|
EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39791
|
| | |
| Title: | | Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions  |
| Authors: | | Trinkaus, Gaby |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion Paper Series 2: Banking and Financial Studies 2010,06 |
| 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. |
| Subjects: | | Non-compliance risk transfer securitization |
| JEL: | | G21 G28 |
| ISBN: | | 978-3-86558-639-1 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/39791
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|