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ABS

Tough as Granite – an RMBS case study

This weekend the team were doing more than just our Christmas shopping, we were also saying a fond farewell to one of our favourite investments of recent times – our Granite Residential Mortgage Backed Securities (RMBS).

Granite was the name that Northern Rock gave to the vehicle it used to securitise the mortgages that it originated before blowing up in 2007 – when it was no longer able to fun…

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Negative interest rates in European ABS

Negative interest rates have become increasingly prevalent in Europe owing to the expansionary monetary policy measures with a number of central banks implementing negative base rates (Switzerland, and Sweden). Two weeks ago 3 month Euribor, (the reference rate for the majority of Pan-European Asset-Backed Securities (ABS)), followed 1 month Euribor (largely the preserve of most European Auto A…

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It’s the regulation, stupid: the ECB’s ABS purchase programme

The ECB is finally joining the Quantitative Easing (QE) party. Un-sterilised asset purchases have been a major policy tool in most of the developed world over the past few years but next month (as the Fed ends theirs, incidentally) the ECB will make its first foray into QE proper by embarking on an asset backed security (ABS) purchase programme.

Through this programme, focused on “simple, trans…

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