698.9
Retained
Penarth Master Issuer plc Series 2015-1
PENAR 2015-1A
26-Mar-15
ABS
Credit Cards
United Kingdom
EUR
1371.27
Public
E-CARAT 5 plc
ECARA 5
26-Mar-15
ABS
United Kingdom
EUR
716.7
Retained
Deutsche Bank AG
ING Bank NV
Lloyds TSB Bank PLC
GMAC Commercial Mortgage
Bank UK PLC
GLG Euro CLO I
GLGE 1X
26-Mar-15
CLO
Leveraged Loans
Multi
EUR
309.2
Public
Private Driver 2015-1 UG
DRVPR 2015-1
25-Mar-15
ABS
Auto Loans
Germany
EUR
965
Retained
GLG Partners LP
IM Grupo Banco Popular Empresas VI FTA
EMPOP 6
25-Mar-15
CLO
SME loans
Spain
EUR
3000
Retained
Banco Popular Espanol
Quarzo CQS S.r.l.
QUARC 1
25-Mar-15
ABS
and purpose)
Italy
EUR
820
Retained
Mediobanca SpA
BNPP IP Euro CLO 2015-1 BV
BNPAM 20151X
24-Mar-15
CLO
Leveraged Loans
Multi
EUR
308.5
Public
BNP Paribas Asset Management
Grosvenor Place CLO 2015-1
GROSV 20151X
20-Mar-15
CLO
Leveraged Loans
Multi
EUR
361.96
Public
CQS Group
Celeste Mortgage Funding 2015-1 PLC
CELES 2015-1
20-Mar-15
RMBS
Prime - BTL
United Kingdom
EUR
356.8
Retained
GMAC-RFC Ltd.
Volta III Electricity Receivables Securitisation
(Tagus STC)
VERSE 3
18-Mar-15
ABS
Trade Receivables
Portugal
EUR
502.9
Retained
Energias de Portugal
VW Bank
Orbit Capital plc
ORBIT CAPITAL
17-Mar-15
ABS
Social Housing
United Kingdom
EUR
347.9
Public
Orbit Group
Fosse Master Issuer PLC Series 2015-1
FOSSM 20151A
17-Mar-15
RMBS
Prime
United Kingdom
EUR
1450.8
Public
Santander
Paragon Mortgages (No.22) plc
PARGN 22
17-Mar-15
RMBS
Prime - BTL
United Kingdom
EUR
419
Retained
Paragon Group
Storm 2015-1 B.V.
STORM 2015-1
12-Mar-15
RMBS
Prime
Netherlands
EUR
2020
Retained
Obvion NV
Pelican SME No.2 (Sagres STC)
PELIS 2
06-Mar-15
CLO
SME loans
Portugal
EUR
1090
Retained
Finibanco SA
Residential Mortgage Securities 28 plc
RMS 28
06-Mar-15
RMBS
Other RMBS
United Kingdom
GBP
513
Retained
Money Partners Loans Ltd.
Swiss Auto Lease 2015-1 GmbH
SWAUTO 20151
05-Mar-15
ABS
Switzerland
CHF
222.6
Retained
Cembra Money Bank AG
(formerly: GE Money Bank AG)
Red & Black Auto Germany 3 UG
RNBAG 3
05-Mar-15
ABS
Auto Loans
Germany
EUR
960
Retained
Bank Deutsches
Kraftfahrzeuggewerbe AG
Swiss Auto Lease 2015-1 GmbH
SWAUTO 0.23
03/25/19
05-Mar-15
ABS
Switzerland
CHF
200
Public
Cembra Money Bank AG
(formerly: GE Money Bank AG)
Aurium CLO I Limited
ACLO 1X
03-Mar-15
CLO
Leveraged Loans
Multi
EUR
308.77
Public
Spire Partners
Newday Partnership Funding 2015-1 PLC
NDPFT 2015-1
03-Mar-15
ABS
Credit Cards
United Kingdom
GBP
244.25
Public
NewDay
20 October 2015
Credit Research
Transaction name
BB Ticker
Launch
date
Sector
Collateral
Country
Deal
currency
Deal
amount
Placement
Social Housing
United Kingdom
GBP
250
Public
Transaction Party
Swan Housing Capital plc
SWANHS 3 ?
03/05/48
26-Feb-15
ABS
Precise Mortgage Funding 2015-1 PLC
PMF 2015-1
26-Feb-15
RMBS
Sub-Prime
United Kingdom
EUR
291.2
Retained
Charter Court Financial Services
Harvest CLO XI Limited
HARVT 11X
25-Feb-15
CLO
Leveraged Loans
Multi
EUR
414.7
Public
Motor 2015-1 plc
MOTOR 20151X
20-Feb-15
ABS
Auto Loans
United Kingdom
GBP
755
Retained
Auto ABS 2012-3 FTA (remarketing)
COMP 2012-3
18-Feb-15
ABS
Auto Loans
Spain
EUR
668
Public
Banque PSA Finance
Dartry Park CLO Limited
DARPK 1X
18-Feb-15
CLO
Leveraged Loans
Multi
EUR
411.1
Public
Blackstone/GSO Corporate
Funding Limited
18-Feb-15
ABS
Auto Loans
Spain
EUR
668
Public
Banque PSA Finance
Guildford No.1 Plc
GFORD 1
13-Feb-15
RMBS
Prime - BTL
United Kingdom
EUR
1199.3
Retained
Leeds Building Society
Dryden 35 Euro CLO 2014
DRYD 2014-35X
13-Feb-15
CLO
Leveraged Loans
Multi
EUR
442.6
Public
Silverstone Master Issuer Plc Series 2015-1
SMI 2015-1
13-Feb-15
RMBS
Prime
United Kingdom
EUR
2067.4
Public
Nationwide Building Society
Gwynt Y Mor OFTO PLC
GMOFTO 2.778
02/17/34
12-Feb-15
ABS
Infrastructure
United Kingdom
GBP
339.215
Public
Gwynt y Mor
Eurosail UK 2007-4BL Plc
ESAIL 2007-4X
06-Feb-15
RMBS
Sub-Prime
United Kingdom
EUR
498.7
Public
Alliance & Leicester PLC
Heathrow Funding Limited 1.5% 2030
HTHROW 1 ½
02/11/30
03-Feb-15
ABS
Infrastructure
United Kingdom
EUR
750
Public
Heathrow Airport
Richmond Housing Partnership
RHPFNC 3 ¼
02/05/48
29-Jan-15
ABS
Social Housing
United Kingdom
GBP
175
Public
Richmond Housing Partnership
Carlyle Global Market Strategies Euro CLO
2015-1
CGMSE 20151X
29-Jan-15
CLO
Leveraged Loans
Multi
EUR
500
Private
CELF (Carlyle Group)
Taurus 2015-1 IT Srl
TAURS 2015IT1
29-Jan-15
CMBS
Retail
Italy
EUR
286.4
Public
FCT Ginkgo Compartment Personal Loans
2015-1
GNKGO 2015-PL1
27-Jan-15
ABS
and purpose)
France
EUR
750
Retained
Auto ABS 2012-3 FTA (remarketing)
Swan Housing Association Ltd
Pramerica
Tibet CMBS Srl
TIBET 1
22-Jan-15
CMBS
Retail
Italy
EUR
203
Private
Banca IMI
Paragon Treasury Plc
PARTSY 3 ?
01/21/47
21-Jan-15
ABS
Social Housing
United Kingdom
GBP
250
Public
Paragon Treasury
Driver Thirteen UG
DRVON 13
21-Jan-15
ABS
Auto Loans
Germany
EUR
750
Public
Source: ConceptABS, Bloomberg, UniCredit Research
20 October 2015
Credit Research
Last Week's Rating Changes
Date
DealName
Class
ISIN
Agency
From
19-Oct-15
Adagio III
C
XS0262682148
S&P
BBB+
To
A-
19-Oct-15
Adagio III
D
XS0262683203
S&P
B+
BB
19-Oct-15
Adagio III
E
XS0262683971
S&P
CCC+
B+
19-Oct-15
Fastnet Securiites 10 Ltd
A3
XS1143016985
Moody's
Aa3
Aa2
19-Oct-15
Fastnet Securities 6 Ltd
A2
XS0398511997
Moody's
Aa2
Aa1
19-Oct-15
Fastnet Securities 6 Ltd
A3
XS0398512292
Moody's
Aa2
Aa1
19-Oct-15
Scandinavian Consumer Loans III
B
XS0717064785
Fitch
AA
AAA
19-Oct-15
Scandinavian Consumer Loans III
C
XS0717064942
Fitch
A
A+
19-Oct-15
The Higher Education Securitised Investments
A3
XS0085726403
Moody's
Ba2/*-
B3
19-Oct-15
The Higher Education Securitised Investments
A4
XS0085726585
Moody's
Ba2/*-
B3
19-Oct-15
The Higher Education Securitised Investments (Thesis 1)
A3
XS0094829461
Moody's
Ba2/*-
B3
19-Oct-15
The Higher Education Securitised Investments Series No. 1 PLC (THESIS)
A3
XS0085726403
Moody's
Ba2/*-
B3
19-Oct-15
The Higher Education Securitised Investments Series No. 1 PLC (THESIS)
A4
XS0085726585
Moody's
Ba2/*-
B3
16-Oct-15
Aqua Mortgages No.1 (Tagus)
A
XS0400981279
S&P
A
A+
16-Oct-15
Atlantes Mortgage No. 2
B
XS0348690735
S&P
BB
BB+
16-Oct-15
Atlantes Mortgage No. 5 (Gamma STC)
A
XS0472854370
S&P
A
A+
16-Oct-15
Atlantes Mortgage No.1 Plc
A
XS0161394324
S&P
A
A+
16-Oct-15
Atlantes Mortgage No.3
A
XS0395875999
S&P
A
A+
16-Oct-15
Atlantes Mortgage No.3 (Gamma STC) (remarketing)
A
XS0395875999
S&P
A
A+
16-Oct-15
Atlantes Mortgage No.4 (Gamma STC)
A
XS0412478199
S&P
A
A+
16-Oct-15
Atlantes Mortgage No.7 (Gamma STC)
A
PTGAMAOM0014
S&P
A
A+
16-Oct-15
Azor Mortgages No.2 (GAMMA Sociedade de Titualarizacao de Creditos, S.A.)
A
XS0378557234
S&P
A
A+
16-Oct-15
Deco 2014-TULIP ltd
A
XS1117708088
DBRS
AAA/*-
AAA
16-Oct-15
Deco 2014-TULIP ltd
B
XS1117708757
DBRS
AA/*-
AA
16-Oct-15
Douro Mortgages No. 1 (Sagres STC S.A.)
A
XS0236179270
S&P
BBB+
A-
16-Oct-15
Douro Mortgages No. 1 (Sagres STC S.A.)
B
XS0236179601
S&P
BB
BB+
16-Oct-15
Douro Mortgages No.3 (Sagres STC S.A.)
A
XS0311833833
S&P
BB
BB+
16-Oct-15
GSC European CDO IV
C
XS0292650032
Moody's
Aa1
Aaa
16-Oct-15
GSC European CDO IV
D
XS0292648721
Moody's
A3
Aa3
16-Oct-15
GSC European CDO IV
E
XS0292650891
Moody's
Ba1
Baa1
16-Oct-15
Hipototta No.1 Plc
A
XS0173372201
S&P
A/*-
A
16-Oct-15
Hipototta No.1 Plc
B
XS0173373274
S&P
BBB+
A-
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
16-Oct-15
Hipototta No.1 Plc
C
XS0173374322
S&P
BBB+
A-
16-Oct-15
Hipototta No.5 Plc
A2
XS0292898912
S&P
BBB+
A-
16-Oct-15
Hipototta No.5 Plc
B
XS0292899050
S&P
BBB+
A-
16-Oct-15
Hipototta No.5 Plc
C
XS0292900676
S&P
BB
BB+
16-Oct-15
Hipototta No.5 Plc
D
XS0292900833
S&P
BB
BB+
16-Oct-15
Lusitano Mortgages No.1 Plc
A
XS0159068807
S&P
A-
A-/*
16-Oct-15
B
XS0159070456
S&P
BBB+
BBB+/*
16-Oct-15
A
XS0178545421
S&P
BBB+
BBB+/*
16-Oct-15
B
XS0178546742
S&P
BB
BB+
16-Oct-15
Lusitano Mortgages No.4
A
XS0230694233
S&P
BBB+
A-
16-Oct-15
A
XS0268642161
S&P
BB
BB+
16-Oct-15
A
XS0312981649
S&P
BBB
BBB+
16-Oct-15
B
XS0312982290
S&P
BB
BB+
16-Oct-15
Lusitano Mortgages No.7 Ltd
A
XS0388760406
S&P
BBB+
A-
16-Oct-15
Magellan Mortgages No.2 Plc
A
XS0177944690
S&P
A
A+
16-Oct-15
Magellan Mortgages No.3
A
XS0222684655
S&P
BBB+
A-
16-Oct-15
B
XS0222691510
S&P
BBB+
A-
16-Oct-15
C
XS0222691940
S&P
BB
BB+
16-Oct-15
A
XS0260784318
S&P
BBB+
A-
16-Oct-15
B
XS0260784821
S&P
BB
BB+
16-Oct-15
Navigator Mortgage Finance No.1 Plc
A
XS0148609240
S&P
A
A+
16-Oct-15
B
XS0148609596
S&P
BBB+
A-
16-Oct-15
C
XS0148609679
S&P
BB
BB+
16-Oct-15
Pelican Mortgages No. 6 (Sagres STC)
A
PTSSCQOM0006
S&P
BBB+
A-
16-Oct-15
Pelican Mortgages No.2 Plc
A
XS0177081634
S&P
A
A+
16-Oct-15
B
XS0177083259
S&P
BBB+
A-
16-Oct-15
C
XS0177083689
S&P
BB
BB+
16-Oct-15
Pelican Mortgages No.3 (Sagres STC S.A.)
A
XS0293657416
S&P
BB
BB+
15-Oct-15
Bacchus 2007-1 Plc
C
XS0294990394
Moody's
Baa1
Aa3
15-Oct-15
Bacchus 2007-1 Plc
D
XS0294990477
Moody's
B3
Ba3
15-Oct-15
Deco 9 (Pan-European 3) Plc
B
XS0262561946
Fitch
B
CCC
15-Oct-15
Deco 9 (Pan-European 3) Plc
C
XS0262562753
Fitch
CCC
CC
14-Oct-15
Alba 2005-1 Plc
D
XS0235715363
Moody's
Ba2
Baa2
14-Oct-15
Alba 2005-1 Plc
E
XS0235715793
Moody's
B3
B2
20 October 2015
Credit Research
Date
DealName
14-Oct-15
Alba 2006-2 Plc
Class
ISIN
Agency
From
To
B
XS0271530114
Moody's
A3
A2
14-Oct-15
Alba 2007-1 Plc
F
14-Oct-15
Bluestone Securities plc - Series 2007-1
Ba
XS0301708813
Moody's
Ca
B2
XS0300920823
Moody's
A2
Aa2
14-Oct-15
Clavis Securities Plc 2006-1
B1a
14-Oct-15
B1b
XS0255425927
Moody's
Baa3
Baa3/*+
XS0255440728
Moody's
Baa3
14-Oct-15
Baa3/*+
B2a
XS0255426818
Moody's
Ba1
14-Oct-15
Ba1/*+
M2a
XS0255425414
Moody's
A3
A3/*+
14-Oct-15
Deco 11 - UK Conduit 3 Plc
A1a
XS0279810468
S&P
A/*-
A-
14-Oct-15
Eurohome UK Mortgages 2007-2 plc
A2
XS0311691272
Moody's
Aa2
Aaa
14-Oct-15
Eurosail 2006-1 Plc
B1a
XS0253569007
Moody's
Aa2
Aa1
14-Oct-15
Eurosail 2006-1 Plc
B1c
XS0253571243
Moody's
Aa2
Aa1
14-Oct-15
Eurosail 2006-1 Plc
C1a
XS0253572050
Moody's
Ba2
Baa1
14-Oct-15
Eurosail 2006-1 Plc
C1c
XS0253573298
Moody's
Ba2
Baa1
14-Oct-15
Eurosail 2006-1 Plc
D1a
XS0253573611
Moody's
Caa3
Caa1
14-Oct-15
Eurosail 2006-1 Plc
D1c
XS0253574932
Moody's
Caa3
Caa1
14-Oct-15
Eurosail 2006-2BL Plc
B1a
XS0266238715
Moody's
Aa3
Aa1
14-Oct-15
B1b
XS0266244440
Moody's
Aa3
Aa1
14-Oct-15
C1a
XS0266246817
Moody's
Baa2
A2
14-Oct-15
C1c
XS0266250413
Moody's
Baa2
A2
14-Oct-15
D1a
XS0266252625
Moody's
Caa1
B2
14-Oct-15
D1c
XS0266256709
Moody's
Caa1
B2
14-Oct-15
Eurosail 2006-3NC Plc
B1a
XS0271946054
Moody's
Baa1
Aa3
14-Oct-15
C1a
XS0271946484
Moody's
B3
Ba3
14-Oct-15
C1c
XS0271946641
Moody's
B3
Ba3
14-Oct-15
D1a
XS0271946724
Moody's
Ca
Caa3
14-Oct-15
D1c
XS0271947029
Moody's
Ca
Caa3
14-Oct-15
E1c
XS0271947375
Moody's
C
Ca
14-Oct-15
Eurosail 2006-4NP Plc
M1a
XS0275920071
Moody's
Aa3
Aa2
14-Oct-15
Eurosail 2006-4NP Plc
M1c
XS0275921715
Moody's
Aa3
Aa2
14-Oct-15
Eurosail UK 2007-1NC Plc
B1a
XS0284932315
Moody's
Baa2
A3
14-Oct-15
B1c
XS0284947263
Moody's
Baa2
A3
14-Oct-15
C1a
XS0284933719
Moody's
B2
Ba3
14-Oct-15
D1a
XS0284935094
Moody's
Ca
Caa3
14-Oct-15
D1c
XS0284950994
Moody's
Ca
Caa3
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
E1c
XS0284956330
Moody's
C
Ca
14-Oct-15
A2a
XS0308648673
Moody's
Ba2
Ba2/*+
14-Oct-15
A2b
XS0308650224
Moody's
Ba2
Ba2/*+
14-Oct-15
A2c
XS0308659795
Moody's
Ba2
Ba2/*+
B2/*+
14-Oct-15
A3a
XS0308666493
Moody's
B2
14-Oct-15
B1a
XS0311705759
Moody's
Aa3
Aa1
14-Oct-15
Eurosail-UK 2007-5NP Plc
A1a
XS0328024608
Moody's
A3
A3/*+
14-Oct-15
A1c
XS0328025241
Moody's
A3
A3/*+
14-Oct-15
B1c
XS0328025324
Moody's
Caa3
Caa3/*+
14-Oct-15
Eurosail-UK 2007-6NC Plc
A3a
XS0332285971
Moody's
A2
A2/*+
14-Oct-15
Eurosail-UK 2007-6NC Plc
B1a
XS0332286862
Moody's
Caa3
Caa3/*+
14-Oct-15
Foncaixa PYMES 3 FTA
A
ES0338016001
S&P
A-
NR
14-Oct-15
Kensington Mortgage Securities (KMS) plc - Series 2007-1
B1a
XS0292639902
Moody's
B1
Baa3
14-Oct-15
B1b
XS0292651436
Moody's
B1
Baa3
14-Oct-15
B2
XS0292640157
Moody's
Caa2
B2
14-Oct-15
M1a
XS0292639225
Moody's
A2
Aa2
14-Oct-15
M1b
XS0292651196
Moody's
A2
Aa2
14-Oct-15
M2b
XS0292639654
Moody's
Baa3
A1
14-Oct-15
Leek Finance No. 17 Plc
Cc
XS0249478073
Moody's
Aa1
Aaa
14-Oct-15
Ba
XS0271277971
Moody's
Aa3
Aa1
14-Oct-15
Bc
XS0271281817
Moody's
Aa3
Aa1
14-Oct-15
Ma
XS0271277385
Moody's
Aa1
Aaa
14-Oct-15
Mc
XS0271281734
Moody's
Aa1
Aaa
14-Oct-15
Ca
XS0294485403
Moody's
Aa1
Aaa
14-Oct-15
Cc
XS0294486476
Moody's
Aa1
Aaa
14-Oct-15
Da
XS0294486559
Moody's
A1
Aa2
14-Oct-15
Dc
XS0294486716
Moody's
A1
Aa2
14-Oct-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
B
XS0214918533
Moody's
Baa3
A2
14-Oct-15
Marble Arch Residential Securitisation No. 3 (MARS-3)
M2
XS0214917642
Moody's
A1
Aa2
14-Oct-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
D1a
XS0270498180
Moody's
A3
A1
14-Oct-15
Marble Arch Residential Securitisation No. 4 Plc (MARS-4)
D1c
XS0270513913
Moody's
A3
A1
14-Oct-15
Money Partners Securities (MPS) 2 Plc
B1
XS0236413646
Moody's
Baa3
Baa1
14-Oct-15
B1a
XS0254132375
Moody's
Baa3
A3
14-Oct-15
B1b
XS0254132458
Moody's
Baa3
A3
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
B2a
XS0254132706
Moody's
B1
Ba1
14-Oct-15
B2b
XS0254307605
Moody's
B1
Ba1
14-Oct-15
Money Partners Securities (MPS) 4 PLC
B1a
XS0274978450
Moody's
Caa1
Ba3
14-Oct-15
B1b
XS0274979185
Moody's
Caa1
Ba3
14-Oct-15
B2
XS0274980191
Moody's
Ca
Caa2
14-Oct-15
M1a
XS0274969384
Moody's
Baa1
Aa2
14-Oct-15
M1b
XS0274970713
Moody's
Baa1
Aa2
14-Oct-15
M2a
XS0274972685
Moody's
Ba2
Baa2
14-Oct-15
M2b
XS0274974111
Moody's
Ba2
Baa2
14-Oct-15
Mortgages No. 6 Plc
B
XS0206260464
Moody's
Aa3
Aa3/*+
14-Oct-15
Mortgages No. 6 Plc
C
XS0206260894
Moody's
A3
A3/*+
14-Oct-15
Mortgages No. 7 Plc
B
XS0225922383
Moody's
Aa3
Aa1
14-Oct-15
Mortgages No. 7 Plc
C
XS0225922466
Moody's
A3
A2
14-Oct-15
Newgate Funding 2006-1 Plc
Ba
XS0248222142
Moody's
Aa2
Aa1
14-Oct-15
Bb
XS0248866971
Moody's
Aa2
Aa1
14-Oct-15
Ca
XS0248222225
Moody's
Baa3
A1
14-Oct-15
Cb
XS0248867789
Moody's
Baa3
A1
14-Oct-15
D
XS0248867946
Moody's
Caa1
B2
14-Oct-15
E
XS0248222571
Moody's
Ca
Caa3
14-Oct-15
Newgate Funding 2006-2
Ba
XS0257993138
Moody's
Aa3
Aa1
14-Oct-15
Bb
XS0257993302
Moody's
Aa3
Aa1
14-Oct-15
Ca
XS0257994532
Moody's
Ba2
A3
14-Oct-15
Cb
XS0257994888
Moody's
Ba2
A3
14-Oct-15
Da
XS0257995265
Moody's
Caa3
B3
14-Oct-15
Db
XS0257996073
Moody's
Caa3
B3
14-Oct-15
E
XS0257996743
Moody's
C
Caa3
14-Oct-15
M
XS0257992676
Moody's
Aa1
Aaa
14-Oct-15
Cb
XS0272629881
Moody's
Baa3
Baa2
14-Oct-15
E
XS0272622795
Moody's
C
Caa3
14-Oct-15
Mb
XS0272627836
Moody's
Aa1
Aaa
14-Oct-15
Ba
XS0287757255
Moody's
A3
A2
14-Oct-15
Bb
XS0287757412
Moody's
A3
A2
14-Oct-15
Db
XS0287767304
Moody's
Ca
Caa3
14-Oct-15
E
XS0287776636
Moody's
C
Ca
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
F
XS0287778095
Moody's
C
Ca
14-Oct-15
Ma
XS0287755713
Moody's
Aa1
Aaa
14-Oct-15
Mb
XS0287756877
Moody's
Aa1
Aaa
14-Oct-15
A3
XS0332288058
Moody's
Aa2
Aaa
14-Oct-15
Ba
XS0329653934
Moody's
Baa2
A2
14-Oct-15
Bb
XS0329656366
Moody's
Baa2
A2
14-Oct-15
Cb
XS0329656523
Moody's
B1
Ba2
14-Oct-15
D
XS0329654312
Moody's
Caa2
Caa1
14-Oct-15
E
XS0329655129
Moody's
Ca
Caa3
14-Oct-15
Newgate Funding plc Series 2007-2
A3
XS0304280059
Moody's
Aa1
Aaa
14-Oct-15
Bb
XS0304284630
Moody's
Baa2
A3
14-Oct-15
Db
XS0304286254
Moody's
C
Caa3
14-Oct-15
E
XS0304280489
Moody's
C
Ca
14-Oct-15
F
XS0304281024
Moody's
C
Ca
14-Oct-15
M
XS0304280133
Moody's
Aa3
Aa1
14-Oct-15
Preferred Residential Securities 2005-1 Plc
C1C
XS0217070076
Moody's
Aa2
Aa1
14-Oct-15
D1C
XS0217070829
Moody's
B3
Ba2
14-Oct-15
C1a
XS0234209020
Moody's
A1
Aa2
14-Oct-15
D1c
XS0234212594
Moody's
Caa1
Ba3
14-Oct-15
C1a
XS0243658670
Moody's
Aa3
Aa2
14-Oct-15
C1c
XS0243665964
Moody's
Aa3
Aa2
14-Oct-15
D1a
XS0243659728
Moody's
Caa1
Ba3
14-Oct-15
D1c
XS0243666939
Moody's
Caa1
Ba3
14-Oct-15
E1c
XS0243669529
Moody's
C
Ca
14-Oct-15
Preferred Residential Securities 7 Plc
C
XS0183102283
Moody's
A2
Aa1
14-Oct-15
D
XS0183102879
Moody's
Baa1
Aa1
14-Oct-15
D1A
XS0198319575
Moody's
Baa1
A1
14-Oct-15
D1c
XS0198319906
Moody's
Baa1
A1
14-Oct-15
E
XS0198320409
Moody's
Ba1
A3
14-Oct-15
Prime 2006-1 (Funding Limited Partnership)
E1
XS0278572135
S&P
D
NR
A3
14-Oct-15
Residential Mortgage Securities 20 Plc (RMS 20)
B1A
XS0213180432
Moody's
Ba1
14-Oct-15
B1C
XS0213180945
Moody's
Ba1
A3
14-Oct-15
M1A
XS0213177214
Moody's
Aa3
Aa2
14-Oct-15
M1C
XS0213178022
Moody's
Aa3
Aa2
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
M2A
XS0213178709
Moody's
A2
Aa2
14-Oct-15
M2C
XS0213179343
Moody's
A2
Aa2
14-Oct-15
B1a
XS0229743439
Moody's
Baa1
Baa1/*+
14-Oct-15
B1c
XS0229744593
Moody's
Baa1
Baa1/*+
14-Oct-15
B2a
XS0229745723
Moody's
B2
B2/*+
14-Oct-15
B1a
XS0259419264
Moody's
Ba2
Baa3
14-Oct-15
B1c
XS0259419421
Moody's
Ba2
Baa3
14-Oct-15
M1a
XS0259418456
Moody's
Aa3
Aa2
14-Oct-15
M1c
XS0259418530
Moody's
Aa3
Aa2
14-Oct-15
M2a
XS0259418704
Moody's
A3
Aa2
14-Oct-15
M2c
XS0259418969
Moody's
A3
Aa2
14-Oct-15
RMAC 2003-NS1 Plc
A3
XS0163011165
Moody's
Aa3
Aa1
14-Oct-15
RMAC 2003-NS2 PLC
A3
XS0171105439
Moody's
A1
Aa1
14-Oct-15
RMAC 2003-NS3 PLC
A3
XS0177532743
Moody's
A1
Aa2
14-Oct-15
RMAC 2003-NS4 PLC
A3
XS0179780803
Moody's
A1
Aa2
14-Oct-15
RMAC 2004-NS1
A3
XS0185375325
Moody's
A3
A1
14-Oct-15
RMAC 2004-NS3 Plc
B
XS0200804770
Moody's
Baa3
Baa3/*+
14-Oct-15
RMAC 2004-NS3 Plc
M2
XS0200803962
Moody's
A3
A3/*+
14-Oct-15
RMAC 2004-NSP4
B1
XS0206945056
Moody's
Baa2
Baa2/*+
14-Oct-15
RMAC 2004-NSP4
M1
XS0206944596
Moody's
Aa3
Aa3/*+
14-Oct-15
RMAC 2004-NSP4
M2
XS0206944836
Moody's
A2
A2/*+
14-Oct-15
RMAC 2005 NS1
B1
XS0212192669
Moody's
Baa2
A1
14-Oct-15
RMAC 2005 NS1
M1
XS0212190028
Moody's
Aa3
Aa2
14-Oct-15
RMAC 2005 NS1
M2
XS0212191851
Moody's
A2
Aa2
14-Oct-15
RMAC 2005-NS3
M2A
XS0230221763
Moody's
A1
Aa3
14-Oct-15
RMAC 2005-NS3
M2C
XS0230222068
Moody's
A1
Aa3
14-Oct-15
RMAC 2005-NS4 Plc
M2a
XS0235778106
Moody's
A1
Aa1
14-Oct-15
RMAC 2005-NSP2 Plc
B1a
XS0220958465
Moody's
A1
Aa3
14-Oct-15
RMAC 2005-NSP2 Plc
B1c
XS0220961097
Moody's
A1
Aa3
14-Oct-15
RMAC No. 1 Series 2006-NS2 Plc
B1a
XS0257371301
Moody's
Ba2
Baa3
14-Oct-15
RMAC No. 1 Series 2006-NS2 Plc
B1c
XS0257372374
Moody's
Ba2
Baa3
14-Oct-15
RMAC Securities No. 1 Plc (Series 2006-NS1)
B1c
XS0248597543
Moody's
Baa1
A3
14-Oct-15
RMAC Securities No. 1 Plc (series 2006-NS4)
B1a
XS0277450838
Moody's
Caa2
B2
14-Oct-15
B1c
XS0277453691
Moody's
Caa2
B2
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
M1a
XS0277411004
Moody's
Baa1
A1
14-Oct-15
M1c
XS0277437223
Moody's
Baa1
A1
14-Oct-15
M2a
XS0277457841
Moody's
Ba2
Baa3
14-Oct-15
M2c
XS0277445671
Moody's
Ba2
Baa3
14-Oct-15
RMAC Securities No. 1 Series 2007-NS1
B1A
XS0307500479
Moody's
Ca
Caa1
14-Oct-15
B1C
XS0307512219
Moody's
Ca
Caa1
14-Oct-15
M1A
XS0307496264
Moody's
Baa3
A1
14-Oct-15
M1C
XS0307506674
Moody's
Baa3
A1
14-Oct-15
M2C
XS0307511591
Moody's
B2
Baa3
14-Oct-15
Southern Pacific Financing 05-B Plc
B
XS0221840324
Moody's
Aa2
Aa1
14-Oct-15
C
XS0221840910
Moody's
A2
Aa2
14-Oct-15
D
XS0221841561
Moody's
Caa2
Ba3
14-Oct-15
E
XS0221842023
Moody's
C
Caa1
14-Oct-15
Southern Pacific Financing 2006-A Plc
B
XS0241082287
Moody's
Aa2
Aa1
14-Oct-15
Southern Pacific Securities (SPS) 2004-1 Plc
B
XS0186715222
Moody's
A1
Aa2
14-Oct-15
C1a
XS0196615396
Moody's
Aa3
Aa2
14-Oct-15
C1c
XS0196616360
Moody's
Aa3
Aa2
14-Oct-15
D1a
XS0196616527
Moody's
Baa2
A1
14-Oct-15
D1c
XS0196618069
Moody's
Baa2
A1
14-Oct-15
E
XS0196618499
Moody's
B3
Ba1
14-Oct-15
D1c
XS0212692122
Moody's
B3
Ba1
14-Oct-15
E
XS0212692478
Moody's
Ca
Caa1
14-Oct-15
C1a
XS0225865483
Moody's
A2
Aa2
14-Oct-15
C1c
XS0225876688
Moody's
A2
Aa2
14-Oct-15
D1a
XS0225877652
Moody's
Caa2
Ba3
14-Oct-15
E1c
XS0225879278
Moody's
C
Ca
14-Oct-15
C1a
XS0235516324
Moody's
Ba2
A2
14-Oct-15
C1c
XS0235516753
Moody's
Ba2
A2
14-Oct-15
D1a
XS0235516837
Moody's
Caa2
B2
14-Oct-15
D1c
XS0235517215
Moody's
Caa2
B2
14-Oct-15
E1c
XS0235517728
Moody's
C
Ca
14-Oct-15
C1a
XS0240951185
Moody's
Baa2
A1
14-Oct-15
C1c
XS0240952076
Moody's
Baa2
A1
14-Oct-15
D1a
XS0240952316
Moody's
Caa1
B2
20 October 2015
Credit Research
Date
DealName
Class
ISIN
Agency
From
To
14-Oct-15
D1c
XS0240953470
Moody's
Caa1
B2
14-Oct-15
Uropa Securities Plc
A4a
XS0311809452
Moody's
Baa1
A3
14-Oct-15
Uropa Securities Plc
A4b
XS0311809882
Moody's
Baa1
A3
14-Oct-15
VCL Master Residual Value S.A., Compartment 1
2014-1
XS1028409925
DBRS
AAA
NR
Aa1
13-Oct-15
Axius European CLO
B
XS0322030866
Moody's
Aa3
13-Oct-15
Axius European CLO
C
XS0322031088
Moody's
A3
A2
13-Oct-15
Boyne Valley BV
C-1
XS0235642971
Moody's
Aa3
Aaa
13-Oct-15
Boyne Valley BV
C-2
XS0235647426
Moody's
Aa3
Aaa
13-Oct-15
Boyne Valley BV
D
XS0235646709
Moody's
Baa2
A1
13-Oct-15
Boyne Valley BV
E
XS0235648408
Moody's
Ba3
Ba2
13-Oct-15
Boyne Valley BV
S
XS0235656419
Moody's
Aa1
Aaa
13-Oct-15
Talisman 5 Finance PLC
A
XS0278333736
S&P
BBB+
BB
13-Oct-15
B
XS0278334460
S&P
BB-
B-
13-Oct-15
C
XS0278334973
S&P
CCC
CCC-
13-Oct-15
Wood Street CLO II B.V.
C
XS0246684103
Moody's
A1
Aa1
13-Oct-15
D
XS0246685332
Moody's
Ba2
Baa3
13-Oct-15
E
XS0246685845
Moody's
B1
Ba3
Source: Rating Agencies, Bloomberg, UniCredit Research
20 October 2015
Credit Research
Rating Drift
RATING DRIFT: 90-DAY MOVING AVERAGE
3
RATING DRIFT: 1Y MOVING AVERAGE
RATING ACTIONS PER SECTOR: LAST 90-DAYS
Upgrades
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
402
Number of rating actions
1
1
0
0
-1
-1
-2
-2
-3
-3
199
77
34
12
13
5
13
55
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Oct-07
Apr-07
Oct-06
Apr-06
Oct-05
-4
Apr-05
Oct-15
Apr-15
Oct-14
Apr-14
Oct-13
Apr-13
Oct-12
Apr-12
Oct-11
Apr-11
Oct-10
Apr-10
Oct-09
Apr-09
Oct-08
Apr-08
Oct-07
Apr-07
Oct-06
Apr-06
Oct-05
Apr-05
Oct-04
-5
Oct-04
-4
Downgrade
ABS
CDO
CLO
CMBS
84
RMBS
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.
20 October 2015
Credit Research
Primary Market Comparison
AUTO ABS, NEW ISSUANCE COMPARISON
100
TURBF 5 B
ECARA 4 B
DRVUK 2 B
ABEST 10 B
90
Issuance spread (bp)
80
DRVUK 3 B
ABEST 11 B
ECAR 2015-1 B
DRIFR 2 B
DRVPR 2014-4 BDRVON 13 B
VCL 21 B
VCL 20 B BUMP 6 B
DRVES 2 A
ABEST 10 A
MOTOR 2015-1X A2
ECAR 2014-2 B CAR 2014-F1V B
70
BSKY GER2 B
60
50
ECARA 5 B
TURBF 5 ABUMP 6 A
ABEST 11 A
HIGHW 2015-1 A DRVUK 3 A
ECARA 4 A
ECARA 5 A
BILK 6 A CAR 2014-F1V A
ECAR 2014-2 A
BSKY FRE1 A
GLDR 2014-B A
RNBAG 3 A
30
VCL 20 A
GLDR 2015-A A ECAR 2015-1 A
SILVA 6 A
DRVPR
2014-4
A
BSKY
GER2
A
SILVA
5
A
20
DRVON 13 A
BSKY GER3 A
VCL 21 A
DRIFR 2 A
10
DRVUK 2 A
40
0
Jun-14
Sep-14
Dec-14
Mar-15
Auto 1mL Issues
Jun-15
Sep-15
Dec-15
Auto 1mE Issues
Source: UniCredit Research
EUROPEAN RMBS, NEW ISSUANCE COMPARISON
3mE Issues
3mL Issues
110
Issuance spread (bp)
100
GMG 2015-1 A
KNGWD 2015-1 A
PRADO 1 A
DILSK 1 A
90
80
70
60
50
40
30
20
ALBIN 3 A
PERMM 2015-1X A2
LAN 2014-2X 2A
LAN 2015-1X 1A
GFUND 2015-1 A2
LAN 2015-1X 2A HYPEN 4 A2
SAEC 15 A2 LAN 2014-2X 1A
PERMM 2015-1X A3
CFHL 2015-2 A2A
ARENA 2014-2NHG A2
GFUND 2015-1 A1
STORM 2015-2 A
SMI 2015-1X 1A
DOLPH 2014-3 A
FOSSM
SMI 2015-1X
2A12015-1A A2
STORM 2014-3 A2
ORANL 2015-11 A
HYPEN
3 A2A
STORM
2015-1
CFHL 2015-2 A1 HYPEN 4 A1
SAEC 15 A1 ARENA 2014-2NHG A1
DRMP 1 A2
STORM 2014-3 A1
HYPEN 3 A1
DRMP 1 A1
10
Sep 14
Dec 14
Mar 15
Jun 15
Sep 15
Dec 15
20 October 2015
Credit Research
Market Statistics
ISSUANCE BY ASSET CLASS
700
EUR bn equivalent
164.7
500
415.7
400
Nov
CMBS
223.5
164.7
212.2
149.2
600
500
400
300
200
100
0
2008
2009
2010
2011
2012
2013
2014
2007
2015
Source: UniCredit Research, Bloomberg, ConceptABS
CDO
UK
Netherlands
Spain
Italy
Germany
France
Portugal
Other
1,800
1,600
1,600
1,400
1,400
2013
2014
2015
Sep-15
Sep-14
Sep-13
Sep-12
0
Sep-11
200
page 30
A
BBB
BB
B
CCC
CC
600
0
AA
800
400
Sep-10
Sep-15
Sep-14
Sep-13
Sep-12
Sep-11
Sep-10
Sep-09
Sep-08
0
Sep-07
2012
1,000
200
Sep-09
200
Sep-06
2011
1,200
400
Sep-08
400
600
Sep-07
600
800
Sep-06
800
1,000
Sep-05
1,000
1,200
Sep-04
1,200
Volume (EUR bn)
1,800
1,400
AAA
2,000
1,800
Sep-05
2010
TOTAL ABS OUTSTANDING BY RATING
2,000
Sep-04
2009
2,000
UniCredit Research 2008
Dec
TOTAL ABS OUTSTANDING ABS BY COUNTRY
CLO
Spain
Retained
Sep-15
Oct
Italy
Other
Sep-14
Sep
Volume (EUR bn equivalent)
Volume (EUR bn)
346.1
300
2007
Aug
1,600
368.5
0
Jul
Netherlands
Multi
700
600
100
Jun
United Kingdom
Germany
800
648.9
200
TOTAL ABS OUTSTANDING BY SECTOR
ABS
900
Sep-13
152.0
151.2
126.0
130.7
113.4
127.1
101.7
113.5
800
RMBS
Retained
Sep-12
May
CMBS
Sep-11
Apr
CLO
Sep-10
Mar
CDO
Sep-09
Feb
RMBS
816.2
Sep-08
Jan
ABS
900
Sep-07
0
2015
Sep-06
50
97.3
100
79.6
97.9
150
6.3
4.0
3.2
16.9
8.6
12.0
29.5
19.5
37.6
38.6
43.6
47.5
64.1
EUR bn equivalent
200
170.4
202.4
2014
212.2
2013
250
ISSUANCE BY COUNTRY
EUR bn equivalent
CUMULATIVE ISSUANCE
20 October 2015
Credit Research
PUBLIC ISSUANCE (EXCL. RETAINED DEALS)
PERCENTAGE BY DEAL TYPE IN 2015
PERCENTAGE BY DOMICILE OF ASSETS IN 2015
Other
8.3%
RMBS
35.1%
ABS
38.8%
PERCENTAGE BY CURRENCY IN 2015
USD
5%
Netherlands
9.3%
Multi
17.0%
Other
1%
GBP
28%
United Kingdom
35.6%
CMBS
7.6%
CLO
18.4%
Germany
16.8%
CDO
0.0%
EUR
66%
Italy
6.5%
2015 YTD
Source: Bloomberg, UniCredit Research
ISSUANCE IN EUR BN
ISSUANCE IN EUR BN
2013
YTD
2013
total
2014
YTD
2014
total
2015
YTD
Domicile of
Assets
2013
YTD
ABS
15.6
29.1
27.8
33.9
26.7
Netherlands
CDO
0.0
0.0
0.0
0.0
0.0
CLO
7.1
10.0
13.0
16.4
12.7
7.3
9.0
4.1
5.2
5.3
RMBS, thereof
19.4
21.0
24.6
27.5
24.1
Netherlands
14.2
15.1
9.0
9.7
5.9
5.0
5.2
11.4
13.1
14.4
United Kingdom
2015 YTD
2013
total
2014
YTD
2014
total
2015
YTD
7.8
11.0
6.4
EUR
37.3
48.4
43.2
53.1
45.7
27.7
24.4
GBP
9.2
17.3
22.5
25.1
19.1
Spain
0.2
0.8
0.4
0.4
4.2
USD
1.5
2.1
3.4
4.3
3.2
1.4
1.4
0.5
0.5
0.8
49.3
69.1
69.6
83.0
68.8
1.6
2.9
7.1
10.5
4.4
Other
11.4
16.1
7.5
9.4
11.5
Total
Multi
4.3
7.8
9.9
14.5
11.7
Ireland
0.0
0.5
0.0
0.0
0.4
Italy
Germany
0.1
0.1
1.1
Other
4.1
7.2
4.5
9.5
5.7
3.7
0.2
Total
44.6
69.1
55.5
83.0
68.8
0.0
0.0
0.2
0.9
2.5
Total
49.3
69.1
69.6
83.0
68.8
2015
YTD
18.3
3.2
0.9
2014
total
15.1
0.0
0.0
2014
YTD
18.8
0.0
0.7
2013
total
9.6
0.0
0.0
2013
YTD
13.4
0.0
0.2
Currency
United Kingdom
Italy
Other
ISSUANCE IN EUR BN
Spain
Germany
2015 YTD
Asset class
CMBS
Spain
6.1%
20 October 2015
Credit Research
RETAINED DEALS
PERCENTAGE BY DEAL TYPE IN 2015
PERCENTAGE BY DOMICILE OF ASSETS IN 2015
ABS
21.2%
Multi
0%
PERCENTAGE BY CURRENCY IN 2015
USD
0.0%
GBP
9.7%
Other
5%
Netherlands
18%
Germany
31%
United Kingdom
10%
CLO
14.9%
RMBS
63.9%
EUR
90.3%
Italy
17%
CMBS
0.0%
Spain
19%
2015 YTD
2015 YTD
ISSUANCE IN EUR BN
Asset class
2014 total
2015 YTD
21.5
17.0
CDO
0.0
0.0
CLO
27.3
12.0
0.1
0.0
CMBS
RMBS, thereof
Netherlands
United Kingdom
Spain
Italy
Germany
ISSUANCE IN EUR BN
ABS
80.3
51.4
5.6
13.0
6.5
7.7
17.2
7.0
2.6
0.0
3.0
20.3
Other
48.4
0.4
Total
129.1
80.4
2015 YTD
Domicile of
Assets
ISSUANCE IN EUR BN
2014 total
2015 YTD
Netherlands
15.2
14.2
United Kingdom
16.3
8.2
Spain
26.8
15.3
Italy
10.6
13.6
Germany
9.2
25.1
Multi
0.0
0.0
Ireland
2.1
0.0
Other
49.0
3.9
Total
129.1
80.4
Currency
2014 total
2015 YTD
EUR
112.7
72.6
GBP
16.1
7.8
USD
0.0
0.0
Other
0.3
0.0
Total
129.1
80.4
20 October 2015
Credit Research
RATING DISTR.OF FUNDED TRANCHES IN EUR BN
2013 total
140
2014 total
QUARTERLY ISSUANCE BY COUPON TYPE
2015 YTD
Fixed
90
80
49.1
70
NR
ISSUANCE IN EUR BN
AAA
AA
A
30.7
52.4
44.9
2013
YTD
2013
total
2014
YTD
2014
total
2015
YTD
62.0
81.5
100.9
115.4
57.0
Fixed
23.2
31.1
58.6
65.9
22.9
5.2
7.6
9.8
22.0
34.6
Floating
98.2
133.6
108.1
146.2
126.2
Total
121.4
164.7
166.7
212.2
149.2
22.0
32.6
22.1
30.7
16.6
2.6
4.1
5.2
6.6
4.2
sub BBB
2.4
3.4
3.2
6.8
3.9
Total
ISSUANCE IN EUR BN
BBB
NR
0.6
5.3
2015 Q4
sub BBB
51.5
2015 Q3
BBB
38.8
2015 Q2
A
6.9
2015 Q1
AA
2013 Q4
AAA
2013 Q3
2013 Q1
0
2013 Q2
0
20
33.7
10
4.3
2014 Q3
40
4.9
2014 Q2
20
4.0
2014 Q1 15.3
30
6.1
10.1
4.3
41.2
40
29.5
60
11.7
50
38.4
80
9.2
8.6
60
24.5
in bn EUR
100
2014 Q4
120
in bn EUR
Floating
100
12.1
15.1
18.9
23.2
12.2
106.2
144.3
160.2
204.8
128.4
2013
YTD
2013
total
2014
YTD
2014
total
2015
YTD
20 October 2015
Credit Research
Delinquency Data
Arkle
Granite
Langton
Index
Index (EMEA)
3.0
8.0
Arran
Greenock
Others
Fosse
Holmes
Permanent
Gracechurch
Lanark
Silverstone
2.5
7.0
3.0
2.0
6.0
2.5
(%)
4.0
Index
UK NON-CONFORMING 90+ DAY DELINQUENCIES
2001-2004
30
2005
2006
2007
Mar-15
Mar-14
Sep-14
Mar-13
Sep-13
Mar-12
Sep-12
Mar-11
Sep-11
Mar-10
Sep-10
Mar-09
Mar-05
Jun-15
Jun-14
Dec-14
Jun-13
Dec-13
Jun-12
Dec-12
Jun-11
Dec-11
Jun-10
Dec-10
Jun-09
Source: Moody's, UniCredit Research
2005
2007
2009
2011
Index (Prime)
SPANISH RMBS 90+ DAY DELINQUENCIES
2008
1997-2005
2008
2011
Index
4.5
2006
2009
2012-2014
2007
2010
Index
4.0
25
3.5
3.0
15
(%)
(%)
20
10
2.5
2.0
1.5
1.0
5
0.5
UniCredit Research Source: Moody's, UniCredit Research
page 34
Jun-15
Dec-14
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Dec-10
Jun-10
Dec-09
Jun-09
Dec-08
Jun-08
Dec-07
Jun-07
Dec-06
0.0
Jun-06
Aug-15
Feb-15
Aug-14
Feb-14
Aug-13
Feb-13
Feb-12
Aug-12
Feb-11
Aug-11
Feb-10
Aug-10
Feb-09
Aug-09
Aug-08
Feb-08
Aug-07
Feb-07
Aug-06
Feb-06
0
Aug-05
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
Dec-13
Jun-14
Dec-14
Jun-15
(%)
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
Dec-09
Jun-08
Dec-08
Jun-07
Dec-07
Jun-06
Dec-06
Jun-05
Dec-05
0.0
Jun-04
0.5
0.0
DUTCH RMBS 60+ DAY DELINQUENCIES
2008
2012/2013
2.0
1.0
Dec-04
Feb-15
Aug-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
Aug-05
0.0
2007
2011
1.0
2.0
0.5
2006
2010
1.5
3.0
1.0
2005
2009
Sep-09
(%)
(%)
1.5
2000-2004
3.5
5.0
4.0
Mar-08
UK
Sep-08
Italy
Mar-07
Spain
Sep-07
Portugal
Mar-06
Germany
ITALIAN RMBS 90+ DAY DELINQUENCIES
Sep-06
France
UK PRIME RMBS 90+DAY DELINQUENCIES
Sep-05
AUTO ABS 60+ DAY DELINQUENCIES
20 October 2015
Credit Research
Market Spreads
EUROPEAN PRIME RMBS (SENIOR TRANCHES, WAL>2Y)
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
UK Non-Conforming RMBS (AA) 5-10Y WAL
UK Non-Conforming (A) 5-10Y WAL
350
200
150
Spread (bp)
Spread (bp)
250
200
150
100
50
0
Oct-13 Jan-14 Apr-14
Jul-14
Oct-14
Jan-15 Apr-15
Jul-15
Apr-14
Oct-14
EUROPEAN PRIME RMBS (BBB, WAL>2Y)
1,000
50
40
30
10
0
Oct-13
Oct-15
European Auto ABS AAA (ex Germany)
20
100
50
Germany ABS Auto Loans AAA
France Auto Loan ABS AAA
60
250
300
Germany ABS Auto Leases AAA
70
300
400
Spread (bp)
EUROPEAN ABS (SENIOR TRANCHES, WAL >0.2)
Apr-15
0
Oct-13
Oct-15
Jan-14 Apr-14
Jul-14
Oct-14
EUROPEAN CMBS (AA, WAL>2Y)
Portugal Prime RMBS (BBB) 2-10Y WAL
Spain Prime RMBS (BBB) 5-10Y WAL
Italian Prime RMBS (BBB) 5-10Y WAL
Jan-15 Apr-15
Jul-15
Oct-15
OTHER EUROPEAN ABS
German
CMBS
(AA)WAL>1Y
WAL>1Y
German
CMBS
(AA)
500
Italian Lease (A) WAL>0.24Y
Italian Lease (BBB) WAL>0.24Y
300
900
400
250
600
500
400
Spread (bp)
700
Spread (bp)
Spread (bp)
800
200
150
100
200
50
100
Jul-14
Jul-15
Oct-15
0
Oct-13
Jan-14 Apr-14
Jul-14
Oct-14
UniCredit Research 200
100
300
0
300
Jan-15 Apr-15
Jul-15
Oct-15
page 35
0
Oct-13 Jan-14 Apr-14 Jul-14
Oct-14 Jan-15 Apr-15 Jul-15
Oct-15
20 October 2015
Credit Research
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:
UniCredit Group and its subsidiaries are subject to regulation by the European Central Bank
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
A2A 2, 3; Aareal Bank 3; ABN Amro Bank 3; Accor 3; Acea 3; Airbus Group 3; Akzo Nobel 3; Allianz 1b; Allied Irish Banks 3; Amgen 3; ArcelorMittal 3; Assicurazioni Generali 3; Astaldi 3; AT&T 3; Atlantia 3; Autostrada B. V. V. P. 3; AXA 3; Banca Carige 2, 3;
Banca P. Emilia Romagna 3; Banca Popolare di Milano 2; Banca Popolare di Vicenza 3; Banco de Sabadell 3; Banco Espirito Santo 3; Banco Popolare Scarl 3; Banco Popular Espanol 3; Bank für Tirol und Vorarlberg 1a, 6a; Bank of America 3; Bank of Montreal
3; Bankinter 3; Barclays 3; Bayer 3; BBVA 3; BCP 3; BKS Bank 1a, 6a; BMW 3; Bouygues 3; Buzzi Unicem 3; Caja Mediterraneo 3; Cap Gemini 3; Cassa Depositi e Prestiti 3; Citigroup 3; Continental 3; Daimler 3; Danske Bank 3; Deutsche Bank 3; Deutsche
Postbank 3; Deutsche Wohnen 2; DNB 3; DZ Bank 3; E.ON 3; EDF 3; Edison 3; EDP 3; Eika BoligKreditt 3; Enel 3; Engie 3; ENI 3; Eurohypo AG 3; European Investment Bank 3; European Union 3; EVN 3; EWE 3; Exor 3; FCA Bank 3; Finmeccanica 3; FMS-WM
3; Freistaat Bayern 3; Fresenius 2; Gazprom 3; GE (industrial) 3; Goldman Sachs 3; Hera 3; HSBC 3; Hypothekenbank Frankfurt 3; HypoVereinsbank 3; Iberdrola 3; IGT 3; IKB 3; Intesa Sanpaolo 2, 3; IPIC 1b; Kering 3; KPN 3; Kreditanstalt für Wiederaufbau 3;
Land Baden-Württemberg 3; Land Berlin 3; Land Hessen 3; Land Nordrhein-Westfalen 3; Landesbank Berlin 3; Landwirtschaftliche Rentenbank 3; LBBW 3; Lloyds Banking Group 3; Luxottica 3; LVMH 3; Mediobanca 1a, 3, 6a; MOL 1a; Morgan Stanley 3;
Münchener Hypothekenbank 3; New World Resources 3; Nord/LB 3; Nordea 3; Norilsk Nickel 3; Novartis 3; Oberbank 1a, 6a; OMV 3; Orange 3; Pfizer 3; PGNiG 3; PKN Orlen 3; PKO Bank 3; Procter & Gamble 3; Prysmian 3; PZU 3; Raiffeisen Bank Int. 3; RBS 3;
Renault 3; Repsol 3; Royal Bank of Canada 3; Saarland 3; Saint-Gobain 3; Salini Impregilo 3; Sanofi-Aventis 3; SAP 3; SEB 3; Severstal 3; SIAS 2; Siemens 3; Sixt 3; Snam 3; Société Générale 2, 3; Suez Alliance 3; Suez Environnement 3; Svenska
Handelsbanken 3; Swedbank 3; Swisscom 2; Syngenta 2; Telecom Italia 2, 3; Telefonica 2; Telekom Austria 3; Terna 3; ThyssenKrupp 3; Time Warner 3; TVN 3; UBI Banca 3; UBS 3; UniCredit 2, 3; UniCredit Bank Austria 3; Unilever 3; Unipol 3; Verbund 3;
Vestas 3; Vivendi 3; Vodafone 3; Volkswagen 3; Vonovia SE 2; Wells Fargo & Co 3; Wienerberger 3
Key 1a: UniCredit Bank AG and/or any related legal person owns at least 2% of the capital stock of the analyzed company.
Key 1b: The analyzed company owns at least 2% of the capital stock of UniCredit Bank AG and/or any related legal person.
Key 2: UniCredit Bank AG and/or any related legal person has been lead manager or co-lead manager over the previous 12 months of any publicly disclosed offer of financial instruments of the analyzed company, or in any related derivatives.
Key 3: UniCredit Bank AG and/or any related legal person 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 5: The analyzed company and UniCredit Bank AG and/or any related legal person have concluded an agreement on the preparation of analyses.
Key 6a: Employees or members of the Board of Directors of UniCredit Bank AG and/or any other employee that works for UniCredit Research (i.e. the joint research department of the UniCredit Group) and/or members of the Group Board (pursuant to relevant
domestic law) are members of the Board of Directors of the analyzed company. Members of the Board of Directors of the analyzed company hold office in the Board of Directors of UniCredit Bank AG (pursuant to relevant domestic law). The application of this Key
6a is limited to persons who, although not involved in the preparation of the analysis, had or could reasonably be expected to have access to the analysis prior to its dissemination to customers or the public.
20 October 2015
Credit Research
Key 6b: The analyst is on the Supervisory Board/Board of Directors of the company they cover.
RECOMMENDATIONS, RATINGS AND EVALUATION METHODOLOGY
Company
Date
Rec.
Company
AAFFP
24/07/2015
Buy
EDCLLI
ABESM
02/04/2015
Marketweight
EDCLLI
ABESM
02/03/2015
Marketweight
EDF
ABESM
02/03/2015
Restricted
EDF
ABESM
02/03/2015
Restricted
EDPPL
ABGSM
24/09/2015
Hold
EDPPL
ABGSM
03/08/2015
Sell
EITIM
ACAFP
02/04/2015
Marketweight
EITIM
ACAFP
10/03/2015
Restricted
ELIASO
ADSGR
11/03/2015
Hold
ELIASO
AEMSPA
02/04/2015
Marketweight
ELIASO
AEMSPA
18/02/2015
Restricted
ENEASA
AIFP
30/07/2015
Marketweight
ENELIM
AIRFP
14/11/2014
Marketweight
ENELIM
AIRFP
20/10/2014
Restricted
ENELIM
AKEFP
31/07/2015
Overweight
ENGSM
ALBALN
08/09/2015
Buy
ENIIM
ALBALN
17/04/2015
Hold
ENIIM
ALFARU
19/01/2015
Hold
ENIIM
ALRSRU
24/03/2015
Buy
ENIIM
ALTICE
17/02/2015
Buy
ENIIM
ALTICE
23/01/2015
Restricted
ENIIM
ALTICE
16/12/2014
Buy
EOANGR
AMSSM
05/10/2015
Restricted
EOANGR
ANNGR
23/03/2015
Restricted
EOFP
ANNGR
30/10/2014
Marketweight
ESTONE
ANTOLN
29/07/2015
Buy
ETLFP
ANTOLN
09/06/2015
Hold
EUROCA
ANTOLN
21/04/2015
Sell
EUROCA
ANTOLN
01/12/2014
Hold
EUROCA
ARRFP
21/10/2014
Underweight
EVEVRV
ASML
16/04/2015
Marketweight
EVEVRV
ASSGEN
31/07/2015
Marketweight
EVKGR
ASSGEN
06/11/2014
Restricted
EVKGR
ASTIM
15/05/2015
Restricted
EVRAZ
ATCOA
21/10/2014
Marketweight
EXOIM
ATLIM
11/05/2015
Marketweight
EXOIM
ATLIM
13/02/2015
Restricted
EXOIM
BABLN
06/11/2014
Overweight
F
BACARD
19/05/2015
no recommendation
F
BACRED
07/11/2014
Restricted
FCAIM
BATSLN
02/04/2015
Marketweight
FCAIM
BATSLN
10/03/2015
Restricted
FIREIT
BAYNGR
05/12/2014
Marketweight
FNCIM
BAYNGR
07/11/2014
Restricted
FNCIM
BERTEL
09/04/2015
Marketweight
FTEAU
BGGRP
09/04/2015
Marketweight
FTEAU
BGGRP
27/03/2015
Underweight
GALPPL
BGGRP
06/03/2015
Restricted
GAMENT
BMW
05/02/2015
Marketweight
GAMENT
BMW
09/01/2015
Restricted
GASSM
UniCredit Research Date
21/01/2015
19/01/2015
07/10/2015
09/03/2015
05/03/2015
05/03/2015
29/07/2015
05/12/2014
17/08/2015
14/08/2015
10/08/2015
01/10/2015
29/06/2015
05/02/2015
12/01/2015
25/02/2015
06/10/2015
02/09/2015
23/04/2015
19/02/2015
05/02/2015
27/01/2015
12/08/2015
11/03/2015
17/03/2015
03/08/2015
02/02/2015
08/07/2015
16/06/2015
24/04/2015
02/02/2015
16/12/2014
04/08/2015
27/03/2015
15/04/2015
05/05/2015
26/02/2015
07/11/2014
05/03/2015
03/02/2015
07/01/2015
05/12/2014
13/01/2015
30/09/2015
10/08/2015
30/01/2015
01/12/2014
14/10/2015
30/04/2015
18/02/2015
05/02/2015
Rec.
Buy
Hold
Restricted
Marketweight
Overweight
Marketweight
Hold
Restricted
no recommendation
Underweight
no recommendation
Marketweight
Overweight
Restricted
no recommendation
Underweight
Marketweight
Overweight
Marketweight
Overweight
no recommendation
Restricted
Marketweight
Underweight
Buy
Sell
Marketweight
Hold
Buy
Hold
Overweight
Marketweight
Marketweight
Underweight
Buy
Buy
Hold
Marketweight
Marketweight
Restricted
Buy
Restricted
Marketweight
Restricted
Buy
Hold
Sell
Buy
Hold
Sell
Marketweight
Company
LGFP
LGFP
LHAGR
LHNVX
LINGR
LUKOIL
LUXIM
LUXIM
MAHLGR
MANGR
MANTEN
MANTEN
MATTER
MCD
MCD
MDLZ
MEOGR
MEOGR
MEOGR
METINR
METINR
MONTE
MONTE
MRK
MRKGR
MRKGR
MTNA
MTNA
MTNA
NDB
NEGANV
NGGLN
NGGLN
NLMKRU
NLMKRU
NLMKRU
NNGRNV
NOKIA
NOKIA
NOVO
NOVO
NSINO
NUMFP
NUMFP
NUMFP
NVTKRM
OCBCSP
ODGR
ODGR
OMVAV
OMVAV
page 37
Date
18/09/2015
07/08/2015
13/03/2015
18/09/2015
29/07/2015
19/01/2015
07/08/2015
30/10/2014
04/06/2015
04/03/2015
28/05/2015
19/05/2015
24/04/2015
14/08/2015
18/05/2015
05/05/2015
15/06/2015
05/12/2014
21/10/2014
02/04/2015
19/01/2015
19/10/2015
05/12/2014
28/10/2014
05/02/2015
09/12/2014
19/10/2015
04/02/2015
08/01/2015
15/09/2015
28/07/2015
05/03/2015
04/02/2015
22/05/2015
19/01/2015
12/11/2014
05/08/2015
20/04/2015
14/04/2015
05/10/2015
22/07/2015
17/04/2015
29/06/2015
17/02/2015
29/01/2015
19/01/2015
07/08/2015
02/02/2015
11/11/2014
15/09/2015
05/12/2014
Rec.
Restricted
Overweight
Sell
Restricted
Underweight
Buy
Overweight
Marketweight
Hold
no recommendation
Buy
Hold
Sell
Marketweight
Restricted
Marketweight
Marketweight
Underweight
Restricted
Hold
Sell
Restricted
no recommendation
Marketweight
Marketweight
Restricted
Hold
Buy
Restricted
Restricted
no recommendation
Marketweight
Restricted
Buy
Hold
Buy
Marketweight
Hold
Sell
Buy
Hold
no recommendation
Buy
Hold
Restricted
Hold
Marketweight
Overweight
Marketweight
Restricted
Marketweight
Company
SANFP
SAPGR
SAPGR
SAPGR
SAPSJ
SAPSJ
SBERRU
SCMNVX
SDFGR
SDFGR
SESGFP
SGOFP
SHAEFF
SHAEFF
SHAEFF
SHAEFF
SIBNEF
SIBUR
SIBUR
SIEGR
SIEGR
SKYLN
SKYLN
SKYLN
SKYLN
SKYLN
SLB
SNAIM
SNAIM
SNAIM
SPPDIS
SPPEUS
SPPEUS
SPPEUS
SRENVX
SRGIM
SRGIM
SRGIM
SSELN
STATK
STERV
STLNSW
SUNCOM
SUNCOM
SWFP
SYNNVX
SZUGR
SZUGR
T
TCGLN
TCGLN
Date
14/09/2015
22/04/2015
25/03/2015
02/02/2015
24/04/2015
10/03/2015
29/05/2015
09/09/2015
03/07/2015
19/01/2015
02/02/2015
20/10/2014
21/09/2015
14/09/2015
23/04/2015
26/03/2015
19/01/2015
02/04/2015
19/01/2015
30/06/2015
19/05/2015
30/09/2015
16/02/2015
02/02/2015
05/12/2014
17/11/2014
19/10/2015
18/09/2015
20/07/2015
21/10/2014
05/03/2015
20/04/2015
05/03/2015
05/02/2015
06/11/2014
15/05/2015
21/01/2015
06/11/2014
05/06/2015
14/09/2015
12/10/2015
19/01/2015
19/05/2015
06/02/2015
08/07/2015
08/05/2015
13/04/2015
27/01/2015
29/01/2015
18/09/2015
30/07/2015
Rec.
Restricted
Marketweight
Restricted
Marketweight
Buy
Restricted
Hold
Restricted
Marketweight
Overweight
Overweight
Underweight
Buy
Hold
Buy
Restricted
Marketweight
Hold
Sell
Marketweight
Restricted
Overweight
Marketweight
Underweight
Marketweight
Restricted
Underweight
Sell
Restricted
Hold
Marketweight
Underweight
Marketweight
Restricted
Marketweight
Marketweight
Restricted
no recommendation
no recommendation
Restricted
Hold
Hold
Hold
Restricted
Marketweight
Underweight
Sell
Hold
Marketweight
Hold
Buy
20 October 2015
Credit Research
Company
BMY
BNP
BNRGR
BOGAEI
BORMIO
BPEIM
BPLN
BPLN
BRITEL
BRITEL
BRITEL
CABKSM
CAFP
CAFP
CAFP
CAPFP
CARLB
CARLB
CBLCSY
CEIFP
CERVIM
CHMFRU
CIRSA
CLNVX
CMCRAV
CMZB
CNHI
CNHI
COFP
CRH
DB
DB
DBSSP
DGELN
DLNA
DLPH
DLPH
DONGAS
DOUGR
DSM
Date
14/08/2015
12/08/2015
26/03/2015
28/07/2015
17/04/2015
13/01/2015
29/07/2015
03/07/2015
02/02/2015
30/01/2015
25/11/2014
24/10/2014
05/03/2015
05/02/2015
27/01/2015
14/08/2015
20/08/2015
09/12/2014
04/05/2015
04/03/2015
13/11/2014
02/04/2015
10/09/2015
18/02/2015
18/06/2015
14/09/2015
04/09/2015
20/10/2014
18/02/2015
26/01/2015
31/07/2015
27/04/2015
07/08/2015
13/10/2015
12/08/2015
31/07/2015
05/03/2015
29/04/2015
06/08/2015
11/02/2015
Rec.
Marketweight
Restricted
Overweight
no recommendation
Hold
Restricted
Marketweight
Overweight
Overweight
Marketweight
Underweight
Marketweight
Marketweight
no recommendation
Restricted
Overweight
Marketweight
Overweight
Hold
Sell
Hold
Hold
Buy
Marketweight
Buy
Restricted
Sell
Hold
Marketweight
Overweight
Marketweight
Underweight
Marketweight
Marketweight
Marketweight
Marketweight
Overweight
Marketweight
Hold
Overweight
Company
GASSM
GAZPRU
GAZPRU
GBFGR
GBFGR
GLENLN
GLENLN
GMFIN
GMFIN
GMKNRM
GMKNRM
GMKNRM
HEIANA
HEIGR
HELLA
HETAR
HOLNVX
HPLGR
HPLGR
HPLGR
HPLGR
HSHN
HTOGA
HTZ
IBESM
IBESM
IGT
IGT
INTNED
INTNED
INTNED
INTNED
INTNED
ISSDC
ISSDC
ITCIT
ITCIT
JAGLN
JAGLN
JNJ
Date
14/01/2015
29/09/2015
19/01/2015
29/06/2015
06/11/2014
03/03/2015
02/03/2015
22/06/2015
20/10/2014
06/10/2015
02/04/2015
19/01/2015
09/09/2015
29/07/2015
30/03/2015
20/11/2014
11/08/2015
28/09/2015
18/09/2015
30/03/2015
20/11/2014
31/03/2015
24/04/2015
21/07/2015
05/03/2015
14/01/2015
12/08/2015
10/03/2015
05/08/2015
03/06/2015
05/02/2015
06/11/2014
05/11/2014
12/03/2015
05/03/2015
29/07/2015
06/03/2015
30/09/2015
09/02/2015
15/07/2015
Rec.
Restricted
Restricted
Overweight
Sell
Underweight
Overweight
Buy
Overweight
Hold
Restricted
Hold
Buy
Marketweight
Hold
Marketweight
Underweight
no recommendation
Restricted
Buy
Hold
Restricted
Underweight
Hold
Hold
Marketweight
Restricted
Buy
Hold
Marketweight
Restricted
Marketweight
Restricted
Marketweight
Overweight
Marketweight
Buy
Hold
Hold
Buy
no recommendation
Company
OMVAV
ONTEX
ONTEX
ONTEX
ORAFP
PBBGR
PBBGR
PETBRA
PETBRA
PEUGOT
PEUGOT
PG
PG
PGEPW
PIAGIM
PIAGIM
PKNPW
PNLNA
PSON
PUBFP
RCIBK
RCIBK
RCIBK
REEDLN
REEDLN
REEDLN
RENAUL
REPSM
REPSM
RHIGIM
RHIGIM
RHMGR
RIFP
ROSW
ROSW
RTE
RTE
RURAIL
RURAIL
SABLN
Date
10/11/2014
05/03/2015
17/11/2014
04/11/2014
05/12/2014
10/03/2015
12/01/2015
09/06/2015
03/03/2015
24/02/2015
19/02/2015
07/07/2015
17/06/2015
06/11/2014
14/09/2015
02/03/2015
29/06/2015
05/10/2015
02/02/2015
02/02/2015
24/06/2015
27/05/2015
20/10/2014
23/07/2015
05/03/2015
26/02/2015
23/04/2015
08/05/2015
18/03/2015
14/09/2015
01/12/2014
06/08/2015
06/11/2014
02/04/2015
18/02/2015
07/10/2015
05/02/2015
02/04/2015
19/01/2015
15/10/2015
Rec.
Restricted
Buy
no recommendation
Restricted
Marketweight
Marketweight
Restricted
no recommendation
Hold
Hold
Marketweight
no recommendation
Marketweight
Marketweight
Sell
Hold
Marketweight
Underweight
Overweight
Overweight
Marketweight
Restricted
Marketweight
Marketweight
Underweight
Marketweight
Overweight
Overweight
Restricted
Hold
Buy
Hold
Overweight
Marketweight
Restricted
Restricted
Marketweight
Hold
Sell
Marketweight
Company
TCGLN
TCGLN
TDCDC
TDCDC
TELEFO
TELEFO
TELEFO
TELEFO
TELEFO
TELEFO
TEVA
TITANL
TITIM
TITIM
TITIM
TITIM
TKAAV
TKAAV
TKAAV
TKAAV
TKAGR
TKAGR
TLSNSS
TLSNSS
TMFG
TMFG
TOTAL
TRNIM
TRNIM
TRUBRU
TSCOLN
TTLINF
TUIGR
UBS
UBS
UOBSP
URKARM
VEBBNK
VERAV
VERAV
Date
10/07/2015
24/04/2015
10/08/2015
20/02/2015
07/09/2015
14/08/2015
06/05/2015
26/03/2015
02/02/2015
27/11/2014
27/07/2015
29/05/2015
06/08/2015
06/08/2015
24/04/2015
19/03/2015
02/02/2015
09/01/2015
05/12/2014
07/11/2014
20/04/2015
18/02/2015
19/10/2015
23/10/2014
18/09/2015
24/04/2015
30/07/2015
05/03/2015
05/02/2015
19/01/2015
09/01/2015
28/08/2015
05/12/2014
13/10/2015
31/07/2015
07/08/2015
28/04/2015
05/02/2015
05/12/2014
13/11/2014
Rec.
Hold
Buy
Overweight
Marketweight
Restricted
Marketweight
Overweight
Restricted
Overweight
Restricted
Marketweight
Hold
Marketweight
Hold
Hold
Restricted
Marketweight
Restricted
Marketweight
Restricted
Hold
Restricted
Marketweight
Underweight
Hold
Buy
Overweight
Marketweight
Restricted
Hold
Hold
Underweight
Hold
Marketweight
Restricted
Marketweight
Sell
Buy
Marketweight
Restricted
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 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.
20 October 2015
Credit Research
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.
If not otherwise stated daily price data refers to pre-day closing levels and iBoxx bond index characteristics refer to the previous month-end index characteristics.
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 AG and/or other related legal persons with them regularly trade shares of the analyzed company. UniCredit Bank AG and/or other related legal persons may hold significant open derivative positions on the stocks of the company which are not
delta-neutral.
UniCredit Bank AG and/or other related legal persons have a significant financial interest relating to the analyzed company or may have such at any future point of time. Due to the fact that UniCredit Bank AG and/or any related legal person are entitled, subject to
applicable law, to perform such actions at any future point in time which may lead to the existence of a significant financial interest, it should be assumed for the purposes of this information that UniCredit Bank AG and/or any related legal person will in fact perform
such actions which may lead to the existence of a significant financial interest relating to the analyzed company.
Analyses may refer to one or several companies and to the securities issued by them. In some cases, the analyzed companies have actively supplied information for this analysis.
INVESTMENT BANKING TRANSACTIONS
The analyzed company and UniCredit Bank AG and/or any related legal person concluded an agreement on services in connection with investment banking transactions in the previous 12 months, in return for which the Bank and/or such related legal person
received a consideration or promise of consideration or intends to do so. Due to the fact that UniCredit Bank AG and/or any related legal person are entitled to conclude, subject to applicable law, an agreement on services in connection with investment banking
transactions with the analyzed company at any future point in time and may receive a consideration or promise of consideration, it should be assumed for the purposes of this information that UniCredit Bank AG and/or any related legal person will in fact conclude
such agreements and will in fact receive such consideration or promise of consideration.
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
You will find a list of further additional required disclosures under the laws and regulations of the jurisdictions indicated on our website www.cib-unicredit.com/research-disclaimer.
Notice to Austrian investors: This analysis is only for distribution to professional clients (Professionelle Kunden) as defined in article 58 of the Securities Supervision Act.
Notice to investors in Bosnia and Herzegovina: This report is intended only for clients of UniCredit in Bosnia and Herzegovina who are institutional investors (Institucionalni investitori) in accordance with Article 2 of the Law on Securities Market of the
Federation of Bosnia and Herzegovina and Article 2 of the Law on Securities Markets of the Republic of Srpska, respectively, and may not be used by or distributed to any other person. 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.
20 October 2015
Credit Research
Notice to Brazilian investors: The individual analyst(s) responsible for issuing this report represent(s) that: (a) the recommendations herein reflect exclusively the personal views of the analysts and have been prepared in an independent manner, including in
relation to UniCredit Group; and (b) except for the potential conflicts of interest listed under the heading “Potential Conflicts of Interest” above, the analysts are not in a position that may impact on the impartiality of this report or that may constitute a conflict of
interest, including but not limited to the following: (i) the analysts do not have a relationship of any nature with any person who works for any of the companies that are the object of this report; (ii) the analysts and their respective spouses or partners do not hold,
either directly or indirectly, on their behalf or for the account of third parties, securities issued by any of the companies that are the object of this report; (iii) the analysts and their respective spouses or partners are not involved, directly or indirectly, in the
acquisition, sale and/or trading in the market of the securities issued by any of the companies that are the object of this report; (iv) the analysts and their respective spouses or partners do not have any financial interest in the companies that are the object of this
report; and (v) the compensation of the analysts is not, directly or indirectly, affected by UniCredit’s revenues arising out of its businesses and financial transactions. UniCredit represents that: except for the potential conflicts of interest listed under the heading
“Potential Conflicts of Interest” above, UniCredit, its controlled companies, controlling companies or companies under common control (the “UniCredit Group”) are not in a condition that may impact on the impartiality of this report or that may constitute a conflict of
interest, including but not limited to the following: (i) the UniCredit Group does not hold material equity interests in the companies that are the object of this report; (ii) the companies that are the object of this report do not hold material equity interests in the
UniCredit Group; (iii) the UniCredit Group does not have material financial or commercial interests in the companies or the securities that are the object of this report; (iv) the UniCredit Group is not involved in the acquisition, sale and/or trading of the securities that
are the object of this report; and (v) the UniCredit Group does not receive compensation for services rendered to the companies that are the object of this report or to any related parties of such companies.
Notice to Cyprus investors: This document is directed only at clients of UniCredit Bank who are persons falling within the Second Appendix (Section 2, Professional Clients) of the law for the Provision of Investment Services, the Exercise of Investment Activities,
the Operation of Regulated Markets and other Related Matters, Law 144(I)/2007 and persons to whom it may otherwise lawfully be communicated who possess the experience, knowledge and expertise to make their own investment decisions and properly assess
the risks that they incur (all such persons together being referred to as “relevant persons”). This document must not be acted on or relied on by persons who are not relevant persons or relevant persons who have requested to be treated as retail clients. Any
investment or investment activity to which this communication related is available only to relevant persons and will be engaged in only with relevant persons. This document does not constitute an offer or solicitation to any person to whom it is unlawful to make
such an offer or solicitation.
Notice to investors in Ivory Coast: The information contained in the present report have been obtained by Unicredit Bank AG from sources believed to be reliable, however, no express or implied representation or warranty is made by Unicredit Bank AG or any
other person as to the completeness or accuracy of such information. All opinions and estimates contained in the present report constitute a judgement of Unicredit Bank AG as of the date of the present report and are subject to change without notice. They are
provided in good faith but without assuming legal responsibility. This report is not an offer to sell or solicitation of an offer to buy or invest in securities. Past performance is not an indicator of future performance and future returns cannot be guaranteed, and there is
a risk of loss of the initial capital invested. No matter contained in this document may be reproduced or copied by any means without the prior consent of Unicredit Bank AG.
Notice to New Zealand investors: This report is intended for distribution only to persons who are “wholesale clients” within the meaning of the Financial Advisers Act 2008 (“FAA”) and by receiving this report you represent and agree that (i) you are a “wholesale
client” under the FAA (ii) you will not distribute this report to any other person, including (in particular) any person who is not a “wholesale client” under the FAA. This report does not constitute or form part of, in relation to any of the securities or products covered by
this report, either (i) an offer of securities for subscription or sale under the Securities Act 1978 or (ii) an offer of financial products for issue or sale under the Financial Markets Conduct Act 2013.
Notice to Omani investors: This communication has been prepared by UniCredit Bank AG. UniCredit Bank AG does not have a registered business presence in Oman and does not undertake banking business or provide financial services in Oman and no advice
in relation to, or subscription for, any securities, products or financial services may or will be consummated within Oman. The contents of this communication are for the information purposes of sophisticated clients, who are aware of the risks associated with
investments in foreign securities and neither constitutes an offer of securities in Oman as contemplated by the Commercial Companies Law of Oman (Royal Decree 4/74) or the Capital Market Law of Oman (Royal Decree 80/98), nor does it constitute an offer to
sell, or the solicitation of any offer to buy non-Omani securities in Oman as contemplated by Article 139 of the Executive Regulations to the Capital Market Law (issued vide CMA Decision 1/2009). This communication has not been approved by and UniCredit
Bank AG is not regulated by either the Central Bank of Oman or Oman’s Capital Market Authority.
Notice to Pakistani investors: Investment information, comments and recommendations stated herein are not within the scope of investment advisory activities as defined in sub-section I, Section 2 of the Securities and Exchange Ordinance, 1969 of Pakistan.
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. The distribution of this report is
intended only for informational purposes for the use of professional investors and the information and opinions contained herein, or any part of it shall not 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 (as amended). The publisher and distributor of the document certifies that it has acted with
due care and diligence in preparing it, however, assumes no liability for its completeness and accuracy. This document is not an advertisement. It should not be used in substitution for the exercise of independent judgment.
Notice to Serbian investors: This analysis is only for distribution to professional clients (profesionalni klijenti) as defined in article 172 of the Law on Capital Markets.
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.
This document may not be distributed in Canada.
CR e 6
20 October 2015
Credit Research
UniCredit Research*
Erik F. Nielsen
Group Chief Economist
Global Head of CIB Research
+44 207 826-1765
[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]
Emanuel Teuber
Covered Bonds
+49 89 378-12961
[email protected]
Corporate Credit Research
Dr. Christian Weber, CFA, Deputy Head
Credit Strategy
+49 89 378-12250
[email protected]
Dr. Tilo Höpker
Banks
+49 89 378-12960
[email protected]
Robert Vielhaber
Sub-Sovereigns & Agencies, Green Bonds
+49 89 378-12004
[email protected]
Dr. Tim Brunne
Quantitative Credit Strategy
+49 89 378-13521
[email protected]
Luis Maglanoc, CFA
Regulatory & Accounting Service
+49 89 378-12708
[email protected]
Dr. Martina von Terzi
Banks, Financial Services, Insurance
+49 89 378-14245
[email protected]
Holger Kapitza
Credit Strategy & Structured Credit
+49 89 378-28745
[email protected]
Natalie Tehrani Monfared
Regulatory & Accounting Service
+49 89 378-12242
[email protected]
Dr. Stefan Kolek
EEMEA Corporate Credits & Strategy
+49 89 378-12495
[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]
Christian Aust, CFA
Industrials
+49 89 378-12806
[email protected]
David Bertholdt
Capital Goods & Services
+49 89 378-13211
[email protected]
Mehmet Dere
Retail, Travel & Leisure, Oil & Gas
+49 89 378-11294
[email protected]
Michael Gerstner
Utilities, Hybrids
+49 89 378-15449
[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]
Manuel Trojovsky
Credit Strategy & Structured Credit
+49 89 378-14145
[email protected]
Publication Address
ABS Trading
Thomas Bremer (UniCredit Bank), +49 89 378-12729, [email protected]
Thomas März (UniCredit Bank), +49 89 378-13784, [email protected]
*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 Bank New York (UniCredit Bank NY), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech
Republic and Slovakia,Bank Pekao, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Bank Romania. CR 20

Securitization Market Watch

Transcription

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