High quality securitisation: what is it? Frdric Hache, Head of - PowerPoint PPT Presentation

High quality securitisation: what is it? Frédéric Hache, Head of Policy Analysis at Finance Watch 4 February 2015

5 Questions: 1. 1. Will ill a a revival of of sec securitisation add address ss in intra EU EU geo eographical fr fragmentatio ion in in SM SME E acc access ss to o fina finance? 2. 2. Wou ould a a tig ight secu securitis isation fr framework cr create com ompetitiveness con oncerns vis is a a vis is the he US? S? 3. 3. Sho Should tranching be be pa part of of the he de definition of of hig high qua quality sec securitis isation? 4. 4. Will ill rea eal money in investors ha have app appetite for or non non-tranched hig high qu quali lity sec securitis isation? 5. 5. Sho Should we e move towards full full neu neutrali lity of of capit ital l cha charges s an and a a full full con onvergence towards the pr prudentia ial treatment of of covered bon bonds?

Non-tranched securitisation Tranched securitisation Underlying loan One type of Underlying loan Senior AAA pool pool security issued tranche e.g. 1000 e.g. 1000 and sold to mortgages mortgages investors Defaults Losses Defaults Losses