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’Super senior moments at RBS
It’s the middle of 2007. Executives at RBS are joining the dots about how even super senior tranches of CDOs offer scant protection in the face of a tsunami of subprime defaults.
A structure which would become commonly understood by many,
S&P takes away (CDO) diversification candy
Some very interesting proposed changes to Standard & Poor’s rating methodology for CDOs made of stuff like ABS, in the following request for comment, we think:
Standard & Poor’s Ratings
A PrimeX primer, also featuring ABX
Last week, Fitch completed a review of U.S. Prime RMBS looking at transactions involving thousands of bonds. As a result of their review, 42 per cent of the portfolio was downgraded. Since then, a tradeable index linked to a subset of prime mortgages has been falling in value and was last seeing travelling towards par.
Eurozone CDO – we have a mezzanine problem
The EFSF is like a CDO. So is the entire eurozone — an analogy which has been made ad nauseum.
The point being that the eurozone is now all about sharing and portioning its members’ debt.
So if you think the eurozone saga has suddenly turned to Italy’s current debt dynamics — think again.
Tranching up Europe’s interest rate rises
Ever pondered the big questions? The meaning of life? Are we alone in the universe? What will happen to European RMBS once interest rates start rising? We have.
And we have an answer — to the last one anyway.
ABS, CDS and various other acronyms in Australia
Your daily dose of financial innovation, right here.
Flexi ABS Trust 2011-1 may be a structured finance deal you’ve never heard of, but it’s making waves amongst securitisation types in Australia. Put simply it’s the first ever Australian deal to bundle interest-free payment plans for retail goods like jewellery,
An indecent (Greek) proposal
Confused about the French proposal for Greece? Everyone seems to be.
Here’s what we know — or at least, what we think we know given that nothing has been made public.
Greek government bonds (GGBs) that were to be redeemed between 2011 and 2014 will now be partially reinvested into brand spanking new 30-year GGBs.
Back to the future with UK RMBS
Your extend and pretend datapoint du jour, right here folks.
On Monday, Moody’s released a report advocating more disclosure of loan modifications within British Residential Mortgage-Backed Securities (RMBS). The UK’s Financial Services Authority already said something similar last month,
The other (missing) side of risk retention?
Risk retention is all about ‘aligning the incentives’ of various securitisation players.
But CreditSights analysts reckon regulators may have grabbed the wrong end of the securitisation stick, so to speak,
Premium capture is the new 436(g), Citi says
The repeal of Rule 436(g) sent the securitisation industry into a tizzy in the summer of 2010.
Now a component of last week’s proposed risk retention rules for Mortgage-Backed Securities (MBS) is sparking comparisons from some analysts,
Back to the future with CMBS
Blink and you might have missed it — but the market for Commercial Mortgage-Backed Securities (CMBS) reopened about 15 months ago with three transactions.
But the deals, issued in late 2009, were not CMBS as we knew them pre-financial crisis.
Ireland LLC
Here’s an unexpected press release from the Irish Funds Industry Association:
Irish Funds Industry Continues Expansion
TOTAL assets under administration in Ireland have reached a record high and are fast approaching the €2 trillion mark.
RBS and Rec 6, a CMBS story
Here’s a CMBS saga, if ever there was one.
If you worked on an asset-backed securities desk or similar, you might have seen some interesting RBS run requests cross your inbox just after November 10.
The mother-of-all MERS fixes
Here’s an, erm, efficient way to solve problems around MERS — the Mortgage Electronic Registration Systems Inc. that’s been making headlines in recent months.
From an unconfirmed report by consumer-advocate Neil Garfield:
Collateralised contagion
Interactive graphics at their best, this.
Network scientist Valedis Krebs has created a visualisation of ownership in Collateralized Debt Obligations (CDOs) — all that securitised cross-ownership.
To make it,
Toxic Pub Co. meets toxic bond insurer
You won’t find Ambac mentioned in Punch Tavern’s most recent annual report.
But it’s there. Hovering — waiting — in the background.
The zombie US bond insurer began guaranteeing some of the British (toxic) pub co.’s formidable securitisation programmes back in 2003.
CDO lemons, a government fruit bowl
‘Asymmetric information’ in Collateralised Debt Obligations is not a good thing.
That much we know from Goldman Sachs’ Abacus 2007-AC1 CDO and, err, Goldman Sachs’ Abacus 2006-13 and Abacus 2006-17 deals.
Structured, structured finance
October may be over, but it will go down in covered bond history (ahem) as the month which saw the debut of not one, but two covered bonds backed by RMBS.
That’s a debt security backed by Residential Mortgage-Backed Securities.
A stab at securitisation
Some weekend foreclosure scandal, securitisation-related reading.
It’s based on a 159-page class action lawsuit, filed in Kentucky on behalf of all Kentuckian homeowners, and against MERS and several financials.
Taxing times for MBS
Back in the 1980s — when Lewis Ranieri was still fighting for the legal status of MBS — something seminal happened for the mortgage securitisation market.
The Tax Reform Act was passed by the US in 1986,
The MBS mess from the beginning – the deal docs
Mike Konczal at Rortybomb, has a quick rebuff for anyone who thinks the foreclosure scandal is creating a mountain out of a molehill (of mortgage paperwork).
It’s this pooling and servicing agreement for GSAMP Trust 2006-FM1.
The mother of all (RMBS) tranche warfare
From the foreclosure freeze, to the tranche warfare.
The Wall Street Journal mentioned the issue last week, as does Mike Konzcal over at Rortybomb in his excellent ‘Foreclosure Fraud for Dummies’ piece.