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Performance and Regulatory Effects of Non-compliant Loans in German Synthetic Mortgage-backed Securities Transactions (Trinkaus G.)

Bank Lending Mortgage Regulation

Abstract Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a securitized loan as materially non-compliant with certain transaction requirements. Such a loan becomes unqualified for loss allocation. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer achieved with the transaction. The concept of non-compliance is incorporated in many securitizations independent of the underlying assets or structure. In Germany, there are currently no specific regulations 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 and confirmed based on a unique data set.
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Libref/ Trinkaus G. (2010) "Performance and Regulatory Effects of Non-compliant Loans in German Synthetic Mortgage-backed Securities Transactions", Deutsche Bundesbank Discussion Paper Series 2: Banking and Financial Studies No. 2010,06, pp. 1 - 48
© Программирование — Александр Красильников, 2008
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