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Posted on February 21st, 2012
The information in this Securitisation Monthly Data Supplement (Supplement) was prepared by the securitisation division of the Association for Financial Markets in Europe (AFME) and the Securities Industry and Financial Markets Association (SIFMA). Contents: CMBS Spreads Posted on February 20th, 2012
ASF has submitted its comment letter in response to the Securities and Exchange Commission’s (“SEC”) NPR intended to implement the prohibition regarding material conflicts of interest relating to certain securitizations (“Proposed Conflicts Rule”). This letter emphasizes the importance of preserving traditional securitization activities and try to better align the regulators’ proposals with the legislative [...] Posted on February 19th, 2012
ASF has submitted its comment letter in response to the joint regulators’ Volcker Rule notice of proposed rulemaking (“NPR”) intended to limit the ability of banking entities to engage in proprietary trading or acquire an ownership interest in or sponsor hedge funds or private equity funds (“Proposed Volcker Rule”). This letter emphasizes the [...] Posted on February 12th, 2012
Regulation ECB/2008/30 of 19 December 2008 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions establishes a set of statistical reporting requirements for financial vehicle corporations (FVCs). Article 1 sets out the definitions of FVC and securitisation. The purpose of this statistical guidance note is to assist national [...] Posted on January 31st, 2012
The authors of this paper study optimal securitization in the presence of an initial moral hazard. A financial intermediary can create a portfolio of defaultable assets and then sell it to outside investors. The default risk of the assets in the portfolio is determined by the unobservable costly efforts exerted by the intermediary. [...] 24 pages
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