The sterling tranche will have an average life of 2.9 years, while the euro tranche will have an average life of 4.9 year. The average life of the dollar tranche was debated during the marketing process at the ABS Vegas conference, but the announced capital structure on Thursday came with a 4.9 year life.
Nationwide will, however, have to convince US investors that it is committed to the market, after a three year absence since Silverstone 2012-1 in March 2012. That deal includes $2.05bn of dollars, split into a $1bn three year and a $1.05bn five year.
Leads BAML, Barclays, Citi and Deutsche Bank published initial price thoughts on Thursday, at 40bp area for the three year sterling, 30bp area for the five year euros and 55bp area for the five year dollars. All tranches were subject for European accounts at the close of business on Thursday, with pricing targeted for Friday.
Two traders away from the lead managers had expected that the five year euro tranche would come between 35bp and 40bp over three month Euribor, while the three year sterling would come between 30bp and 35bp — substantially tighter than 40bp initial pricing talk. The wider level of the dollar tranche is helped by the easier swap from dollars, meaning Nationwide can give away more on the spread.
According to the trader, very little flow has been seen in prime UK master trust RMBS, which has largely been locked away in portfolios. With very low new issue supply since 2012, investors have avoided trading out of deals because of the difficulty of getting invested again.
Senior euro notes in Granite, the Northern Rock master trust, are seen are 40bp, but with a short average life of around one year.