Markit Structured Finance Research

Confidential \ Copyright 2012 Markit Group Limited

Securitised product snapshot
April 2014

European ABS market
Economic data
Housing growth in the UK is still growing with a Construction PMI reading of 62.5 in March and with the housing activity still improving at
64.4. The Halifax index showed a 8.7% year-on-year increase in house prices but its month-on-month decreased by -1.1%, which is the
first decrease in 15 months. The decrease is mainly due to a lack of mortgages during that period. Meanwhile, the Nationwide index
showed a 9.5% increase (+0.4%).
The future HPSI, which measures what households think will happen to the value of their property over the next year, is still improving to 75
this month, up from 74.3 in March.





















-10
-8
-6
-4
-2
0
2
4
6
8
10
30
35
40
45
50
55
60
65
70
J an-12 J ul-12 J an-13 J ul-13 J an-14
House Pri ces
UK Construction PMI Housing Activity
Index
Halifax house price index, all houses
PMI housing Halifax HPI (annual %)
Source: MarkitEconomics, Halifax
-10
-8
-6
-4
-2
0
2
4
6
8
10
30
35
40
45
50
55
60
65
70
J an-12 J ul-12 J an-13 J ul-13 J an-14
House Pri ces
UK Construction PMI Housing Activity Index
Nationwide house price index, all houses
PMI housing
Nationwide HPI (annual %)
Source: MarkitEconomics, Nationwide
40
45
50
55
60
65
70
75
80
J an-12 J ul-12 J an-13 J ul-13 J an-14
Marki t /Kni ght Frank House Price Senti ment i ndex
CurrentPrices
Future Prices
Source: MarkitEconomics, KnightFrank
Mark

Eur
BWIC
was
struc
On th
some
tranc
respe





























Sector
ALL A
ALL A
ALL C
ALL C
Austra
Italy R
Nether
Spain
United
United
United
it Structured Fi
ropean AB
Cs were once
around them.
cture and regar
he other hand
e of their spec
ches, respectiv
ectively. They
uto Lease AAA Fl
uto Loan AAA Flo
MBS AAA Float (
redit Card AAA Fl
alia RMBS AAA Fl
RMBS AA Float (1-
rlands RMBS AAA
RMBS AA Float (
d Kingdom Granite
d Kingdom PRMBS
d Kingdom SPRMB
nance Researc
BS pricing
again the mos
Moreover the
rdless of the co
the most inte
cific deals. EB
vely, at 88.5, 42
are also lookin
loat (1-4)
oat (1-4)
3-5)
oat (1-4)
loat (3-5)
-3)
A Float (1-3)
(5-8)
e AAA Float (1-3)
S ex. Granite AAA
BS AAA Float (1-3
ch
and secto
st popular subj
ere was also s
ountry of issua
eresting move
BS which is an
2 and 38. Ban
ng to do a tend
S
A Float (1-3)
3)
ors
ect when it com
ome support f
ance. Finally w
in the Europe
n Irish Building
co BPI is also
der on DOURM
Spread Mid (bps) Mar2
mes to the Eu
from traditiona
we saw good a
an ABS marke
g Society, now
doing a tende
M 2 A2 and D a
2014 Spread Mid (bp
46
39
86
35
105
141
43
184
55
38
105
ropean ABS se
al flow trading
activity on the p
et came from
w owned by A
er on DOURM
at 91.8 and 64.
ps) Apr2014
44
38
82
29
93
124
41
180
65
38
114
econdary mark
which helps s
primary market
two PIGS issu
AIB, is doing a
Mtge 1 A, C a
5, respectively
ket since most
spreads narrow
t with deals pri
uers which are
a tender on EM
nd D tranches
y and finally on
t of the activity
w across the
iced.
e offering a ten
MERM 4 A. B
s at 93.6, 73.9
n DOURM 3 A
/ 2
y in April
e capital
nder on
B and C
and 70,
at 91.4.
Markit Structured Finance Research

/ 3


















Granite senior securities have widened lightly during April by 5 basis points but the other tranches are still getting tighter. The A, B, M and
C tranches are traded respectively at 99.2 (61bps), 97.90 (77bps), 97.05 (101bps) and 96.36 (150bps).














98
100
102
104
106
108
110
J an-12 May-12 Sep-12 J an-13 May-13 Sep-13 J an-14
GRANM A Total Return and Pri ce Vol ati l i ty
Sector Level
Price Index Level
Source: Markit
90
110
130
150
170
190
J an-12 May-12 Sep-12 J an-13 May-13 Sep-13 J an-14
GRANM C Total Return and Pri ce Vol ati l i ty
Sector Level
Price Index Level
Source: Markit
0
400
800
1,200
1,600
2,000
J an/11May/11Sep/11 J an/12May/12Sep/12 J an/13May/13Sep/13 J an/14
CMBS (3-5 yr WAL)
CMBS AAA
CMBS AA
CMBS A
CMBS BBB
Spread (bps)
Source: MarkitEuropean ABS Pricing Service
0
100
200
300
400
J an/11 J un/11 Nov/11 Apr/12 Sep/12 Feb/13 J ul/13 Dec/13
UK RMBS AAA
Holmes Master Issuer PLC 2006 1 3
A2 EUR Spread
Permanent Master Issuer Plc 2010-1
2A2 EUR Spread
Granite Master Issuer plc 2007-2 3A2
EUR
Aire Vy Mtgs 2005 1 plc 2005-1 2A2
EUR
Spread (bps)
Source: MarkitEuropean ABS Pricing Service
0
400
800
1,200
1,600
2,000
2,400
2,800
J an/11Apr/11J ul/11Oct/11J an/12Apr/12J ul/12Oct/12J an/13Apr/13J ul/13Oct/13J an/14Apr/14
European Auto Loan/Equi pment Lease ABS
Auto Loan AAA (1-4 yrs)
Auto Lease AAA (1-4 yrs)
Equip Lease AAA (1-4 yrs)
Auto Lease A (1-4 yrs)
Auto Loan BBB (1-4 yrs)
Equip Lease BBB (1-4 yrs)
Spread (bps)
Source: MarkitEuropean ABS Pricing Service
-100
50
200
350
500
650
800
J an/11 May/11 Sep/11 J an/12 May/12 Sep/12 J an/13 May/13 Sep/13 J an/14
European Credi t Card ABS
Credit Card AAA (1-4 yrs)
Credit Card A (1-4 yrs)
Credit Card BBB (1-4 yrs)
Spread (bps)
Source: MarkitEuropean ABS Pricing Service
Markit Structured Finance Research

/ 4
Primary market
The tone in the ABS market has been on growing the primary pipeline with a busy start to the quarter which slowed down after the Easter
holiday.
From the Auto Loans sector we saw the largest two issuances for this month. The largest of these was Volkswagens Driver 12, issued with
two placed tranches totalling 1.29bn. Motor 2014-1, a pool of UK auto loans, had 2 placed issuances totalling 997mn. Both of these Auto
Loan ABS were issued with their senior tranches priced at +35bps and +48bps, respectively.
There were three other issuances from the UK. Lloyds Penarth 2014-1 was the first Credit Card ABS of the year issued at a margin of
+30bps and +50bps for the two placed tranches. The first of the two RMBS from the UK was the oversubscribed single-placed tranche of
Darrowby No.3 priced with margin of +57bps. Similar to Darrowby, Oak No.1 issued a single placed tranche priced at +67bps for the total
issuance of 404mn.
Continuing from last month, we saw an issuance from Italy in the form of Claris RMBS 2014. Issued with a single placed tranche totalling
550mn and a margin of +115bps, this was well covered.
In the European CLO primary market we have seen the issuance of three deals, all with six placed tranches. All of these deals have been
similar in size ranging from 360mm to 460mm. All three priced their senior tranche at a margin of +135bps, 5bps tighter than the
previous month.
























Deal Country/Sector Class Av Rating Spread (bp) Amount ( mn)
A1 AAA 135 235.5
B1 AA 180 38
C1 A 260 14.7
D BBB 340 21.6
E BB 480 33.8
F B 600 13.5
A1 AAA 140 291.9
A2 AA 200 58.8
B A 265 30
C BBB 345 23.8
D BB 475 37.5
E B 575 17.5
A1 AAA 30 181.9
A2 AAA 50 606.4
Oak No.1 United Kingdom/ RMBS A AAA 67 404.2
A1 AAA 48 541.8
A2 AAA 50 454.8
Darrowby No.3 United Kingdom/ PRMBS A AAA 57 485.1
Claris RMBS 2014 Italy/ RMBS A1 AA 115 550
A AAA 35 1250
B A 70 41.3
A AAA 135 302
B1 AA 192 51
C A 258 26.5
D BBB 342 24.9
E BB 490 36.9
F B 570 19
Motor 2014-1 United Kingdom/ Auto Loans
Driver 12 Germany/ Auto Loans
J ubilee CLO 2014-XII European/ CLO
Pr imar y Mar ket (Source: Markit RCD)
CVC Cordatus Loan Fund III European/ CLO
European/ CLO Holland Parl CLO
Penarth 2014-1 United Kingdom/ Credit Card
Markit Structured Finance Research

/ 5
European total return
















80
85
90
95
100
105
110
115
120
125
130
135
140
145
150
J an/09 J ul/09 J an/10 J ul/10 J an/11 J ul/11 J an/12 J ul/12 J an/13 J ul/13 J an/14
AAA Total Return Jan 2009
UK PRMBS AAA Dutch RMBS AAA
Spanish RMBS AAA Global European ABS AAA
IrishRMBS AAA
Source: MarkitEuropean Total Return Analysis Service
30
50
70
90
110
130
150
170
190
210
230
250
270
290
J an/09 J ul/09 J an/10 J ul/10 J an/11 J ul/11 J an/12 J ul/12 J an/13 J ul/13 J an/14
BBB Total Return Jan 2009
UK PRMBS BBB Dutch RMBS BBB
Spanish RMBS BBB Global European ABS BBB
Source: MarkitEuropean Total Return Analysis Service
80
90
100
110
120
130
140
150
160
170
180
190
200
J an/09 J ul/09 J an/10 J ul/10 J an/11 J ul/11 J an/12 J ul/12 J an/13 J ul/13 J an/14
AAA Total Return Jan 2009
UK CMBS AAA
GRANITE ONLY AAA
UK SPRMBS AAA
Global European CMBS AAA
Source: MarkitEuropean Total Return Analysis Service
0
100
200
300
400
500
600
700
800
900
1,000
J an/09 J ul/09 J an/10 J ul/10 J an/11 J ul/11 J an/12 J ul/12 J an/13 J ul/13 J an/14
BBB Total Return Jan 2009
GRANITE ONLY BBB
UK SPRMBS BBB
Global European CMBS BBB
Source: MarkitEuropean Total Return Analysis Service
70
75
80
85
90
95
100
105
110
115
120
125
130
J an/07 J an/08 J an/09 J an/10 J an/11 J an/12 J an/13 J an/14
AAA Total Return Oct 2007
UK PRMBS AAA
Dutch RMBS AAA
Spanish RMBS AAA
Global European ABS AAA
Source: MarkitEuropean Total Return Analysis Service
0
20
40
60
80
100
120
140
160
180
J an/07 J an/08 J an/09 J an/10 J an/11 J an/12 J an/13 J an/14
BBB Total Return Oct 2007
UK PRMBS BBB
Dutch RMBS BBB
Spanish RMBS BBB
Global European ABS BBB
Source: MarkitEuropean Total Return Analysis Service
50
60
70
80
90
100
110
120
130
140
J an/07 J an/08 J an/09 J an/10 J an/11 J an/12 J an/13 J an/14
AAA Total Return Oct 2007
UK CMBS AAA
UK PRMBS Granite Only AAA
UK NCRMBS AAA
Global European CMBS AAA
Source: MarkitEuropean Total Return Analysis Service
5
35
65
95
125
155
185
215
245
J an/07 J an/08 J an/09 J an/10 J an/11 J an/12 J an/13 J an/14
BBB Total Return Oct 2007
UK PRMBS Granite Only BBB
UK NCRMBS BBB
Global European CMBS BBB
Source: MarkitEuropean Total Return Analysis Service
Markit Structured Finance Research

/ 6
US ABS market
Overview

Despite some heightened volatility in the broader equity markets, on the back of the Ukrainian developments, US equities were generally
flat to slightly up as we head into the last few days of April. Elsewhere in structured products, activity was prevalent, however we saw more
sideways movement, except for some pockets of CLOs and Non-Agency RMBS.
CLOs
Very disappointing news surrounding CLOs and Volcker hit the tape this month. The regulatory bodies decided to postpone their decision
around CLOs for an additional two years. Most participants expected a ruling that would grandfather or exempt certain CLOs to avoid any
forced selling. As a result, banks will have some time to figure out how they are going to handle the assets. Spreads were mostly flat over
the month; however we did observe some widening out of European Subs.






CMBS
Similar to March, volumes were down in April and markets appear to be directionless. This could be a result of the robust amount of new
issuance that has already come to the market.








Non-agency RMBS
Despite the volatility in equity markets the Non-Agency RMBS space still seems to be well bid. Lists that are coming to market are being
received well. Given the levels where bonds are clearing, it also seems apparent that participants are continuing to forecast more liberal
scenarios and lower their expected loss amounts. Also, it is becoming more evident that the wave of expected recoveries is going to
continue into the foreseeable future. The most recent Citi settlement has already been priced into to certain bonds based on the executed
level.
Vi ntage 1.0 2.0 Eur.
AAA
Amortizing 85-110 N/A 90-110
AAA 120-145 145-160 115-125
AA 160-190 205-225 170-200
A 180-220 290-315 275-305
BBB 270-325 400-420 400-425
BB 450-600 580-615 570-625
Generi c Markets (DM)
Vi ntage Seni or AM
2005 (CD1) 80 (A4) 85
2006 (CD3) 100 (A5) 85
2007 (GG10) 88 (A4) 355
2011 (LC1) 78 (A3)
2012 (LC3) 85 (A4)
Generi c Markets (Spread to Swaps)
Markit Structured Finance Research

/ 7


Consumer ABS

Spreads in the consumer ABS sector were generally tighter since March month-end with relatively few exceptions. The market saw
heavier-than-average volume in both the primary and secondary markets, as investors flock to ABS sector despite national and
international macroeconomic trepidation.
Both FFELP and private student loans led the charge in April with the greatest spread variation month-over-month. FFELP seniors
tightened anywhere from -3 to -6 bps and subordinates approximately -25 bps, depending on weighted-average life (WAL). Private seniors
tightened anywhere from -10 to -36 bps while subordinates tightened by approximately -4 bps, also dependent upon WAL. Bonds backed
by fixed and floating subordinate credit cards tightened on average -12 bps. The only noticeably lagging asset class was prime auto loans
which were generally wider from 1-3 bps across seniors and subordinates. Please see the table below for our generic spreads across all
asset classes:









April saw the largest amount of consumer ABS new issuance since we entered 2014 with approximately $19.4 billion issued across 33
deals, eclipsing last months total of $18.9 billion. Auto-related collateral, once again, accounted for the lions share of new issue volume
with $10.9 billion coming to market with cards following up with $4.5 billion. Please see a breakdown down of new issuance across all
asset classes:







ABS BWIC volume was down month-over-month with just over $3.0 billion in original face out for the bid, down from $3.8 billion in March.
Bonds backed by auto-related collateral dominated the BWIC calendar once again, accounting for approximately 63% of all bonds on
BWICs. Please see the chart below for a breakdown across all asset-classes:


GenericSpreadsbySector
PrimeAutoLoan WAL Spread SubprimeAutoLoan WAL Spread
Cl assA FIX 02 11 Cl assA FIX 01 21
2+ 20 1+ 33
Cl assB FIX 02 29 Cl assB FIX 02 34
2+ 45 2+ 75
CreditCard CreditCard
Cl assA FIX 03 15 Cl assB FIX 03 58
3+ 34 3+ 110
Cl assA FLT 03 8 Cl assB FLT 03 39
3+ 25 3+ 58
FFELPStudentLoan PrivateStudentLoan
Cl assA FLT 05 41 Cl assA FLT 02 68
5+ 64 25 97
Cl assB FLT 10+ 250 Cl assB FLT 510 249
USNewIssueABS*
AssetClass Amount(mm) NumberofDea
Auto 10,910.00 21
Card 4,480.00 5
Equi pment 2,340.00 4
Fl oorpl an 940.00 2
RateReducti on
StudentLoan(FFELP) 720.00 1
StudentLoan(Pri vate)
Total 19,390.00 33
*March26Apri l 25
Markit Structured Finance Research

/ 8









Agency

There has been a fair amount of trading in CMO derivatives this month with $4.8 bn trading hands. This has been the biggest single month
for trading since October 2013. The widening of spreads at the end of the March, gave some participants buying opportunities, which was
evident at the end of this month as spreads came back in. The refinance index is close to recent lows, which, in turn has caused
prepayment fears to subside. Low coupon low balance inverse IOs and high coupon HARP eligible collateral have been the most popular
trades.

Philippe Pagnotta
Director, Structured Finance
Markit
Tel: +44 20 7260 2214
Email: philippe.pagnotta@markit.com

Matthew Fiordaliso
Director, Structured Finance
Markit
Tel: +1 212 205 1295
Email: matthew.fiordaliso@markit.com


AutoLease
39%
AutoLoan
14%
BusinessLoan
2%
CreditCard
12%
Equipment
4%
Floorplan
10%
Receivables
0.5%
StudentLoan
18%
Others
0.5%
ABSBWICVolume(%)PerAssetClass