Securitisation markets still rocky

Sarah Davidson

December 2, 2011

Analysis by Reuters suggests Clydesdale’s inclusion of a US dollar tranche in Lanark Master Issuer 2011-1 has proved favourable because it taps a market that is more liquid than the UK.

Clydesdale also removed all buy-to-let assets from the trust six months ago to make the deal purely owner-occupied and plans to issue AAA-rated tranches only.

Meanwhile the Investec issue backed by loans made by Kensington was pulled from the market earlier this week due to market conditions making it uneconomic.

The deal was announced as prime but included some non-conforming and buy-to-let mortgages.

Investec’s presale report revealed 0.44% arrears over one month, 11% of the portfolio with one county court judgement and 4% with two or more.

Reuters reported that investors indicated that the issuer was targeting a spread inside 200bp, but given that sterling-denominated prime bonds were trading in the 180bp area or wider, the spreads needed for Investec would have made the deal unworkable.

Last month Paragon completed its first securitisation since restarting new lending in a deal backed by buy-to-let loans and selling AAA rated tranches only.

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