Securitisation of Derivatives and Alternative Asset Classes Yearbook 2005

Name: Securitisation of Derivatives and Alternative Asset Classes Yearbook 2005
Brand: Kluwer Law International
Price: 358.99 EUR
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Jan Job de Vries Robbé Paul U. Ali(Author)

Kluwer Law International (Publisher)

Published on 1. June 2005

536 pages

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Securitisation has survived the threats that emerged in the aftermath of the collapses of Enron, WorldCom, and Parmalat. Today, global securitisation markets continue to go from strength to strength, particularly as regards the evolution of new synthetic structures and the application of securitisation technology to fresh asset classes.
This Yearbook focuses on the latest innovations in securitisation, including the securitisation of derivatives and alternative asset classes, and also exotic variations on the securitisation of well-established asset classes. Twenty-nine distinguished authors all of them active in the global securitisation markets as advisers, structurers, facilitators, or regulators brilliantly elucidate such topics as the following:

synthetic squares as an effective means of arbitrage securitisation;
collateralised debt obligations from a ratings perspective;
use of, and potential for, synthetic securitisation in Germany and Italy;
weather derivatives;
use of equity derivatives as alternatives to credit risk;
securitisation of alternative asset classes in Japan and the United States;
covered bonds in a variety of European jurisdictions;
new types of commercial mortgage backed securities;
securitisation of non-performing tax receivables as an example of public sector securitisation; and
securitisation structures in the Islamic regulatory and legal framework.
The complex and sometimes controversial¿issues of documentation are well covered, as are all significant legal and regulatory issues. Three concluding essays detail the recent changes in accountancy fuelled by perceived abuse of existing regulations, and the revised framework for capital adequacy formulated by the Basel Committee.

The Yearbook provides detailed information on the legal structure of innovative securitisations as well as recent developments in the accounting and regulatory treatment of securitisations. For legal advisers, investors, and regulators, there is no more useful guide to current and emerging trends and opportunities in securitisation.

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Cover
Half Title Page
Editorial Board
Title Page
Copyright Page
Foreword
Preface
Table of Contents
1. Synthetic Squares, or the Securitisation of Russian Dolls
1. INTRODUCTION
1.1 Definition
1.2 Market
1.3 Goodbye CDO?
1.4 Hello CDO Square!
1.5 Limitations and Opportunities
2. DOCUMENTATION
2.1 General Structure
2.2 Documentation
2.3 Credit Default Swap
2.4 Credit Events
2.5 Credit-Linked Notes
2.6 Management Agreement
2.7 Collateral Arrangements
2.8 Rating Agency's Perspective
3. LEGAL AND REGULATORY ISSUES
3.1 Regulatory Capital Relief
4. GOING FORWARD
2. Modelling Credit Risk in Synthetic CDO Squared Transactions
1. INTRODUCTION
2. STRUCTURE AND RISK CHARACTERISTICS OF CDO SQUARED TRANSACTIONS
3. THE DRILL-DOWN APPROACH
3.1 Modelling Standalone Assets
3.2 Bespoke CDO Structure
3.3 Bespoke CDO Default and Loss-Given-Default
3.4 Bespoke CDO Correlation
3.5 Creating the CDO Squared Net Loss Distribution
4. CDO SQUARED TRANCHE RISK MEASURES
5. RECENT MARKET DEVELOPMENTS
5.1 CDOs of 'Baskets'
5.2 CDOs of Equity Default Swaps
5.3 CDO Cubed
5.4 Fungible Subordination
6. SUMMARY
3. Synthetic Securitisation Platforms Established by KfW
4. Commercial Mortgage Backed Securities in Italy: the Current Issues and the Synthetic Route
1. INTRODUCTION
2. ITALIAN LEGISLATION ON CASH FLOW SECURITISATION: AN OVERVIEW
2.1 Structures Available Prior to Law 130
2.1.1 Civil Code Assignment of Receivables
2.1.2 Law 52 Assignment of Receivables
2.1.3 The Use of Mutual Funds
2.2 Law 130
2.3 The Italian Regulatory Concerns on CMBS: The Current Legislation
2.4 The Nature of the Concerns and their Confutation
2.4.1 The Absence of Any Explicit Prohibition
3. SYNTHETIC CMBS: AN OVERVIEW
3.1 The Innovative Elements
3.2 Application of Article 58 of the 1993 Consolidated Banking Act
3.2.1 General
3.2.2 Conflict of Law Issues
3.2.3 Restrictions Generated by the 'Block' (Blocco) Concept and by the Nature of the Parties
3.3 Payments from the Credit Protection Buyer to the Credit Protection Seller under the CDS
3.4 The Servicing Arrangements
3.5 Redemption and Legal Final Maturity of the Notes
5. Securitising the Weather: Temperature Swaps and Windstorm Bonds
1. INTRODUCTION
2. TEMPERATURE SWAPS
2.1 Managing Volumetric Risk
2.2 Legal Structure of Temperature Swaps
3. WINDSTORM BONDS
3.1 Securitisation of Weather-related Risks
3.2 Pylon Transaction
4. INSURANCE ISSUES
4.1 Consequences of Insurer Status
4.2 Legal Characterisation of Weather Derivatives
4.2.1 NAIC White Paper on Weather Derivatives
4.2.2 Essential Attributes of Insurance Contracts
4.2.3 Insurable Interest and the Anti-Gaming Laws
4.2.4 Insurable Interest and Pecuniary Interests
4.2.5 Insurable Interest and Proprietary Interests
4.3 Investors in the Securities issued by the SPV
5. CONCLUSION
6. Equity Default Swaps and the Securitisation of Risk
1. INTRODUCTION
2. THE DEVELOPMENT OF EQUITY DEFAULT SWAPS
2.1 The Basic Terms of Equity Default Swaps
2.2 The Economics of Equity Default Swaps
2.3 The Uses of Equity Default Swaps
2.4 Documenting Equity Default Swaps
3. THE SECURITISATION OF EQUITY DEFAULT SWAPS
3.1 The Synthetic Collateralised Debt Obligation
3.2 The Inclusion of Equity Default Swaps in CSO Portfolios (ECOs and Hybrid CSOs)
3.3 The Response of the Rating Agencies
3.3.1 Moody's
3.3.2 S&P
3.3.3 Conclusion
3.4 Specific Documentation Issues
4. THE EXPANDING MARKET FOR SECURITISATIONS OF EQUITY DEFAULT SWAPS
4.1 Managed ECO Issues
4.2 The Wider Consumer Base
5. CLOSING REMARKS AND CONCLUSION
7. Securitisation in Japan
1. 'HISTORY' OF SECURITISATION IN JAPAN
2. DISCUSSION OF COMMON STRUCTURES
2.1 Double Cayman Island Entity Structures
2.2 Kabushiki Kaisha Structure
3. TMKs AND THE ASSET SECURITISATION LAW
4. JAPAN LAW TRUSTS
5. LEGAL AND REGULATORY FRAMEWORK - SPECIFIED CLAIMS LAW, PERFECTION LAW, SERVICER LAW, ETC.
5.1 Perfection of Transfers
5.1.1 Article 467 of the Civil Code
5.1.2 Specified Claims Law
5.2 Perfection Law
5.3 Servicing
5.4 Money Lending
5.5 Asset Securitisation Law
6. CREDIT RISK AND OTHER STRUCTURED PRODUCTS
6.1 Credit Products
6.2 CDO Structure
6.3 Other Structured Products
7. THE FUTURE
7.1 Changes in Law
7.1.1 Bankruptcy Law Reform
7.1.2 Amendments to the Trust Business Law
7.1.3 Proposals to Modernise Japanese Company Law
7.1.4 Proposals to Amend the Public Notice System on the Transfer of Movables and Claims
7.2 Asset Classes
7.2.1 Intellectual Property
7.2.2 Future Flow
7.2.3 Synthetics
7.2.4 Whole Business Securitisations
7.2.5 Other Asset Classes
8. Trends and Innovations in the US CDO Market
1. INTRODUCTION
2. A SNAPSHOT OF THE PRIMARY AND SECONDARY MARKETS
2.1 Primary Market
2.2 Secondary Market
3. RELATIVE VALUE
4. RISKS IN THE CDO MARKET - 'TITANIC-CLASS' ANYBODY?
5. WHICH CDO PRODUCTS ARE 'HOT'?
5.1 Collateralised Fund Obligations
5.1.1 Introduction, Structure, Mechanics
5.1.2 Some Notable CFO Transactions
5.1.2.1 Man Group CFO
5.1.2.2 Silver Leaf CFO
5.1.2.3 Diversified Strategies CFO
5.2 Structured Finance CDOs
5.2.1 CRE (CMBS) CDOs
5.2.2 ABS CDOs
5.3 Municipal Bonds CDOs
5.4 Trust Preferred CDOs (TruPS)
5.4.1 Structure
5.5 Repacks and Combo CDO Notes
5.5.1 Structure
5.5.2 Amortisation Schedule of the Assets
5.5.2.1 Bonds
5.5.2.2 Loans
5.5.2.3 ABS
5.5.3 Combination CDO Notes - 'Composite Obligations'
6. STRUCTURAL FEATURES
7. CONCLUSION
9. Covered Bonds in Europe
1. WHAT ARE COVERED BONDS?
2. ECONOMIC MEANING OF COVERED BONDS IN EUROPE
3. LEGISLATION ON COVERED BONDS IN EUROPE
4. DIFFERENT STRUCTURES AND LEGISLATION OF COVERED BONDS IN EUROPE
4.1 Structures
4.1.1 French Model
4.1.2 Specialised Bank with Own Staff but Partially Outsourcing Administration
4.1.3 Centralised Funding Institutions
4.1.4 Specialised Bank without/with Small Non-eligible Business
4.1.5 Specialised Bank with Large Non-eligible Business
4.1.6 Universal Bank with Qualified Covered Bond Licence
4.1.7 All Credit Institutions can issue Covered Bonds without Previous Licence or with a Licence without Requirements
4.2 Legislation of Covered Bonds in Europe
5. THREE CORNERSTONES OF COVERED BONDS: SECURITY, LIQUIDITY AND TRANSPARENCY
5.1. Security and Bankruptcy Remoteness
5.1.1 Security in Covering During the Life of the Issue to Ensure that Covered Bonds are Covered Always
5.1.1.1 What Does 'Covered' Mean?
5.1.1.2 How to Identify the Cover
5.1.2. Bankruptcy Remoteness
5.1.2.1 A New Trend: No Acceleration!
5.1.2.2 How to Segregate the Cover from the Bankruptcy Estate
5.2. Liquidity
5.3. Transparency
6. OUTLOOK
6.1. Which Covered Bond Structure is the Most Efficient?
6.2. Covered Bonds versus or together with MBS
7. CASE STUDIES
7.1 Spanish AyT or a Way of Mixing Covered Bonds and ABS
7.2 English HBOS: Issuing Covered Bonds without Backing Legislation
10. Residential Pre-Sales Securitisation: A New Method of Project Finance
1. SYNOPSIS
2. BACKGROUND
2.1 What is RPS?
2.2 When, Where and Why did RPS Develop?
2.2.1 Walsh Bay
2.2.2 Quadrant Off Broadway
2.2.3 Bullecourt Place
2.2.4 Peridot Investments
2.2.5 Jasmine Investment Corporation
2.2.6 Waterina Condominium
3. ADVANTAGES AND DISADVANTAGES OF RPS FOR DEVELOPERS AND FINANCIERS
3.1 Advantages for Developers
3.1.1 Working Capital Conservation
3.1.2 Another Flexible Source of Funds
3.1.3 Off-Balance Sheet Finance
3.1.4 Less Scrutiny than Other Forms of On-Market Capital Raising
3.1.5 Risk Transfer to Institutional Investors
3.1.6 Earlier Income Recognition
3.2 Advantages for Debt Financiers
3.2.1 Diversification of Sources of Fee Income
3.2.2 Loan Assets taken Off-Balance sheet
3.2.3 Risk Transfer to Institutional Investors
3.3 Disadvantages for Developers
3.3.1 Establishment Cost
3.3.2 Only High Quality Developers with High Quality Projects Need Apply
3.4 Disadvantages for Debt Financiers
3.4.1 Limited Pipeline of Suitable Projects
3.4.2 Limited Appetite of Capital Markets
4. RATING NOTES BACKED BY PRE-SALE CONTRACTS
4.1 Key Credit Risks
4.1.1 Sponsor/Developer Risk
4.1.2 Project and Construction Risk
4.1.3 Market Risk
4.1.4 Financial, Cash Flow and Repayment Risk
4.1.5 Documentation and Legal Risk
4.1.6 Credit Enhancement
4.1.7 Quality of the Servicing Entity
5. MIRVAC MOPS
5.1 MOPS Transaction Structure Key Aspects Diagram
5.2 Purpose, Description and Programme Size
5.3 Application of Proceeds
5.4 Approved Project Delivery
5.5 Repayment of Notes
5.6 Liquidity Facility
5.7 Payment of Interest after the Scheduled Maturity Date of Notes
5.8 Security
5.9 Qualifying Pre-Sales Criteria
5.10 Support Facilities
5.11 Portfolio of Approved Projects
5.12 Tests
5.13 Mirvac Events of Default
5.14 Payment Waterfall
5.15 Performance Analysis
6. FUTURE DEVELOPMENTS IN RPS
7. CONCLUSION
11. Issues in Cross-Border CMBS
1. INTRODUCTION
2. REGULATION OF LENDING AND SERVICING
IMPACT OF REGULATION ON SECURITISATION OF LOANS
3. CONFIDENTIALITY AND DATA PROTECTION LAWS
4. ENFORCEMENT OF COMMERCIAL MORTGAGE LOANS
SPECIAL SERVICING
5. LANDLORD AND TENANT RIGHTS
6. WITHHOLDING TAXES
7. CONCLUSION
12. Commercial Mortgage Backed Securities in Europe
1. INTRODUCTION
2. WHAT IS CMBS?
2.1 Generic European CMBS Structure
2.1.1 Notes
2.1.2 Issuer/SPV
2.1.3 Seller/Originator
2.1.4 Sponsor/Borrower/Property Manager
2.1.5 Loan Servicer
2.1.6 (Cross Currency) Interest Rate Swap Counterparty
2.1.7 Liquidity Facility Provider
2.1.8 Note (Security) Trustee
2.2 European CMBS Analysis
2.2.1 Property Pool
2.2.2 Lease
2.2.3 Tenants
2.2.4 Structural Analysis
2.2.4.1 Legal Issues: Transfer of Loan and Security
2.2.4.2 Bankruptcy Remoteness, Borrower and Enforceability of Security
2.2.4.3 Loan Terms and Conditions
2.3 Rationale for CMBS
2.3.1 Property Owner/Property Lenders
2.3.2 CMBS Rationale for Investors
3. RECENT DEVELOPMENTS IN EUROPEAN CMBS
3.1 CMBS Conduits and Information Disclosure
3.2 The European CMBS Market
3.3 European CMBS Credit Spreads
4. TWO EUROPEAN CMBS TRANSACTIONS
4.1 Self Storage Securitisation BV
4.1.1 Sponsor/Borrower/Property Manager
4.1.2 Properties/Leases/Tenants
4.1.3 Structure
4.1.4 Conclusion
4.2 Paris Residential Funding plc
4.2.1 Sponsor/Borrower/Property Manager
4.2.2 Properties/Leases/Tenants
4.2.3 Structure
4.2.4 Conclusion
5. SUMMARY AND EXPECTATIONS FOR THE EUROPEAN CMBS MARKET
13. Securitisation of Private Equity
1. INTRODUCTION
2. AN OVERVIEW AND BACKGROUND TO PRIVATE EQUITY
2.1 History
2.2 What is Private Equity
2.3 Differences between Private Equity and Public Equity
3. SECURITISING PRIVATE EQUITY
3.1 'Plain' Vanilla Securitisation
3.2 Potential Benefits of Applying Securitisation Techniques
3.2.1 Tax
3.2.2 Regulatory
3.2.3 Retention of Relationships to Fund Managers
3.3 Application of the Securitisation Techniques
3.3.1 Private Equity Fund-of-Funds
3.3.2 Portfolio Securitisation
3.3.3 Exchange Funds
3.3.4 Seller Financing in Secondary Transactions
3.3.5 Private Equity Fundraising using Securitisation
3.4 Securitisation vs. Secondaries
4. CONCLUSION
5. CASE STUDY SECURITISATION: PINE STREET I LLC
5.1 Summary
5.2 Rationale
5.3 Execution
5.4 Conclusion
14. Public Sector Securitisation in Europe
1. INTRODUCTION
2. MOTIVATION
3. PUBLIC SECTOR SECURITISATION IN EUROPE
4. EUROSTAT RULES: THE ACCOUNTING TREATMENT OF PUBLIC SECTOR SECURITISATIONS
5. CASE STUDY: THE EXPLORER DEAL
5.1 The Structure of the Deal
5.2 Setting the Stage: Changes to the Securitisation Legal Framework
5.3 Specific Legal Issues
5.3.1 Taxpayers' Rights and Guarantees
5.3.2 Common Representative of the Noteholders
5.3.3 Bankruptcy Remoteness of the STC
5.3.4 The Rating Approach
6. FINAL REMARKS: PUBLIC SECTOR SECURITISATION IN THE FUTURE
15. Securitisation of Auto Leases in the Netherlands
1. INTRODUCTION
2. RATING PROCESS
3. OUTLINE OF TRANSACTION STRUCTURE
4. DESCRIPTION OF THE LEASES
4.1 The Leases
4.2 The Lease Payments
4.3 Nature of Lease Agreements
4.4 Nature of Operational Lease Receivables
5. HIRE PURCHASE AND TRANSFER OF THE VEHICLES
5.1 Legal Requirements
5.2 Fiduciary Prohibition
6. TRANSFER OF THE LEASES
6.1 Automatic Transfer
6.2 Takeover of Contracts
7. COLLECTION OF LEASE PAYMENTS/ADMINISTRATION AND SERVICE AGREEMENT
7.1 General
7.2 Collection Arrangements and Application of Amounts
7.3 Sale of the Vehicle upon Termination or Expiration of the Lease during the Amortisation Period
7.4 Remuneration of the Administrator and Servicer
8. INSOLVENCY OF THE SELLER
9. CERTAIN RISK FACTORS
9.1 Location of the Vehicles
9.2 Retention of Title by Car Dealer
9.3 Cool Down Period
9.4 Right to Retain Property
9.5 Right to Suspend Performance
9.6 Lessee Set-off Risk
10. CONCLUSION
16. Shariah, Sukuk and Securitisation
1. INTRODUCTION
2. SHARIAH
3. INTRODUCTION TO ISLAMIC FINANCING
4. ISLAMIC FINANCING STRUCTURES AND SUKUKS
4.1 Murabaha
4.2 Mudarabah and Musharaka
4.2.1 Mudarabah
4.2.2 Musharaka
4.3 Ijara
4.4. Sukuk
4.5 Sukuk Case Study - Qatar Global Sukuk
4.5.1 Introduction
4.5.2 Structure
5. SECURITISATION
5.1 Securitisation - An Overview
5.2 Shariah Securitisation
5.3 Structuring Shariah Securitisations
5.4 Securitisation Case Study - Hanco Vehicle Fleet Securitisation
5.4.1 Introduction
5.4.2 Structure
5.5 Securitisation Hurdles
5.5.1 Derivative Contracts
5.5.2 Absence of Regulation
5.5.3 Unstable Tax Environment
5.6 Future Deal Flow
5.7 Rating Agencies
6. CONCLUSION
17. Whole Business Securitisations in Civil Law Jurisdictions: The French Example
1. COPYFIRST AND EUROTRUCK TRANSACTIONS
2. OVERVIEW OF THE FRENCH SECURITISATION FRAMEWORK
18. Accounting for Securitisations: A World of Change
1. INTRODUCTION
2. SECURITISATION: A UK PERSPECTIVE
3. SECURITISATION: AN AUSTRALIAN PERSPECTIVE
4. IMPLICATIONS OF THE ADOPTION OF IAS IN AUSTRALIA
4.1 Application of UIG 112
4.2 Application of AASB 139
4.2.1 General Rules - Sales with 'Strings Attached'
4.2.1.1 Should the Derecognising Principles be Applied to Part or All of a Financial Asset?
4.2.1.2 Have the Rights to the Cash Flows Expired?
4.2.1.3 Has the Entity Transferred Substantially all Risks and Rewards?
4.2.1.4 Has the Entity Retained Substantially All Risks and Rewards?
4.2.1.5 Has the Entity Retained Control of the Asset?
4.2.1.6 Continue to Recognise the Asset to the Extent of the Entity's Continuing Involvement
4.2.2 Recognition of Gains and Losses on Transfer
4.2.3 Securitisations
4.2.3.1 Consolidation of SPEs
4.2.3.2 Has the Entity Transferred its Rights to Receive the Cash Flows from the Assets?
4.2.3.3 Has the Entity Assumed an Obligation to Pay the Cash Flows from the Assets that Meet the Pass-through Criteria?
4.2.3.4 Risks and Rewards
4.2.3.5 Control
4.2.3.6 Continuing Involvement
4.2.4 Transition
5. ACCOUNTING ANALYSIS OF CERTAIN FINANCING STRUCTURES USING SPEs
5.1 Example 1: Collateralised Debt Obligations
5.1.1 Overview of Structure
5.1.2 Accounting Analysis - Applying the Flow Chart
5.1.3 Consolidation of the SPE?
5.1.4 Has the Entity Transferred its Rights to Receive Cash Flows from the Assets?
5.1.5 Have the Pass-through Conditions been Met?
5.1.6 Has the Entity Transferred Substantially All the Risks and Rewards?
5.2 Example 2: Residential Mortgage-Backed Securitisations
5.2.1 Overview of Structure
5.2.2 Accounting Analysis - Applying the Flow Chart
5.2.3 Consolidation of the SPE?
5.2.4 Has the Entity Transferred its Rights to Receive Cash Flows from the Assets?
5.2.5 Have the Pass-through Conditions been Met?
5.2.6 Has the Entity Transferred Substantially All the Risks and Rewards?
5.3 Example 3: Trade Receivables
5.3.1 Overview of Structure
5.3.2 Consolidation of the SPE?
5.3.3 Has the Entity Transferred its Rights to Receive Cash Flows from the Assets?
5.3.4 Have the Pass-through Criteria been Met?
5.3.5 Has the Entity Transferred Substantially All the Risks and Rewards?
5.3.6 Has the Entity Transferred Control of the Asset?
5.4 Example 4: Credit-linked Notes
5.4.1 Overview of Structure
5.4.2 Consolidation of the SPE?
5.4.3 Has the Entity Transferred its Rights to Receive Cash Flows from the Assets?
5.4.4 Have the Pass-through Criteria been Met?
6. SECURITISATION: A US PERSPECTIVE
6.1 US Accounting Overview
6.2 Sale Criteria
6.2.1 Legal Isolation
6.2.2 Right to Pledge or Exchange
6.2.3 Effective Control Criteria
6.3 Current Developments Impacting the Sale Criteria
6.4 Consolidation
6.5 Qualifying Special Purpose Entities (QSPEs)
6.5.1 Demonstrably Distinct Nature of a QSPE
6.5.2 Activities of a QSPE
6.5.3 Assets a QSPE may hold
6.5.4 Selling of Non-cash Financial Assets held by a QSPE
6.6 Current Developments Impacting QSPEs
6.7 Variable Interest Entity
6.8 VIEs and Consolidation
6.9 Determining Consolidation of VIE based on Variability
6.10 Initial Accounting/Gain-on-Sale Calculation
6.11 Subsequent Accounting
6.12 Impact of Proposed Changes
7. CONCLUSION
19. The Asset Securitisation Framework in Basel II
1. THE NEW CAPITAL FRAMEWORK FOR ASSET SECURITISATION
2. OPERATIONAL REQUIREMENTS FOR THE RECOGNITION OF RISK TRANSFER
2.1 Operational Requirements for Traditional Securitisations
2.2 Operational Requirements for Synthetic Securitisations
2.3 Operational Requirements and Treatment of Clean-up Calls
2.4 Operational Requirements for External Ratings Assignments
2.5 Operational Requirements for the Internal Assessment Approach
3. MINIMUM CAPITAL REQUIREMENTS IN PILLAR 1
3.1 Off-balance Sheet Items - Some Specifics
3.2 Standardised Approach - Some Specifics
3.3 Internal Ratings Based Approach - Some Specifics
3.3.1 Supervisory Formula
3.3.2 The Internal Assessment Approach and the Treatment of Liquidity Facilities
4. REQUIREMENTS IN PILLAR 2
5. REQUIREMENTS IN PILLAR 3
6. ADDITIONAL VIEWS ON THE SECURITISATION FRAMEWORK
6.1 Example - Residential Mortgages
6.2 Example - Synthetic Securitisation
7. APPENDIX I
8. APPENDIX 2
20. Regulatory Capital Standards for Securitisation in Basel II
1. THE BASEL II FRAMEWORK
1.1 International Convergence: the Basel Capital Framework
1.1.1 The Basel I Framework
1.1.2 The Basel II Framework
1.2 Development of Securitisation Framework in Basel II
1.2.1 Regulatory Capital Arbitrage
2. SECURITISATION FRAMEWORK IN BASEL II
2.1 Scope
2.2 Risk Transfer Requirements
2.3 Determining the Capital Charges for Investments and Retained Exposures
2.4 Exposures with a Recognised External Credit Assessment
2.4.1 Recognition of External Ratings
2.4.2 Industry Criticism
2.5 Implicit Support
2.6 Pillar 2
2.7 Pillar 3
3. SYNTHETIC SECURITISATION IN BASEL II
3.1 Effective Risk Transfer Requirements
3.2 Operational Requirement for Credit Derivatives
3.3 Solvency Treatment of Collateral and Guarantees
3.4 Maturity Mismatches
3.5 Supervisory Formula Approach
3.5.1 Capital Neutrality
4. POSSIBLE EFFECTS ON THE SECURITISATION MARKET
4.1 Implementation of the Basel II Framework
4.2 Possible Changes in the Market
Contributors
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Securitisation of Derivatives and Alternative Asset Classes Yearbook 2005

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