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Alternative Market Briefing

Securitisations expert finds hidden value in European RMBS market

Thursday, March 06, 2014

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Judith Sabbah-Sciamma
Benedicte Gravrand, Opalesque Geneva:

According to Judith Sabbah-Sciamma, a securitisations expert, the RMBS market in Europe offers some real opportunities.

Judith Sabbah-Sciamma is CEO, CIO and Portfolio Manager of London-based WyeTree Asset Management, which she joined in 2007 to launch the residential asset and ABS platform after more than 15 years of portfolio management and asset analysis experience behind her.

Dutch residential mortgage-backed securities (RMBS) grew by 31% to €15.8bn in 2013, while UK RMBS fell to €5.2bn from €22.3bn. On the back of that, the Financial Times reported last month, €180.9bn of asset-backed securities were issued in Europe in 2013, according to figures from the Association for Financial Markets in Europe, a decline of 38.7% from 2012. This was apparently due to European banks, the major originators of European securitisations, being on a deleveraging mode.

The sizes of the U.S. market ($1tln of U.S. RMBS left in non-agency market) and of the European market (€1tln of European RMBS) are similar and this is just about what those two markets have in common, Sciamma says during a recent Opalesque TV interview. Otherwise, the delinquency numbers among U.S. non-agency RMBS, ......................

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