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Securitization Accounting: 11th edition

A new update on the landscape of securitization

Over the past decade, a new landscape has taken shape in the securitization market; one that is more transparent and regulated, with simpler structures, and an evolving diversification of asset classes. Although our industry has faced unique challenges, the importance and benefits of the overall securitization process to the economy are beyond question.

What to expect

We remain strong in our belief that accounting plays a significant role in securitization and will stay embedded in its evolving foundation. Therefore, it is our pleasure to share with you this 11th edition of our Securitization Accounting book. Our mission has always been to provide a roadmap that covers accounting, tax, and various regulatory changes impacting securitization and the overall markets. We feel that we have met this goal once again with this updated publication by adding new topics while continuing to robustly update previously covered events.

This edition covers

More expansive updates in this edition include detailed discussions related to:

  • The latest changes to consolidation guidance
  • The interplay of risk retention rules to transfer accounting principles in CMBS structures
  • The replacement of IAS 39 with IFRS 9, although guidance remains unchanged
  • The introduction of the new CECL model and the changes it has on various impairment methodologies
  • The differences in impairment approach for the expected credit loss model under IFRS versus GAAP
  • Enhanced disclosure requirements for entities reporting financial assets at fair value on a recurring basis under ASC 820, Fair Value Measurement
  • The impact of the Tax Cuts and Jobs Act of 2017
  • The impact of regulatory changes under different supervisory regimes on market structure and capital requirements

What you’ll find inside

Chapter 1—What's new since the last edition?

Chapter 2—Who has to consolidate the special purpose entity?

Chapter 3—Does my securitization meet the sales criteria under GAAP?

Chapter 4—How do securitizations fare under IFRS?

Chapter 5—How about some examples?

Chapter 6—How do you determine gain or loss on a sale?

Chapter 7—What should I know about mortgage servicing rights?

Chapter 8—What about the investors?

Chapter 9—How do I measure and report fair value information?

Chapter 10—So where is the transparency?

Chapter 11—How will taxes impact my transaction?

Chapter 12—How does securitization impact banks' regulatory capital?


Looking ahead

In addition to the updates highlighted above, a brief discussion on the LIBOR and reference rate reform impacting the securitization market is provided in the latest edition. In the United States, the Alternatives Reference Rates Committee has recommended the Secured Overnight Financing Rate (SOFR) as an alternate to LIBOR, while other jurisdictions have identified other rates (for example, the United Kingdom will transition to the Sterling Overnight Interbank Average Rate [SONIA]). There is broad agreement that by December 31, 2021, LIBOR’s days are numbered. We will continue to provide a point of view about these changes, sending out periodic updates and providing links to additional information for further reference when available.

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