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Assessing the Effectiveness of Global Regulations

Jason Kravitt, James Ahern, Alexander Batchvarov, Kevin Duignan, Christine Lang and Frank Meijer
The Journal of Structured Finance Fall 2013, 19 (3) 11-18; DOI: https://doi.org/10.3905/jsf.2013.19.3.011
Jason Kravitt
is a senior partner and Chairman Emeritus of Mayer Brown LLP in New York, NY.
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  • For correspondence: jkravitt@mayerbrown.com
James Ahern
is the global head of securitization at Société Générale in London, UK.
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  • For correspondence: jim.ahern@sgcib.com
Alexander Batchvarov
is a managing director at Merrill Lynch in London, UK.
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  • For correspondence: alexander.batchvarov@baml.com
Kevin Duignan
is a managing director of Fitch Ratings Inc. in New York, NY.
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  • For correspondence: kevin.duignan@fitchratings.com
Christine Lang
is a senior specialist for the Swiss Financial Market Authority of Switzerland in Bern and Zurich, Switzerland.
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  • For correspondence: christine.lang@finma.ch
Frank Meijer
is head of ABS, covered bonds, and mortgages at Aegon Asset Management in The Hague, the Netherlands.
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  • For correspondence: fmeijer@aegon.nl
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Abstract

The moderator at this June 2013 Global ABS conference panel asked questions and panel members responded on regulators’ objectives and market reaction to the Basel Committee on Banking Supervision December 2012 Consultative Document on risk-based capital for securitization. The panelists’ responses covered the regulators’ proposed modified supervisory approach, simplified supervisory formula approach, internal assessment approach, and ratingsbased approach to the determination of regulatory capital for securitization exposures; the alternative arbitrage-free approach proposed by a group of banks; capital charges for structured assets under Solvency II; perceived problems with the Basel III liquidity coverage ratio; and current credit rating agency developments relevant to securitization, including information posting requirements of issuers under Rule 17g-5 and the boards for rating agency selection under the proposed Franken Amendment; and reflections on how the plethora of regulations from different countries fit together in practice.

TOPICS: Asset-backed securities (ABS), legal and regulatory issues for structured finance

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The Journal of Structured Finance: 19 (3)
The Journal of Structured Finance
Vol. 19, Issue 3
Fall 2013
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Assessing the Effectiveness of Global Regulations
Jason Kravitt, James Ahern, Alexander Batchvarov, Kevin Duignan, Christine Lang, Frank Meijer
The Journal of Structured Finance Oct 2013, 19 (3) 11-18; DOI: 10.3905/jsf.2013.19.3.011

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Assessing the Effectiveness of Global Regulations
Jason Kravitt, James Ahern, Alexander Batchvarov, Kevin Duignan, Christine Lang, Frank Meijer
The Journal of Structured Finance Oct 2013, 19 (3) 11-18; DOI: 10.3905/jsf.2013.19.3.011
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  • Article
    • Abstract
    • Jason Kravitt: Christine, what were the regulators trying to accomplish with their December 2012 Consultative Document on risk-based capital for securitization? In other words, what problems did they see and how did the proposal attempt to address them?
    • Jason Kravitt: Alex, what issues do you see with the most significant aspects of the Consultative Document? Please focus on the MSFA (maturity adjustment, for example), and the simplified supervisory formula approach or SSFA (lack of sensitivity to high-quality assets, for example) in particular. Please also mention the industry’s proposed solutions to these problems
    • Jason Kravitt: Jim, please make the same kind of analysis, but with regard to the internal assessment approach (IAA) and ratings-based approach (RBA)
    • Jason Kravitt: Christine, would you like to comment on anything that Alex or Jim has said?
    • Jason Kravitt: Alex, please explain the implications of the Consultative Document (CD) for Europe, Asia, and Australia
    • Jason Kravitt: Alex, please discuss the AFA and how it might be a solution to many of the CD’s problems
    • Jason Kravitt: Christine, do you have any comments on the AFA?
    • Jason Kravitt: Frank, from a practical perspective, what has the impact of proposed capital regulations been on ABS investments for Aegon? (Aegon, as an insurance company, falls under Solvency II, and Aegon Bank, as a bank, will fall under Basel III.)
    • Jason Kravitt: Jim, please explain the liquidity coverage ratio’s (LCR’s) problems
    • Jason Kravitt: Christine, please comment on what Jim has to say
    • Jason Kravitt: Kevin, let’s turn to the rating agencies. Please summarize the U.S. Securities and Exchange Commission (SEC)-sponsored roundtable’s material positions and what you took away from that. Please compare that to where you see rating agency regulation going in Europe
    • Jason Kravitt: Frank, what have the practical implications of Article 122a of the EU Capital Requirements Directive been, and do you see any changes coming? 6
    • Jason Kravitt: Christine, has there been too much regulation?
    • ENDNOTES
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