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Clydesdale and Yorkshire banks launch £1.04bn RMBS

Clydesdale and Yorkshire banks have priced their latest pool of residential mortgage backed securities at £1.04bn.

The pool is split into two tranches; a three-year US dollar pool valued at $800m (£510m) and a five-year sterling pool valued at £525m. The dollar pool carries a rate of three-month Libor plus 140bps, while the sterling pool comes at three-month Libor plus 163bps.

Fitch has rated both tranches ‘AAA’, although the agency says it has had to make a number of assumptions about the portfolio in the absence of some data.

Fitch says: “Clydesdale was not able to provide the year of construction for the loans in the portfolio. In the absence of this data, Fitch assumed that 10 per cent of the properties in the pool are new builds and may have benefited from incentives such as builders’ deposits. A haircut of 5 per cent has been applied to the valuation of these properties.

“Clydesdale was also unable to provide valuation types on 39 per cent of the pool. Fitch has therefore conservatively assumed these to be drive-by valuations and applied a 2 per cent haircut to the valuations of these loans.”

Clydesdale Bank has 14,979 mortgage loan parts, amounting to 35.92 per cent of the portfolio while the remaining 64.08 per cent is derived from 26,720 mortgage loan parts taken from Yorkshire Bank Home Loan’s book.

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  1. Fitch has rated both tranches ‘AAA’, although the agency says it has had to make a number of assumptions about the portfolio in the absence of some data.

    Isnt this the kind of approach that caused the credit crunch?

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