RMBS españoles resistentes a sobresaltos, según Fitch

http://cl.invertia.com/noticias/noti...0721850&idtel=

invertia de chile, je!



PUES SI "SEVERO" ES EL TOPE, apaga y vamosnos.... a que no sabeis quien a fin de año está en la cola del inem?

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2009: Then, you win (phase 4)
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coñeeeeee, que solo la habeis visto 50!!!

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Creo que ya estamos en el escenario más severo ....
Las RMBS, rate mortgage backed security, titulizaciones de hipotecas de interes variable por su duración son muy sensibles al euribor, no daria ni un euro por ellas.

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"Deambulando entre dos mundos, uno muerto, el otro incapaz de nacer."
"La salvación del hombre está en manos de los inadaptados creativos" - Martin Luther King
"La forma más inteligente de mantener a la gente pasiva y obediente es limitar estrictamente el espectro de lo que es aceptable opinar, pero permitiendo que hayan enconados debates dentro de ese espectro" Noan Chomsky

Esto pasa por la inflacion.

Post re-start del server.

PD: ¿Alguien me puede explicar como se hace un stress test de un RMBS?

__________________

«¿Gulag? No conozco ningún gulag.».

Iósif Stalin

el fallo es haber puesto RMBS y no poner hipotecas tipo 2002-07

igual la peña no lo ve por que se echa para atras, al ver cosas qeu no entiende!!!


Forma de desestresar a las RMBS:

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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.

__________________

«¿Gulag? No conozco ningún gulag.».

Iósif Stalin

Siguen con su concepto de que la familia es una empresa, cuando no funciona así.

A la mayor parte de la gente (No inversores ni pasapieros, sino pepitos que han "aterrizado Suavemente" al maravilloso aeropuerto de la futura morosidad) le da igual que el piso en un momento dado valga mas o menos. Lo qeu le jode es el Euribor y si le echan o no del trabajo.

Y creo que si su escenario severo solo contempla una bajada del 25% en los pisos, esta mal diseñado.

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It was the year of fire... the year of destruction... the year we took back what was ours. It was the year of rebirth... the year of great sadness... the year of pain... and the year of joy. It was a new age. It was the end of history. It was the year everything changed.

yo lo que entiendo es que su simulacion de riesgo.... un 13% DE LOS EMBARGOS SE LLEVARAN A CABO!!!!, por lo que el resto iria refinanciado... no?

Lo que no me cuadra es la Tasa de Recuperacion del 81%


29012 prestamos que son 3,58 billones de libras.... con LTV de 55%, ESTO NO ES MALO..... comparado con lo que "se supone" que hay por aquí






miss marple? eddie? sephon? alvin... cualquiera...

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San Google, sobre el ratio de recuperacion en la industría, despues del dotcom crash. Y no sé sí han estado más apalancado:

NEW YORK--(BUSINESS WIRE)--Aug. 13, 2001

The year's default count continued to relentlessly advance in July. The month produced $6 billion in defaults and pushed year to date default volume to $51.6 billion. Fitch calculated a year to date default rate through July of 8.8%, up from 7.8% in June, and 5.1% for full year 2000. The trailing twelve month default rate through July was 10.7%.

Fifteen issuers defaulted on forty bond issues in July, including the fourth largest default of the year, the Chapter 11 filing by Comdisco, Inc., a computer services and equipment leasing company. Comdisco was forced into bankruptcy due in part to severe losses on loans extended to start-up ventures. Comdisco's default added $2.8 billion to the year's default tally and joins Southern California Edison, Finova, Pacific Gas and Electric, and USG in the ranks of this year's fallen angel defaults (defined as companies rated investment grade one year prior to default). Including Comdisco, fallen angel defaults total $19.8bn through July, or 38% of the seven-month volume of $51.6bn. Excluding fallen angels, Fitch calculated a year to date default rate through July of 5.8% and a trailing twelve- month default rate of 7.6%. Additional noteworthy defaults for July included specialty chemicals manufacturer, Sterling Chemicals, U.K. based wireless network operator, Dolphin Telecom, financial services company, Amresco, and internet access provider, Metricom.

Fitch's analysis of high yield default and recovery rates through June is available on Fitch's web site and is titled, `High Yield Defaults, First Half 2001 Review'. The report contains industry specific default and recovery rates. Highlights include:

-- The industry distribution of defaults for the first half of 2001 mirrored
the stark contrast in the broader economic landscape, strong consumer spending
but a sharp contraction in business investment. Consumer cyclical and
construction related sectors experienced some of the lowest default rates;

-- The telecommunication sector produced the biggest industry concentration of
defaults at $15.5 billion, or 34% of total defaults. Recovery rates on these
defaulted issues were severely depressed, falling to single digit levels and
resulting in a total loss on defaulted telecom bonds of $14.4 billion. The
weighted average recovery rate on defaulted telecom bonds was a mere 7 cents on
the dollar. The sector's default rate was 13.4% for the six-month period;

-- The weighted average recovery rate (weighted by outstanding par amount) for
first half defaults was 35 cents on the dollar. Excluding fallen angel
defaults, the weighted average rate was 11 cents. Transportation and food,
beverage and tobacco experienced the strongest industry recovery rates, both
above 30 cents. In addition to telecom's deep losses, five other sectors,
including retail, broadcasting and media, metals and mining, leisure and
entertainment, and paper and forest products, each experienced single digit
weighted average recoveries;

-- In the first half there continued to be a negligible difference in recovery
rates by seniority. Excluding fallen angel defaults, both senior unsecured
bonds and subordinated bonds experienced weighted average recovery rates
slightly above 10 cents. A small sample of senior secured bonds recovered 22
cents on the dollar;

-- Comparing the distribution of defaults in 2000 and 2001 by issuance date
revealed that in the first half of 2001 there was a material pick-up in
defaults from deals brought to market as recently as 2000 and 1999. The finding
suggests that market appetite for riskier deals, in this case, primarily for
telecom credits, continued to be strong beyond the record issuance years of
1997 and 1998. Many of this year's defaulted telecom issuers, including
Winstar, 360Networks, Viatel, RSL Communications, and PSINet sold multiple bond
issues in 1999 and in the early part of 2000.
Overview of the Fitch High Yield Default Index

Fitch's default index is based on the U.S., dollar denominated, non-convertible, speculative grade bond market (the rating equivalent of BB+ and below). Fitch includes rated and non- rated, public bonds and private placements with 144A registration rights. Defaults include missed coupon or principal payments, bankruptcy, or distressed exchanges. Default rates are calculated by dividing the volume of defaulted debt by the average principal volume outstanding for the period.

Fitch's high yield default studies are available on Fitch's web site at `Fitch Ratings' or by contacting Market Services at 1-800-853-4824.

PD: Como nota personal, uno de mis mejores amigos mios trabaja en Alemania en el departamento judicial de un banco y del 80% ni hablar, pero con distancia.

__________________

«¿Gulag? No conozco ningún gulag.».

Iósif Stalin

manteemos un poco... a ver si alguien explica...

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ojito con las inmobiliarios

ultimas tablas de cajas actualizadas

2006: First, they ignore you (phase 1)
2007: Then, they laugh at you (phase 2)
200 Then, they fight you (phase 3)
2009: Then, you win (phase 4)
2010: Now, capitulación