Repo agreements in RMBS warehouse securitisation

Jan 2017: Jefferies has set up a further series of repo agreements with three lenders where it issues RMBS through its Trust vehicle and uses the money to buy lenders' mortgages and sells those mortgages to GSEs (eg FNMA). After a year the repos end and it is supposed to be in funds to repay the RMBS. If it has no funds the RMBS remain outstanding and are serviced by the mortgages Jefferies could not sell to raise cash. Details here and here.

It has used the revolving backk-to-back repo structure previously, eg see here for 2016 transaction.