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Credit market round up: Granite crumbles

Last month a non-asset trigger event was announced for the Granite master trust. This is securitization-speak for saying the Northern Rock master trust is dead. It is now a static pool – similar to a traditional pass-thru structure. The decision to allow the trust to breach – by allowing the seller’s (Northern Rock) interest to fall below 8.75% – increases the risk of note extension on short triple As with long legal final maturities and all non-triple A-rated notes. Even so, news of the event sent all Granite triple-A spreads wider – to 560/660bp, according to RBS ABS research.