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UCITS IV: asymptotix



ucits risk philosophy

Tougher Capital Requirements Under Basel III Could Raise The Costs Of Securitization

Table Of Contents

  • Credit Risk: Minimum Regulatory Capital Requirements For Securitization Exposures
  • Credit Risk: Supervisory Haircuts On Securitization Collateral
  • Market Risk: Securitization Exposures
  • The Cost Of Securitization Is Likely To Rise
  • Appendix: Summary of Changes

Tougher Capital Requirements Under Basel III Could Raise The Costs Of Securitization

UCITS IV :2: asymptotix






Lewtan Technologies Announcing the New and Redesigned ABSNet

(3 February 2011) Lewtan Technologies has announced the New & Redesigned ABSNet website.  A more powerful and integrated platform which connects performance data, ratings and pricing for the most comprehensive ABS/MBS portfolio surveillance solution in the industry. Complimentary access to Thomson Reuters pricing is available! ABSNet Cash Flow provides fully integrated European data models for projecting cash flows. These models simulate the paydown of collateral and bonds in European ABS deals based on user-defined scenarios.

New key features include:

The theory of how the financial system created AAA-rated assets out of subprime mortgages

This diagram is from a 2008 IMF report and was included at the Financial Crisis Inquiry Commission website.

The diagram shows how mortgages were combined into pools and rights to the cash flow from these mortgages sold to investors via residential mortgage-backed securities (RMBS). High-risk RMBS securities were purchased by legal entities called collateralized debt obligations (CDO) which issued another layer of securities to investors.

Click on the diagram for a larger version in a new window.

Bloomberg Sues ECB to Force Disclosure of Greece Swaps

Bloomberg News filed a lawsuit against the European Central Bank, seeking the disclosure of documents showing how Greece used derivatives to hide its fiscal deficit and helped trigger the region’s sovereign debt crisis.

The lawsuit asks the European Union’s General Court in Luxembourg to overturn a decision by the ECB not to disclose two internal documents drafted for the central bank’s six-member executive board in Frankfurt this year. The notes show how Greece used swaps to hide its borrowings, according to a March 3 cover page attached to the papers obtained by Bloomberg News.

ECB President Jean-Claude Trichet withheld the documents after the EU and International Monetary Fund led a 110 billion- euro bailout ($144 billion) for Greece. The dossier should be disclosed to stop governments from employing the derivatives in a similar way again and to show how EU authorities acted on information they had on the swaps, according to the suit, filed by Bloomberg Finance LP, the parent of Bloomberg News.

Gillian Tett, Financial Times - Road map that opens up shadow banking

On the 18th of November Gillian Tett, a British author and award-winning journalist at the Financial Times, where she is an assistant editor overseeing the FTs global financial markets coverage, published a market insight on a road map that opens up shadow banking. She wrote:

Markus Krebsz - Scottish Financial Risk Academy (SFRA) Inaugural Colloquium - Risky Ratings - Reducing Over-Reliance

At the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010, Markus Krebsz presented "Risky Ratings - Reducing Over-Reliance by using the Agencies' analysis sensibly.

Download the Slide Deck here!

ECB unveils tougher collateral rules for bank loans detoxing liquidity injections

The European Central Bank unveiled new provisions Saturday regarding key refinancing operations that should tighten some conditions for banks seeking to borrow central bank funds. The European Central Bank is to beef-up its powers to act against struggling eurozone banks in a move that could foreshadow a tougher line towards those depending on its liquidity to survive.The changes follow other reforms already proposed for the global financial system that could determine how much credit is available to drive an uncertain economic recovery. Although a largely technical change, the timing of the step is significant. ECB policymakers have become increasingly frustrated that a number of banks remain “addicted” to the offers of unlimited liquidity it has been making since the collapse two years ago of Lehman Brothers.

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