Deal of the week

On Wednesday HBOS closed the first UK RMBS deal since August 2007 (that we know about, anyway). Libor + 85 for AAA bonds with a 160% OC. Yep, the deal is £500M and there is £800M of collateral. 800. Just pause a moment and think about that OC. The deal can suffer 35% delinquencies with zero recovery and still be money good. That is truly an astonishing level of safety for the market to demand in return for something as rich as 85bps. Remember AAA prime UK RMBS used to trade at low teens of bps: 85 was BBB territory. Verily the Crunch is a harsh mistress.

For the curious, there are more details here and here.