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PD: ¿Alguien me puede explicar como se hace un stress test de un RMBS?
FT Alphaville » Blog Archive » Covered bonds at Barcap
Fitch Ratings has today assigned Barclays Bank Plc’s (Barclays - ‘AA’/Outlook Stable/’F1+’) first two benchmark mortgage covered bond issues of GBP1bn each, with a maturity of three and three and a half years, ‘AAA’ ratings. The ratings are based on Barclays’ Long-term Issuer Default Rating (IDR) of ‘AA’ and a Discontinuity Factor (D-Factor) of 10.8%, the combination of which enables the mortgage covered bonds to reach a ‘AAA’ rating.
The ratings also take into account committed over-collateralisation (OC) between the cover assets and the covered bonds being sufficient to sustain ‘AAA’ stress scenarios applied by the agency.
The collateral consists of first-charge, residential mortgage loans originated in England, Wales, Northern Ireland and Scotland by Barclays. As at 29 February 2008, the pool consisted of 29,012 loans totalling GBP3.58bn, with an average original loan-to-value ratio (LTV), based on the original loan balance and property value, of 55.54%.
In a ‘AAA’ scenario, Fitch has calculated a cumulative weighted average frequency of foreclosure (WAFF) for the cover assets of 13.51% and a weighted average recovery rate (WARR) of 81.02%. The cover pool has reasonable geographical diversification, with the highest concentration in London, outer Metro and south-east UK (52.05%) and the remainder well spread across other UK areas.
The nominal OC stands at 78.95%. The covered bonds benefit from a minimum level of 6.38% OC through the asset coverage test, whereby outstanding covered bonds cannot exceed 94% of the total cover pool. Comentario en el blog:
As we’ve noted in the past, covered bonds could well be a sure way of getting nervous buyers back to the mortgage securitisation market. With a hefty 22% haircut on those zombie RMBS used in the SLS, surely a real market is the preferable option.
Related links
Still value in structured AAA - FT Alphaville
Ahora hace falta algun iniciado para explicarnos todo esto.