Over the term of a securitisation transaction, the concept of non-compliance enables a securitising bank to classify a securitised loan as materially non-compliant with transaction-specific, contractually agreed requirements. Such a loan becomes unqualified for loss allocation to the account of the protection sellers. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer that is actually achieved with the transaction. The concept of non-compliance is incorporated in many securitisations independent of the underlying assets or structure. In Germany, there are currently no specific regulatory provisions in place regarding this concept. However, a bank can use discretion when classifying a loan as non-compliant and could thus report non-compliant loans strategically. This hypothesis is tested based on a unique data set. The potential regulatory effects associated with such conduct are elaborated. Suggestions are made for a more adequate regulatory treatment of non-compliant loans.
| Autorius: | Gaby Trinkaus |
| Leidėjas: | Josef Eul Verlag GmbH |
| Išleidimo metai: | 2010 |
| Knygos puslapių skaičius: | 164 |
| ISBN-10: | 3899369904 |
| ISBN-13: | 9783899369908 |
| Formatas: | Knyga minkštu viršeliu |
| Kalba: | Anglų |
| Žanras: | Business and Management |
Parašykite atsiliepimą apie „Analysis of non-compliant loans in German synthetic mortgage-backed securities transactions: Performance and regulatory effects“
