European ABS Market – A Week In Review By Markit

Britannia Building Society’s credit rating downgrade cast a shadow over the asset-backed securities market in Europe, particularly in the U.K. Like Bradford & Bingley, the buy-to-let specialist that issued a profit warning earlier this month, Britannia relies heavily on a U.K. residential mortgage-backed securities issuer, Leek, to fund loan origination. We expect risk premiums on Leek deals to increase significantly. (See Appendix 1 for Leek 19 collateral analysis provided by Markit ABS Performance).