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The Journal of Structured Finance

The Journal of Structured Finance

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KIRB Bâle

Proposed Approaches to Risk-Weighting of Securitization Exposures Under the Basel II NPR

Anthony R.G. Nolan
The Journal of Structured Finance Spring 2007, 13 (1) 36-44; DOI: https://doi.org/10.3905/jsf.2007.684864
Anthony R.G. Nolan
A partner at K&L Gates in New York, NY.
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Abstract

On September 25, 2006 the Federal Reserve Board, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency, and the Office of Thrift Supervision issued a notice of proposed rulemaking with respect to risk-based capital standards for large and internationally active United States banks. These proposed standards are based on the revised capital adequacy framework that was recently adopted by the Basel Committee on Banking Supervision and that is in the course of being implemented in all of the world's developed economies. A bank would be required to use the securitization framework of the proposed rule for any on-balance sheet or off-balance sheet credit exposure that arises from a traditional or synthetic securitization, as well as for mortgage-backed pass-through securities guaranteed by Fannie Mae or Freddie Mac. The proposed securitization framework contains three general approaches for determining the risk-based capital requirement for a securitization exposure: a ratings-based approach, an internal assessment approach, and a supervisory formula approach. Generally speaking, a given securitization exposure must be risk-weighted (or deducted from capital) under one of these approaches according to a specific hierarchy defined in the proposed rule. This article describes the basic approaches being considered, together with some of the exceptions and particular applications provided for in the proposed rules. It highlights some areas where the proposed rules may benefit from modifications to bring them closer to line with practices in the structured finance market.

TOPICS: Credit risk management, information providers/credit ratings, credit risk management

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The Journal of Structured Finance
Vol. 13, Issue 1
Spring 2007
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KIRB Bâle
Anthony R.G. Nolan
The Journal of Structured Finance Apr 2007, 13 (1) 36-44; DOI: 10.3905/jsf.2007.684864

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KIRB Bâle
Anthony R.G. Nolan
The Journal of Structured Finance Apr 2007, 13 (1) 36-44; DOI: 10.3905/jsf.2007.684864
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