Dublin Opinion

Following on from Monday’s post, some more SPVs backed by Irish residential mortgages - an extra €44 billion, giving a total so far of €76 billion in securities backed by Irish residential mortgages.

AIB Mortgage Bank (AIB) - €11.87 billion

Celtic Residential Irish Mortgage Securitisation - (Ulster Bank) - €20.627 billion

Phoenix Funding Limited - (KBC Bank) - €11.55 billion

[Note: ISIN = International Securities Identification Number. A unique international code which identifies a securities issue. Each country has a national numbering agency which assigns ISIN numbers for securities in that country.]

AIB MORTGAGE BANK - originator, AIB

AIB Mortgage Bank €20,000,000,000 Mortgage Covered Securities Programme

2 Series 2 Mortgage Covered Securities due 30 April 2013 - ISIN: XS0250267647 - Amount Listed €1,000,000,000

4 Series 4 4.875per cent Mortgage Covered Securities due 29 June 2017 - ISIN: XS0308936037 - Amount Listed €1,675,000,000

7 Series 7 Floating Rate Mortgage Covered Securities due 02 October 2013 - ISIN: XS0391117057 - Amount Listed €1,000,000,000

Series 9 EUR 1,000,000,000 Floating Rate Mortgage Covered Securities due 28 September 2014 - ISIN: XS0455458140 - Amount Listed €1,000,000,000

Series 10 Floating Rate Mortgage Covered Securities due 10 December 2016 - ISIN: XS0471546183 - Amount Listed €2,500,000,000

Series 11 Floating Rate Covered Securities due 3 February 2018 - ISIN: XS0483912068 - Amount Listed €850,000,000

Series 12 Issue of EUR 10000000 Fixed Rate MOrtgage Covered Securities due 12 February 2030 - ISIN: XS0486207870 - Amount Listed €10,000,000

Series 13 Issue of EUR 10000000 Fixed Rate Mortgage Covered Securities due 1 March 2030 - ISIN: XS0489775535 - Amount Listed €10,000,000

Series 14 Issue of EUR 5000000 Fixed Rate Mortgage Covered Securities due 28 April 2028 - ISIN: XS0504676510 - Amount Listed €5,000,000

Series 18 Issue of EUR 1800000000 Floating Rate Mortgage Covered Securities due 20 December 2012 - ISIN: XS0609424717 - Amount Listed €1,800,000,000

Series 19 Issue of EUR 20000000 Floating Rate Mortgage Covered Securities due 22 December 2014 - ISIN: XS0724579866 - Amount Listed €20,000,000

Series 20 Issue of EUR 750000000 Floating Rate Mortgage Covered Securities due 16 October 2012 - ISIN: XS0757046155 - Amount Listed €750,000,000

Series 21 Issue of EUR 1250000000 Floating Rate Mortgage Covered Securities due 16 November 2013 - ISIN: XS0757046239 - Amount Listed €1,250,000,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION - originator: Ulster Bank

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO. 9 PLC - Prospectus here.

Class A1 Mortgage Backed Floating Rate Notes due 2047 - ISIN: XS0235752994 - Amount Listed €612,500,000

Class A2 Mortgage Backed Floating Rate Notes due 2047 - ISIN: XS0235753299 - Amount Listed €1,067,500,000

Class B Mortgage Backed Floating Rate Notes due 2047 - ISIN: XS0235753372 - Amount Listed €70,000,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.10 P.L.C - Prospectus here.

Class A1 Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0262422586 - Amount Listed €447,500,000

Class A2 Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0262424012 - Amount Listed €1,253,000,000

Class B Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0262424525 - Amount Listed €89,500,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.11 PLC - Prospectus 7 December 2006 HERE.

Class A1a Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790359 - Amount Listed €435,600,000

Class A1c Mortgage Backed Floating Rate Notes due 2048 -ISIN: XS0275790433 - Amount Listed €185,000,000

Class A2a Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790516 - Amount Listed €385,000,000

Class A2b Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790607 - Amount Listed €328,000,000

Class A3a Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790789 - Amount Listed €1,388,800,000

Class A3c Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790862 - Amount Listed €586,000,000

Class Ba Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275790946 - Amount Listed €77,000,000

Class Ca Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275791084 - Amount Listed €147,400,000

Class Cc Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0275791167 - Amount Listed €17,500,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.12 LIMITED - Prospectus here.

Class A1 Mortgage Backed Floating Rate Notes due 2049 - ISIN: XS0305169236 - Amount Listed €325,065,000

Class A2 Mortgage Backed Floating Rate Notes due 2049 - ISIN: XS0305170242 - Amount Listed €487,500,000

Class A3 Mortgage Backed Floating Rate Notes due 2049 - ISIN: XS0305171059 - Amount Listed €1,010,685,000

Class B Mortgage Backed Floating Rate Notes due 2049 - ISIN: XS0305171562 - Amount Listed €39,000,000

Class C Mortgage Backed Floating Rate Notes due 2049 - ISIN: XS0305172610 - Amount Listed €87,750,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO 14 LIMITED

Class A1 Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0397712414 - Amount Listed €1,000,000,000

Class A2 Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0397714386 - Amount Listed €1,000,000,000

Class A3 Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0397715359 - Amount Listed €1,000,000,000

Class A4 Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0397716167 - Amount Listed €1,000,000,000

Class A5 Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0397716837 - Amount Listed €763,150,000

Class Z Mortgage Backed Floating Rate Notes due 2051 - ISIN: XS0399929735 - Amount Listed €1,309,850,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.15 LIMITED

EUR700000000 Class A2 Mortgage Backed Floating Rate Notes due June 2055 - ISIN: XS0444438138 - Amount Listed €700,000,000

EUR700000000 Class A1 Mortgage Backed Floating Rate Notes due June 2055 - ISIN: XS0444431471 - Amount Listed €700,000,000

EUR700000000 Class A3 Mortgage Backed Floating Rate Notes due due June 2055 - ISIN: XS0444451313 - Amount Listed €700,000,000

EUR700000000 Class A4 Mortgage Backed Floating Rate Notes due June 2055 - ISIN: XS0444456460 - Amount Listed €700,000,000

EUR547050000 Class A5 Mortgage Backed Floating Rate Notes due June 2055 - ISIN: XS0444468127 - Amount Listed €547,050,000

EUR1112895000 Class Z Mortgage Backed Floating Rate Notes due June 2055 - ISIN: XS0444479165 - Amount Listed €1,112,895,000

CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO. 16 LTD

EUR 260,000,000 Class A1 Mortgage Backed Floating Rate Notes due September 2051 - ISIN: XS0474129433 - Amount Listed €260,000,000

EUR 260,000,000 Class A2 Mortgage Backed Floating Rate Notes due September 2051 - ISIN: XS0474133385 - Amount Listed €260,000,000

EUR 257,000,000 Class A3 Mortgage Backed Floating Rate Notes due September 2051 - ISIN: XS0474133625 - Amount Listed €257,000,000

EUR 277,389,000 Class Z Mortgage Backed Floating Rate Notes due September 2051 - ISIN: XS0474134193 - Amount Listed €277,389,000

PHOENIX FUNDING LIMITED - Originator, KBC Homeloans/KBC Bank Ireland

PHOENIX FUNDING 2 LIMITED

Class A Mortgage Backed Floating Rate Notes due June 2050 - ISIN: XS0370442377 - Amount Listed €7,125,000,000

Class B Mortgage Backed Floating Rate Notes due June 2050 - ISIN:XS0370443003 - Amount Listed €375,000,000

PHOENIX FUNDING 3 LIMITED - Prospectus here.

Class A Mortgage Backed Floating Rate Notes due 2050 - ISIN: XS0398593433 - Amount Listed €3,040,000,000

Class B Mortgage Backed Floating Rate Notes due 2050 - ISIN: XS0398593789 - Amount Listed €160,000,000

PHOENIX FUNDING 4 LIMITED - Prospectus here.

Class A Mortgage Backed Floating Rate Notes due 2046 - ISIN: XS0441360319 - Amount Listed €748,000,000

Class B Mortgage Backed Floating Rate Notes due 2046 - ISIN: XS0441360749 - Amount Listed €102,000,000

I’ve been trying to find out just how much of the Irish mortgage book has been securitised. This is what I’ve found so far:

Emerald Mortgages (EBS) - €4 billion

Kildare Securities (Bank of Ireland) - €3.45 billion

Fastnet Securities (Irish Life & Permanent) - €23.774 billion

Lansdowne Mortgage Securities (Start Mortgages) - €729 million

So, there’s at least €32 billion in Irish securities out there, based on a defaulting Irish mortgage market.

That’s the base figure. I still have to delve into the securities based on the mortgage books of AIB, KBC Bank and Ulster Bank.

Anyway, what I have found so far…

[Note: ISIN = International Securities Identification Number. A unique international code which identifies a securities issue. Each country has a national numbering agency which assigns ISIN numbers for securities in that country.]

EMERALD MORTGAGES - originator: EBS Building Society

EMERALD MORTGAGES NO.4 PLC

Class A Secured Floating Rate Bonds Due 2048 - ISIN: XS0260593727 - Amount Listed - €1,428,000,000

Class B Secured Floating Rate Bonds Due 2048 - ISIN: XS0260595185 - Amount Listed - €34,500,000

Class C Secured Floating Rate Bonds Due 2048 - ISIN: XS0260595854 - Amount Listed - €37,500,000

From Bloomberg, 26 March 2012:

Moody’s Investors Service downgraded the ratings of Irish RMBS notes issued by Emerald Mortgages No. 4 plc and Kildare Securities Limited.

“Emerald 4 and Kildare are performing worse than Moody’s expectations as of the latest review in July 2011,” the ratings company said. “As of February 2012, loans more than 90 days in arrears have increased to 8.3 percent of current balance in Emerald 4 and 5.9 percent in Kildare, which constitutes an approximately 40 percent and 35 percent increase, respectively, compared to the levels as of June 2011.”

EMERALD MORTGAGES NO. 5 PLC

Class A Secured Floating Rate Bonds due 2050 - ISIN: XS0352154503 - Amount listed : €2,375,000,000

Class B Secured Floating Rate Bonds due 2050 - ISIN: XS0352155146 - Amount listed - €125,000,000

KILDARE SECURITIES LIMITED - originator: ICS Building Society, a subsidiary of Bank of Ireland

[Kildare Securities Prospectus here.]

Class A1 Mortgage Backed Floating Rate Notes due June 2014 - ISIN: XS0286335053 - Amount Listed - €724,800,000

Class A2 Mortgage Backed Floating Rate Notes due December 2043 - ISIN: XS0286335210 - Amount Listed - €1,451,600,000

Class A3 Mortgage Backed Floating Rate Notes due December 2043 - ISIN: XS0286335996 - Amount Listed - €1,062,000,000

Class B Mortgage Backed Floating Rate Notes due December 2043 - ISIN: XS0286336374 - Amount Listed €96,800,000

Class C Mortgage Backed Floating Rate Notes due December 2043 - ISIN - XS0286336531 - Amount Listed €90,600,000

Class D Mortgage Backed Floating Rate Notes due December 2043 - ISIN: XS0286336887 - Amount Listed - €26,550,000

FASTNET SECURITIES - originator: Irish Life & Permanent [see here for details and reports]

[Fastnet prospectus here - Fastnet presentation here.]

FASTNET SECURITIES 2 PLC

Class A2 Mortgage Backed Floating Rate Notes due August 2043 - ISIN: XS0256130401 - Amount Listed €1,656,000,000

Class B Mortgage Backed Floating Rate Notes due August 2043 - ISIN: XS0256132795 - Amount Listed €50,000,000

Class C Mortgage Backed Floating Rate Notes due August 2043 - ISIN: XS0256133686 - Amount Listed €44,000,000

Class D Mortgage Backed Floating Rate Notes due August 2043 - ISIN: XS0256134494 - Amount Listed €56,000,000

FASTNET SECURITIES 3 LTD

Class A1 Mortgage Backed Floating Rate Notes due August 2049 - ISIN: XS0336037469 - Amount Listed €2,800,000,000

Class A2 Mortgage Backed Floating Rate Notes due August 2049 - ISIN: XS0336038194 - Amount Listed €2,800,000,000

Class B Mortgage Backed Floating Rate Notes due August 2049 - ISIN: XS0336038608 - Amount Listed €2,400,000,000

FASTNET SECURITIES 4 LTD

Class A1 Mortgage Backed Floating Rate Notes due March 2050 - ISIN: XS0369429161 - Amount Listed €2,080,000,000

Class A2 Mortgage Backed Floating Rate Notes due March 2050 - ISIN: XS0369429674 - Amount Listed €2,080,000,000

Class A3 Mortgage Backed Floating Rate Notes due March 2050 - ISIN: XS0369429831 - Amount Listed €2,080,000,000

Class B Mortgage Backed Floating Rate Notes due March 2050 - ISIN: XS0369430763 - Amount Listed €260,000,000

FASTNET SECURITIES 5 LTD

Class A1 Mortgage Backed Fixed Rate Notes due September 2050 - ISIN: XS0392181946 - Amount Listed €342,800,000

Class A2 Mortgage Backed Fixed Rate Notes due September 2050 - ISIN: XS0392182753 - Amount Listed €342,650,000

Class A3 Mortgage Backed Fixed Rate Notes due September 2050 - ISIN: XS0392183058 - Amount Listed €342,650,000

Class B Mortgage Backed Fixed Rate Notes due September 2050 - ISIN: XS0392183645 - Amount Listed €440,655,672

FASTNET SECURITIES 6 LTD

Class A1 Mortgage Backed Floating Rate Notes due December 2050 - ISIN: XS0398511567 - Amount Listed €648,000,000

Class A2 Mortgage Backed Floating Rate Notes due December 2050 - ISIN: XS0398511997 - Amount Listed €648,000,000

Class A3 Mortgage Backed Floating Rate Notes due December 2050 - ISIN: XS0398512292 - Amount Listed €648,000,000

Class B Mortgage Backed Floating Rate Notes due December 2050 - ISIN: XS0398512375 - Amount Listed €456,000,000

FASTNET SECURITIES 7 LIMITED

Class A1 Mortgage Backed Fixed Rate Notes due March 2051 - ISIN: XS0418130240 - Amount Listed €300,000,000

Class A2 Mortgage Backed Fixed Rate Notes due March 2051 - ISIN: XS0418130596 - Amount Listed €300,000,000

Class A3 Mortgage Backed Fixed Rate Notes due March 2051 - ISIN: XS0418131131 - Amount Listed €300,000,000

Class B Mortgage Backed Fixed Rate Notes due March 2051 - ISIN: XS0418131727 - Amount Listed €600,000,000

FASTNET SECURITIES 8 LIMITED

EUR 483000000 CLASS A1 MORTGAGE BACKED FIXED RATE NOTES DUE DECEMBER 2051 -ISIN: XS0496212217 - Amount Listed €483,000,000

EUR 483000000 CLASS A2 MORTGAGE BACKED FIXED RATE NOTES DUE DECEMBER 2051 - ISIN: XS0496212720 - Amount Listed €483,000,000

EUR 483000000 CLASS A3 MORTGAGE BACKED FIXED RATE NOTES DUE DECEMBER 2051 - ISIN: XS0496213967 - Amount Listed €483,000,000

EUR 651000000 CLASS B MORTGAGE BACKED FIXED RATE NOTES DUE DECEMBER 2051 - ISIN: XS0496214189 - Amount Listed €651,000,000

LANSDOWNE MORTGAGE SECURITIES - originator, Start Mortgages.

Nearly €123m worth of mortgages that were securitised in 2006 by Ireland’s biggest sub-prime lender, Start Mortgages, are now in arrears, according to data just published by international ratings agency Moody’s.

Start Mortgages securitised two tranches of more than 5,000 loans through vehicles called Lansdowne Mortgage Securities No 1 (LMS1) and Lansdowne Securities No 2 (LMS2) in 2006.

That raised close to €900m for Start to provide additional funding to borrowers.

Figures obtained by the Irish Independent from Moody’s indicate that nearly €41m, or nearly 33pc, of the current balance of securitised loans on the LMS1 book were in arrears by the middle of December.” (”€123m worth of sub-prime Start mortgages in arrears,” Irish Independent, 22 January 2009)

Lansdowne 1 and 2 closed in April 2006 and November 2006 respectively and their current pool factors are approximately 30.3% and 42.8%. The assets supporting the notes are first-ranking non-conforming mortgage loans secured on residential properties located in Ireland. The asset pools had an indexed weighted average loan-to-value (LTV) of 97% in Lansdowne 1 and 113% in Lansdowne 2 as of Q3 2011 according to Moody’s computations, with 50% of the pool in Lansdowne 1 and 65% in Lansdowne 2 being in negative equity based on these indexed LTVs.

The pools backing the notes consist of impaired credit loans and non-conforming loans. Impaired credit loans represented 12.8% in Lansdowne 1 and 10.6% in Lansdowne 2, while borrowers with missed payments on their previous mortgage amounted to 47.4% in Lansdowne 1 and 35.0% in Lansdowne 2, as of August 2011. Non-conforming loans include loans with limited verification of borrower income which represented 23.7% in Lansdowne 1 and 43.2% in Lansdowne 2, as of the same date.

Reserve funds for Lansdowne 1 and 2 are fully funded and cannot amortize as the delinquency trigger has been breached. Although the transactions benefit from sizeable excess spread, it is not being trapped to provision for future losses on the delinquent loans and can only be used to cover losses already realised. (“Moody’s downgrades ratings of Irish Non-Conforming RMBS issued by Lansdowne Mortgage Securities 1,” 1 Feb 2012)

LANSDOWNE MORTGAGE SECURITIES NO 1 P.L.C - prospectus here.

Class A2 Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250832614 - Amount Listed €258,000,000

Class M1 Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250833695 - Amount Listed €13,850,000

Class M2 Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250834073 - Amount Listed €9,250,000

Class B1 Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250834404 - Amount Listed €11,100,000

Class B2 Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250835120 - Amount Listed €2,800,000

Class X Mortgage Backed Fixed Rate Note due 2045 - ISIN: XS0250833000 - Amount Listed €50,000

Class C Mortgage Backed Floating Rate Notes due 2045 - ISIN: XS0250835559 - Amount Listed €6,250,000

LANSDOWNE MORTGAGE SECURITIES NO.2 PLC

Class A2 Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0277482286 - Amount Listed €372,750,000

Class X Mortgage Backed Fixed Rate Notes due 2048 - ISIN: XS0277482443 - Amount Listed €50,000

Class C Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0277483847 - Amount Listed €7,756,000

Class M2 Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0277482955 - Amount Listed €11,800,000

Class B Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0277483417 - Amount Listed €19,700,000

Class M1 Mortgage Backed Floating Rate Notes due 2048 - ISIN: XS0277482526 - Amount Listed €15,750,000

The Lord has spoken
and will not change his mind.
He has made his decision
and will not turn back. (Jer. 4:28)

Taken today on North King Street, Dublin 1.

In the opinion of Eurointelligence:

FT Alphaville probably has the best explanation of how the promissory notes deal might work, and how this deal fits:

1) IBRC gets an Irish government bond worth €3.06bn. Pop! There it is.
2) Nama, the bad bank but which is off the government’s books, uses part of its €4.3bn cash hoard to buy the government bond off IBRC for €3.06bn in a repo, we would assume.

3) IBRC now has €3.06bn cash. It uses this cash to pay off some emergency liquidity from the Irish central bank. This is the key and we would say helpful bit. Pop! There goes some ghostly Irish central bank liquidity back to wherever it came from.

4) IBRC later buys the bond back from Nama (we think – not sure).

5) Bank of Ireland, a bank in which the government owns a sizeable stake but which escaped nationalisation and is off the government’s books, buys the bond off IBRC.

6) This is a repo transaction.

In an edit that didn’t make it in to the Politico.ie version of an earlier post “The Game is Rigged” I said:

Basically there was always going to be some form of restructuring. However, although it may amount to a slight reduction in the cost on the interest rate it’s function is to copper-fasten the payment, even though the money being taken from the State (from General Government Debt) is being paid back to the State (the Central Bank of Ireland). Once repaid it will promptly vanish!

So when Alphaville say that “there goes some ghostly Irish central bank liquidity back to wherever it came from” they are being a little eh, disingenuous. ELA is money that the Central Bank of Ireland printed, with the authorization of the ECB, even though legally they’re not supposed to provide liquidity to insolvent banks.

Continue Reading »

In the mid to late 1980s German corporates with international operations often established investment vehicles in the United States as a means of achieving a higher return on corporate liquidity than would have been the case in Germany, where Corporation and other taxes continue to be very high by international standards these corporate were also attracted at the level of investment expertise of US money managers, frequently provided by the New York offices of German banks.

Changes in the US chairman double taxation agreement of 1989, however, removed most of the attractions of such vehicles. Somewhat fortuitously, these changes coincided with the establishment of the IFSC. Before long most of the major German banks had established operations in Dublin. At the IFSC, these banks – and a number of other IFSC operators – were able to offer a combination of experienced international investment management, a low 10% corporation tax rate and the benefits of a favourable double taxation agreement between Ireland and Germany.

Unfortunately, this resolution of some of the taxation problems of German corporates also coincided with the increasing drain on the German Exchequer cars by reunification.

Interesting article from Finance Dublin, May 1996, which outlines the reasons why German financial corporations found the IFSC so attractive post-1988, and the tensions this caused for Ireland with the German authorities.

I started looking again at the IFSC from its origins to today, and something I hadn’t picked up on before is that while I knew that the IFSC was used by Irish companies from the start as a way of avoiding tax - in effect, Ireland became its own off-shore tax haven for international financial transactions - it was also used by German finance for the same reason and quickly became a hub in the German shadow banking system.

The IFSC is not only the story of Irish finance, it’s also a part of the story of German finance as well