DG HYP, DZ Bank and KfW are launching the first multiseller transaction to securitize small commercial German mortgage loans. PROSCORE-VR 2005-1 will pool the risks from small commercial mortgage loans -- the maximum size is 2.5 million ($2.9 million) -- of different cooperative credit institutions. The structure is similar to the KfW sponsored PROVIDE platforms. Roughly 95% of the securitized reference claims are originated by DG HYP, the rest come from six other cooperative banks. For the securitization, KfW will initially assume the default risk of the underlying credit portfolios of DG HYP and the participating cooperative banks. Under the leadership of DZ BANK the risk will then be placed in the international capital and swap markets. Around 183 million will be securitized via credit-linked notes and the remaining risk of about 551 million is covered by a credit default swap.
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According to the Federal Reserve Board's latest financial stability report, persistent inflation and policy uncertainty are the primary worries for banks. Survey respondents expressed heightened anxiety over murky policy outlooks due to geopolitical turmoil and rapidly approaching domestic elections.
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With a high proportion of fixed-rate, interest-only underlying loans, the notes have almost no amortization, and three CRE loans have standalone, investment-grade opinions.
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The fixed-rate loans are divided into three sub-pools that relied on rating methods from the RMBS, CMBS and ABS sectors to assess their risks.
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The House Financial Services Committee also sent to the full House two bipartisan bills, including one that would prevent large banks from opting out of having to recognize Accumulated Other Comprehensive Income in regulatory capital.
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The portfolio does not have any meaningful originations that have completed a full repayment cycle, making the company's performance data thin.
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Formerly of Wells Fargo, she will coordinate several key units to create a structure for a sustained capital markets program that capitalizes on recent innovation and growth in home equity finance.
April 17