According to Fitch Ratings, Eurosail 2006-3 withdrew £360,492 from its £2,189,508 fund and while a reserve draw has not been unusual in recent months, up until now these have been for hedging issues or other market factors.
However, Andy Brewer, senior director in Fitch Ratings’ structured finance performance analytics team, said that the securitisation’s hedging was fine but the draw was different.
“The reserve fund draw in Eurosail 2006-3 is predominantly due to traditional performance-related issues, rather than the structural and market driven withdrawals we have seen recently in other transactions.”
Fitch also warned that a number of other securitisations could be set for reserve fund draws in the coming weeks and months.
Mark Sismey-Durrant, chief executive of Heritable Bank, believed this was significant news.
He said: “This suggests it could be the start of a decline in non-conforming securitisations. It’s a question of what is included within the securitisation but with the level of arrears expected to go up, non-conforming securitisations could become a problem as this is where the arrears potential is concentrated. People just cannot refinance any longer on non-conforming mortgages.”
Lehman Brothers declined to comment on the reserve draw.
