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Regulation AB: a new era for asset-backed securities–are you prepared?
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This paper (the second in the focus on restructuring series) discusses these opportunities covering the range of actuarial, regulatory and other financial matters as well as some of the potential pitfalls, including what can be learned from recent transactions. It draws on the authors’ research and PwC’s global experience in life insurance securitisations, as well as discussions held with a number of experts at investment banks.
As in most countries, the Dutch securitisation market has historically started to develop through Mortgage-Backed Securities (MBS) and other types of financial receivables. As the securitisation market grows and becomes more sophisticated, the types of securitised asset are broadened into non-financial types of asset and future cash flow.
City and Financial has now launched A Practitioner's Guide to Securitisation. It examines funded structures, synthetic securitsations and collateral debt obligations and assesses the relative benefits of each as well as looking at the process involved in structuring a securitised deal and the role of different parties.
This Guide is an accumulation of PricewaterhouseCoopers' experience and participation in the Global Securitisation Market.
The capital treatment of securitisation transactions has been one of the most difficult areas to be determined in the new framework. This is reflected by the fact that from the initial phases of development of the framework, securitisations were dealt as a separate issue, and that number of publications solely related to the theme were issued by the Basel Committee, where the final publication contains chapters exclusively dedicated to securitisation. These are Pillar 1, chapter IV and Pillar 2, chapter V.
The final derecognition rules in IAS 39 are complex, confusing and in some parts seem contradictory. However, the bottom line appears to be that most securitisation structures will be fully “on balance sheet”.
Learn more about the latest accounting and technical developments.
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