Oliver Wyman's last Friday published valuations of the troubled RMBS and CLOs held by Spanish banks that would be bought by the Spanish government's "bad bank". The analysis provides a benchmark for the kind of losses securitized transactions face, said Royal Bank of Scotland (RBS) analysts in a report published on Monday.

The "bad bank" would buy a large amount of the assets and inject capital into the banks to cover the resultant shortfall of capital.

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