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Credit Suisse is set for £340m sub-prime RMBS

Credit Suisse Group is launching a £340m securitisation made up of sub-prime mortgages which Fitch Ratings says is the first sub-prime RMBS deal of this year.

The Alba 2012-1 transaction, is backed by sub-prime mortgages initially originated by GMAC-RFC. It has been given an AAA rating by Fitch.

Of the whole pool of mortgages, around £180m will be placed with end investors.

The average loan to value ratio of the mortgages is 93 per cent. The proportion of loans with arrears of up to 90 days is 8.9 per cent and the proportion of loans with arrears of 90 days or more is 2.5 per cent.

Credit Suisse launched a similar deal in May, backed by £482m of sub-prime mortgages originated by GMAC-RFC, Mortgages plc, Edeus, Wave Lending and Platform.

It has been difficult in recent years to place deals that contain anything but prime loans.

In November, Kensington Mortgages parent Investec tried to place a £204m non-conforming transaction called Gemgarto 2011-1 but decided to postpone an issue, citing pricing issues as a result of market conditions.

Home Funding chief executive Tony Ward says: “I would invest in something that is less than perfect compared with other assets, as long as it is rated properly.”

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  1. AAA rating? I don’t quite understand this – probably a Gap Fill issue – but how can a sub-prime securitisation of mortgages with an average 93% LTV (average, by the way) with 8.9% of mortgages up to 90 days in arrears and a further 2.5% in arrears of more than 90 days be AAA rated?

    Am I missing the point somewhere? Can someone enlighten me please?

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