Europe Credit & Securitized Products Research02 January 2024J P M O R G A Nwww.jpmorganmarkets.comInternational Securitisation ResearchMeghan Kelleher AC(44-20) 7134-2591meghan.c.kelleher@jpmorgan.comJ.P. Morgan Securities plcDaksh Thakkur(91-22) 6157 5845daksh.thakkur@jpmchase.comJ.P. Morgan India Private LimitedPrakhar Agarwal(91-22) 6157 3046prakhar.x3.agarwal@jpmchase.comJ.P. Morgan India Private LimitedIn this Flashnote:…, we summarise the important news items across International ABS market that have been released since 15 December 2023, which may have escaped unnoticed during the holiday season.See page 8 for analyst certification and important disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.Flashnote:.. While you weren�t looking...2023Year-end International Securitisation market news wrap2Meghan Kelleher AC(44-20) 7134-2591meghan.c.kelleher@jpmorgan.comEurope Credit & Securitized Products Research02 January 2024J P M O R G A NPrimary NewsPriced DealsFigure 1: Newly priced UK transactionsTrancheNotional (in £mm)WALDM (SONIA+)/Price Guidance (original) - (SONIA+)Coverage ratioTrancheWALDM (SONIA+) / Price TrancheWALDM (SONIA+) / Price A119.22.1Y395SeniorN/A325A3.0Y118B126.6N/A3.0% (Fixed)B3.0Y250A (Preplaced)265.81.8Y110A1.7Y115A2.1Y117B (Preplaced)12.32.0Y200B1.8Y220B2.9Y200C (Preplaced)8.72.0Y300C1.8Y320C2.9Y300D (Preplaced)9.62.0Y400D1.8Y430D2.9Y405Wolf Receivables Financing 3 plc - UK Consumer ABSOriginator/Seller - Lowell FinancialComparison 1 - Wolf Receivables Financing (Apr-22)Comparison 2 - PCLF 2023-1 (Apr-23)Collateral pool: Re-performing collateral; c.234.6K obligors; Avg. loan size £2.7K; WA Seasoning 211 months;Step-up date: In January 2029, when the coupon margins on the Class A notes increases by 100bp.Tower Bridge Funding 2024-1 plc - UK BTL RMBSOriginator/Seller - Belmont Green Finance LtdComparison 1 - TWRBG 2023-2 (May-23)Comparison 2 - MORTI 2023-1 (Nov-23)Collateral pool: Not available at the time of publicationStep-up date: In January 2026, when the coupon margins on the tranches increase by 1.5x, subject to maximum increase of 100bp.Source: J.P. Morgan, Concept ABS.Figure 2: Newly priced Eurozone transactionsTrancheNotional (in €mm)WALDM (3m€+)/Price Guidance (original) - (1m€+)Coverage ratioTrancheWALDM (3m€+) / Price TrancheWALDM (1m€+) / Price A (Private)930.02.8Y3.45% (fixed)A0.70% (fixed)Volta VIII Electricity Receivables Securitisation (Tagus STC) - Portuguese Commercial ABSOriginator/Seller - Energias de PortugalComparison 1 - VERSE 7 (Jun-19)Comparison 2 - NACollateral pool: Portuguese electricity tariff deficit receivablesSource: J.P. Morgan, Concept ABS.Pipeline DealsFigure 3: New UK deals added to...
