Longer publications

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22/05/2024
Building more effective and attractive capital markets in the EU
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03/05/2024
Rethinking the Securitisation Risk Weight Floor
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30/04/2024
Développer les marchés de capitaux européens pour financer l'avenir
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30/04/2024
Developing european capital markets to finance the future
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30/04/2024
Much more than a market
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26/03/2024
The European Securitization Market: Effects of an Uneven Regulatory Playing Field
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21/02/2024
EUROFI - Regulatory Update, February 2024
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04/10/2023
ECB: The European significant risk transfer securitisation market
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13/09/2023
A French-German roadmap for the CAPITAL MARKETS UNION
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02/07/2023
Reviving securitisation in the EU: A critical analysis of the reporting requirements
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21/04/2023
CP Guidelines on the STS criteria for on-balance-sheet securitisation
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15/02/2023
AFME : Adjustments to the Securitisation Framework – CRR3
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12/12/2022
Joint Committee Advice on the review of the securitisation prudential framework - Banking
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12/12/2022
Joint Committee Advice on the review of the securitisation prudential framework - Insurance
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10/11/2022
Impact of the SA Output Floor on the European Securitisation Market
This research paper examines the impact on the European securitisation market of the introduction by regulators of the Standardised Approach (SA) Output Floor. This rule change forms one of the final elements of Basel III. It requires that advanced banks, those which calculate regulatory capital based on the Internal Ratings Based Approach (IRBA), hold the greater of (i) IRBA capital and (ii) a percentage of the capital one obtains when the alternative SA is employed. Key takeaways These findings suggest that implementation of the SA Output Floors will disfavour one asset class substantially while benefiting another asset class with no clear […]
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30/09/2022
Securitisation:ghosts of crisis past
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04/08/2022
Comparing CB, ABS and Corporate Bond Liquidity
This study examines the relative liquidity of Asset Backed Securities (ABS), Covered Bonds (CBs) and Corporate Bonds (Corps). The measure of liquidity that the study employs is half the bid-ask spread divided by the mid-price. This equals half the round-trip cost of buying and selling the security per unit of value of the position as reflected in current market quotes. The study focuses on Investment Grade (IG), GBP-denominated securities and senior ABS. The study compares the liquidity of different categories of ABS, namely Simple Transparent and Standardised (STS) versus non-STS ABS. To compare the liquidity of any two categories of […]
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18/07/2022
Synthetic securitisation as a key capital and risk management tool for the Greek banking sector
Key takeaways HFSF in collaboration with PCS published a bulletin focusing on the role Synthetic Securitisation can play in managing capital and credit risk for Greek Banks. This analysis describes the basic structures, the main practices applied and the benefits that can be derived for Greek Banks and the Greek economy as a whole, from using Synthetic Securitisation. The inclusion of synthetic securitisation to the Simple, Transparent and Standardised (STS) framework provides additional benefit due to the lower capital requirements under the Capital Requirements Regulation. Synthetic securitisation is a mechanism that allows banks to reduce their exposure to specific sectors […]
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01/02/2022
EUROFI- EU securitisation relaunch: critical political decisions and timing
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01/09/2021
Securitisation: the indispensable reform
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01/09/2014
PCS Investor Guide (September 2014)
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01/09/2014
PCS Issuer guide (September 2014)
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09/06/2014
Empirical Study on High Quality Securitisation - William Perraudin, Risk Control Ltd (June 2014)
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