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Uk Mortgage Backed Securities - Prime Or Subslime?

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Wow, this is back from 2004.

Keep an eye out for any news on "master trusts".


An uneasy look at U.K. master trusts as spreads show slight widening

Nora Colomer, Asset Securitization Report--SourceMedia (June 7, 2004)

As U.K. master trust issuance climbs to unprecedented levels, market analysts are taking a closer look at the structure and how it has evolved over the last year. Several firms have been issuing analytical notes that look at the changing nature of assets included in master trust portfolios (see ASR 12/9/03)

Commerzbank puts master trust issuance levels at 69% of U.K. residential mortgage risk securitized in 2003, an increase of 36% over levels recorded the prior year.

The main concern that has been brewing is, "What constitutes a prime mortgage?" Analysts argue that, as the market has evolved, the parameters that dictate what type of loans can be included in these deal structures has evolved as well. One point of contention, however, is that it has become more difficult to distinguish between prime and non-prime pools, as the introduction of buy-to-let and self-certified mortgage products by prime lenders has blurred the distinguishing line.

"[Royal Bank of Scotland] and Northern Rock are now the seventh and 10th largest lenders of buy-to-let loans, respectively, and Halifax estimates that 70% of the new loans that they originate are self-certified," reported analysts at BNP Paribas. "These all are prime' master trust originators."

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