NIBC Bank Prepares $1bn Prime Dutch RMBS
[Update 1 clarifies valuation ratios.] Netherlands-based NIBC Bank is preparing a €750m (US$1.02bn) prime Dutch residential mortgage-backed securities (RMBS) deal, according to pricing guidance provided to HousingWire. Sources confirm Crédit Agricole, Credit Suisse and NIBC will act as lead-managers and book-runners for the forthcoming RMBS, which is subject to market conditions and expected to launch after European investor presentations this week. The deal -- Dutch MBS XV -- is roadshowing from Wednesday March 10 through Friday March 12. It includes two triple-A-rated classes. One class worth €182.1m ($247.3m) bears a 2-year weighted average life (WAL), while the other class worth €530.6m bears a 5-year WAL. The deal is expected to consist of prime Dutch residential mortgages primarily first-lien, owner-occupied mortgages with no arrears. The mortgage portfolio size is €746.25m, and the weighted average loan amount is €178,500. The loans have a weighted average loan-to-original-foreclosed-value of 95%, and a weighted average loan-to-indexed-market-value of 73%. The deal has a fully funded non-amortizing reserve fund of 50 bps on closing, with a guaranteed excess spread of 50bps per year. The forthcoming Dutch RMBS echoes recent signs of a strong return of the securitization market in Europe. The oversubscribing of Fosse 2010-1, a $2.1bn UK RMBS, marked another effort to get the securitization market machine rolling again in Western banking, despite recent hiccups in the credit markets. Lloyds Banking Group in February said it priced its first RMBS issue of 2010. Strong demand from US investors drove the upsizing of the US dollar tranche from $500m to $1bn. On the other hand, Silk Road Finance -- the first securitization sponsored by the Co?operative Bank -- received weak investor interest. Yet, despite all of the activity in the UK RMBS segment, US issuance remains largely quiet outside of a recent offering of structured financing with the full faith and credit of the US government. The Federal Deposit Insurance Corp. (FDIC) last week placed its first issue of structured financing, using assets seized from failed banks as collateral. The issue bears a 100% FDIC guarantee. The notes priced within 10bps tight of guidance. Write to Diana Golobay.