Gaby Trinkaus

(Author)

Analysis of non-compliant loans in German synthetic mortgage-backed securities transactions: Performance and regulatory effectsPaperback, 1 December 2010

Analysis of non-compliant loans in German synthetic mortgage-backed securities transactions: Performance and regulatory effects
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Print Length
166 pages
Language
English
Publisher
Josef Eul Verlag Gmbh
Date Published
1 Dec 2010
ISBN-10
3899369904
ISBN-13
9783899369908

Description

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.

Product Details

Author:
Gaby Trinkaus
Book Format:
Paperback
Country of Origin:
US
Date Published:
1 December 2010
Dimensions:
21.01 x 14.81 x 0.89 cm
ISBN-10:
3899369904
ISBN-13:
9783899369908
Language:
English
Pages:
166
Weight:
204.12 gm

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