PMI Mortgage Insurance Company (PMI Europe) has completed a mortgage credit default swap agreement with Commerzbank Securities.
PMI Mortgage Insurance Company (PMI Europe) has completed a mortgage credit default swap agreement with Commerzbank Securities.
As part of the credit default swap, PMI Europe assumed a layer of credit risk on a €546m of German residential mortgage loan portfolio held by Aareal Bank AG.
The transaction was structured as a credit default swap agreement whereby PMI Europe assumed €32 million of mortgage default risk on €546 million of German residential mortgage loans.
PMI Europe is guaranteeing a spectrum of risk ranging from AAA down to un-rated.
The credit enhancement structure enabled Aareal Bank to transfer the mortgage default risk to PMI Europe while maintaining the mortgage loans on its books.
PMI Europe executive managing director Tony Porter said: "We relished the chance to participate in a transaction with these two preeminent European banking institutions.
"The combination of our expertise in the assessment and management of residential mortgage credit risk with the quality and professionalism of these parties produces what we believe to be a well structured, good-for-everyone credit default swap."
