Excess Spread — Storm in a teacup, clear the exits, securitise everything
•9 min read
Storm in a teacup?
Bridgegate Funding (Project Typhoon), priced just over a year ago, was a remarkable deal — a £2.8bn portfolio of some of the worst mortgages ever seen outside the NPL / RPL universe, a broad marketing process to deconsolidate these from the Lloyds balance sheet and take them out of the stress-testing perimeter, and a big cheque written by Pimco to win the deal. It was also the first investment bank risk retention for the Lloyds asset-backed investment banking business, which also held the triple-A note, as it did in Performer Funding, the Pimco-deconsolidation trade at the end of last year.