Interessant artikel fra Bloomberg om hollandsk realkredits kvaler med Basel III og likviditetsbrøken LCR i særdeleshed:
(Mortgage bonds) won’t be categorized as liquid assets under regulations approved last week by the Basel Committee on Banking Supervision because the underlying mortgages have an average loan-to-value ratio of 95 percent
Cumulative defaults on Dutch home loans packaged into securitizations reached 0.4 percent at the end of September, according to Moody’s Investors Service data. That is similar to the 0.30 percent on U.K. prime mortgages, and compares with 2.85 percent on Spanish mortgages where the average loan to value ratio is less than the 80 percent limit.
Basel III Punishes Dutch Over Risk That Isn’t: Mortgages (Bloomberg)
På sin vis er det jo glædeligt – eller en trøst om ikke andet – at det ikke kun er os her i Danmark, der er lidt sære, og derfor har lidt kvaler med at få tingene til at passe til bureaukraternes opfattelse af likviditetsrisiko…
Det bliver spændende at se, hvor tingene lander. Særligt efter den seneste opblødning og udskydelse af LCR-brøken (se f.eks. Banks Win 4-Year Delay as Basel Liquidity Rule Loosened).