Lehman Brothers has launched another residential mortgage-backed securitisation deal made up of near-prime, interest only, self-cert and remortgages.
Eurosail UK 2007-5NP follows on from its previous RMBS which was backed by loans originated by Alliance & Leicester for Southern Pacific Mortgage Limited.
Sources have indicated that the Eurosail Prime UK-2007-A deal which was due to close last week was not placed externally after pricing talk ended.
The new transaction features multiple originators. It comprises mortgages originated by SPML (51.34 per cent), Preferred Mortgages (39 per cent), Matlock London (6.7 per cent) and Alliance & Leicester (2.96 per cent).
According to Fitch, this deal has a higher proportion of near-prime loans – at 78.69 per cent) – compared to Eurosail UK 2007-A which had 45.86 per cent.
Fitch says that the collateral in this RMBS has a higher proportion of loans with CCJs – 20.25 per cent – and BO/IV1 (1.1 per cent) which are absent from the previous RMBS.
Its triple A 2.6 years notes are currently being priced at +70 basis points.
A sign of how much the credit crunch has had an impact on RMBS deals can be seen when compared to the +12 bps level achieved by a previous Eurosail UK 2007-2NP deal done in March.