European ABS Pricing and Sectors
The volatility seen in broader credit markets has not been reflected in European ABS. This comes despite iTraxx Senior Financials Index seeing a bumpy ride from the end of July, tightening on the back of stress test results, only to widen to pre-stress test levels two weeks later. This week’s successful Irish bond auction has brought some relief, leading to a 7 bps tightening. In ABS, however, pricing across most asset classes and jurisdictions has remained range-bound, with the exception of some of the junior securities of Spanish and Portuguese deals where we have seen prepayment expectations lowered, leading to higher WALs and lower prices.
The hiatus typical in the European ABS market at this time of year continued. The end of July and beginning of August have seen subdued activity levels. Senior non-conforming RMBS & BTL (such as ESAIL & PARGN) and ....
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