The ABCs of Securitization Regulatory Issues：资产证券化监管问题的基础知识.pdfVIP

The ABCs of Securitization: Regulatory Issues Anthony R. G. Nolan KL Gates June 21, 2007 Agenda Regulatory environment Complex Structured Finance Transactions Non-traditional Mortgage Products Subprime Lending Update Securitizations under Basel I and II Selected Accounting issues Regulatory Environment Main themes: Enron’s shadow Regulation AB Subprime blow-up Predatory lending initiatives Mortgage fraud Operational risk concerns Complex Structured Finance Transactions Interagency statement – issued December 2006 To whom does it apply? US banks and thrifts and branches and agencies of foreign banks Registered broker dealers Registered investment advisers Recognizing elevated complex structured finance transactions No economic substance or circular transfers of risk Questionable accounting, regulatory or tax objectives Undocumented material agreements Disproportionate compensation to arranger Not applicable to “standard securitizations”, e.g. credit cards securitizations asset-backed commercial paper programs hedging programs involving “plain vanilla” derivatives collateralized loan obligations Complex Structured Finance Transactions Approval and Diligence Procedures Diligence level must be commensurate with risk Appropriate levels of control and management personnel Documentation Reflect factors considered by senior management Verify that bank made required disclosures Verify adequacy of process Independent Review Function Verify implementation of policies and procedures audit department or independent compliance function May assess substance of decisions not just process Non-Traditional Mortgage Products Guidance Applies to banks and thrifts Scope Applies to negative amortization and interest-only mortgage products Does not apply