Defining "high quality securitisation" - with a view to incorporating such a definition in the interlocking regulatory schemes that affect the securitisation market - has become a key objective of regulators and policy makers in Europe. Moving in step with this project is the desire to understand the benefits that such a definition could bring both to the crafting of a robust regulatory prudential architecture and to the European economy as a whole. The excellent ECB/Bank of England consultation released recently is another signal in this direction.
As part of this debate, PCS has asked William Perraudin and Risk Control to conduct an empirical study of the relative performance of high quality securitisation defined along the lines of the PCS principles and approach.
We are happy to be able to post this empirical study of high quality securitisation.
Although this is of little surprise, the study confirms the substantially better performance of a securitisation based on PCS' approach. In our view, this study will be a great support to those who argue that HQS does indeed deserve a fair and positive treatment in regulation.