Association,
the European Securitisation Forum,
the International Association of Credit Portfolio Managers, the
International Swaps and Derivatives Association, and the Japanese
Bankers Association – responded to proposals in the New Basel
Capital Accord pertaining to securitization transactions. The commenting group applauds the Basel Committee
on Banking Supervision’s goal of establishing regulatory capital
requirements that are more closely aligned with risks of securitization
exposures. In their letter, the global industry groups
expressed their continuing concerns with several issues relating
to the proposed treatment of securitizations that need to be addressed
if the New Accord is to achieve its goals, without disrupting
the important liquidity and risk dispersion roles that securitization
now performs.
The commenting organizations’ letter highlights
six key areas where they see a misalignment of capital to risk
for securitization, and offers specific recommendations to allow
a more appropriate alignment of risk and minimum capital.
The six key areas are as follows: (i) calibration of risk weights under the internal
approach; (ii) calibration of the supervisory floor under the
SFA; (iii) appropriate treatment for interest only strips; (iv)
capital requirements for revolving transactions; (v) treatment
of synthetic securitizations; and (vi) treatment of ABCP conduit
facilities.
The comment letter includes supporting discussion
and data to explain and amplify the key areas addressed. Additionally, several technical suggestions
are included in the appendices to the letter.
The comment letter is a continuation of
the ongoing, extensive dialogue between the Committee and securitization
industry participants seeking to improve the New Accord. The commenting groups believe that there needs to be further analysis
of the underlying assumptions and data relating to securitizations
prior to the finalization of the New Accord.
They believe that this further analysis should result in
significant changes to the proposed New Accord to more appropriately
calibrate regulatory capital requirements.
The commenting groups intend to continue their dialogue
with the Committee and its staff and to provide more specific
data and analysis to support the issues addressed in the comment
letter.
The full text
of the comment letter may be found on the websites of the commenting
groups including: www.americansecuritization.com,
www.europeansecuritisation.com,
www.bondmarkets.com,
www.zenginkyo.or.jp/en/index.html,
www.iacpm.org, and www.isda.org. |
