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Securitisation of Derivatives and Alternative Asset Classes, Yearbook

Edited by Jan Job de Vries Robbe, Paul U Ali


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Securitisation has survived the threats that emerged in the aftermath of the collapses of Enron, WorldCom, and Parmalat. Today, global securitisation markets continue to go from strength to strength, particularly as regards the evolution of new synthetic structures and the application of securitisation technology to fresh asset classes.

This Yearbook focuses on the latest innovations in securitisation, including the securitisation of derivatives and alternative asset classes, and also exotic variations on the securitisation of well-established asset classes. Twenty-nine distinguished authors all of them active in the global securitisation markets as advisers, structurers, facilitators, or regulators brilliantly elucidate such topics as the following:

  • synthetic squares as an effective means of arbitrage securitisation;
  • collateralised debt obligations from a ratings perspective;
  • use of, and potential for, synthetic securitisation in Germany and Italy;
  • weather derivatives;
  • use of equity derivatives as alternatives to credit risk;
  • securitisation of alternative asset classes in Japan and the United States;
  • covered bonds in a variety of European jurisdictions;
  • new types of commercial mortgage backed securities;
  • securitisation of non-performing tax receivables as an example of public sector securitisation; and
  • securitisation structures in the Islamic regulatory and legal framework.

The complex and sometimes controversial¿issues of documentation are well covered, as are all significant legal and regulatory issues. Three concluding essays detail the recent changes in accountancy fuelled by perceived abuse of existing regulations, and the revised framework for capital adequacy formulated by the Basel Committee.

The Yearbook provides detailed information on the legal structure of innovative securitisations as well as recent developments in the accounting and regulatory treatment of securitisations. For legal advisers, investors, and regulators, there is no more useful guide to current and emerging trends and opportunities in securitisation.

Last Updated 06/16/2005
Update Frequency As Needed
Product Line Kluwer Law International
ISBN 9789041123756
SKU 10059469-0001
Table of Contents
    Foreword. Preface. Contributors.
  1. Synthetic Squares, or the Securitisation of Russian Dolls; J. de Vries Robbé.
  2. Modelling Credit Risk in Synthetic CDO Squared Transactions; K. Gilkes.
  3. Synthetic Securitisation Platforms Established by KfW; S. Krauss.
  4. Doing CMBS in Italy: The Current Issues and the Synthetic Route; G. Schiavello.
  5. Securitising the Weather: Temperature Swaps and Windstorm Bonds; P. A. U. Ali.
  6. Equity Default Swaps and the Securitisation of Risk; M. J. Logie, J.-P. Castagnino.
  7. Securitisation in Japan; P. Kilner, P. Avanzato, L. Oddy, G. Hartnett.
  8. Trends and Innovations in the US CDO Market; M. Visic.
  9. Covered Bonds in Europe; S. Nasarre-Aznar, O. Stöcker.
  10. Residential Pre-Sales Securitisation: A New Method of Project Finance; L. Mahaffy.
  11. Issues in Cross-Border CMBS; S. Smith.
  12. . Commercial Mortgage Backed Securities in Europe; S. Beekwilder.
  13. Securitisation of Private Equity; O. Koenig.
  14. Public Sector Securitisation in Europe; P. Cassiano Santos, P. Gomes Freire, A. Figueiredo.
  15. Securitisation of Auto Leases in The Netherlands; M. van t Westeinde.
  16. Shariah, Sukuk and Securitisation; T. Box, M. Asaria.
  17. Whole Business Securitisations in Civil Law Jurisdictions: The French Example; P. Douat, P. Nugue.
  18. Accounting for Securitisations: A World of Change; T. J. Coyne.
  19. The Asset Securitisation Framework in Base: An Asian Perspective 2; S. Hohl .
  20. Regulatory Capital Standards for Securitisation in Basel II; E. Elvers.