The Standard Formula Podcast | Using an Internal Model to Calculate the Solvency Capital Requirement
Williams Mullen's Comeback Plan: Part II - How Banks Think About Loan Defaults: Lessons for Borrowers in Troubled Times
CFTC Proposal Poses “Monumental” Challenge to FCMs
Matt Bisanz interviews Georges Duponcheele of MunichRe and William Perraudin of Risk Control Ltd. about their work in developing approaches to securitization capital requirements....more
The UK’s banking regulator, the Prudential Regulation Authority (“PRA”) has published a Discussion Paper (DP3/23) covering securitisation bank capital in the context of: (1) the Basel 3.1 output floor and capital requirements...more
On July 27, 2023, the US banking regulators issued a notice of proposed rulemaking (the “NPR”) to revise significantly the risk-based capital requirements applicable to large banks and to banks with significant trading...more
The new securitisation framework will combine three sets of overlapping rules, in an effort to repeal and replace retained EU law in the UK. The missing piece of the puzzle to the UK’s new securitisation framework became...more
On 7 July 2023, the European Commission (“EC”) approved the text of a delegated regulation supplementing the EU Securitisation Regulation (the “EUSR”) regarding regulatory technical standards on risk retention (the “RR RTS”)....more
Banking organizations looking to reduce the amount of risk-based regulatory capital required to support residential mortgage loan portfolios can use synthetic securitization to convert the capital treatment of their exposures...more
Key Points - The European Commission (“EU Commission”) has published its report on the functioning of the EU Securitisation Regulation which contains the EU Commission’s assessment of a number of key aspects of the...more
The updated Basel III framework is the principal response of the Basel Committee to the global financial crisis. The updated framework makes wide-ranging changes to the perceived shortcomings of the previous regime. Although...more
On April 12, 2022, the European Banking Authority (the “EBA”) issued a press release announcing the publication of its final draft Regulatory Technical Standards (“RTS”), setting out the requirements for originators, sponsors...more
On 16 December 2020, the Council of the European Union published final compromise proposals for a package of measures dubbed the “Capital Markets Recovery Package”, these were adopted by the European Parliament’s Committee on...more
As discussed in our previous Clients and Friends Memo (the “First Update”), on 24 July 2020 the European Commission (the “Commission”) published proposed amendments to the current securitisation framework set out in...more
Overview - The EU Capital Requirements Regulation, which came into effect in January 2014, mandated the European Banking Authority to report by 2 January 20212 on the regulatory approach to granting capital relief for...more
A recent report, entitled “A New Vision for Europe’s Capital Markets” (the “Report”), sets out some key recommendations for how the EU securitisation market can be scaled up. The Report has been published by the High Level...more
The EU has, on 6 November 2019, published in the Official Journal a delegated regulation (the “Delegated Regulation”) supplementing the EU Securitisation Regulation (the “Securitisation Regulation”) with regard to regulatory...more
The European Banking Authority has launched a consultation on draft Regulatory Technical Standards on the conditions to allow institutions to calculate capital requirements, including on expected loss, arising from...more
Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation ("Regulation") came into force on 18 January 2018 and will...more
A continuation of the market trends from last year can be expected in 2018. Structured finance and securitization markets had a period of relative calm in 2017 as new regulations were incorporated into transactions. While no...more
As part of the Capital Markets Union action plan announced in September 2015, the European Parliament and the Council issued on Dec. 12, 2017, the regulation laying down a general framework for securitization and creating a...more
The European Banking Authority has launched a consultation on draft Regulatory Technical Standards on risk retention requirements for originators, sponsors and original lenders under the new EU securitization framework for...more
Or maybe not. At the outset, let’s give credit where credit is due. It was gratifying to read a governmental missive on the capital markets that made sense, showed an actual grasp of how markets function and an awareness of...more
New rules will modify regulatory capital requirements for securitisation positions and unify risk retention practices. By year end, the European Commission (the EC) is expected to publish two new EU regulations in the...more
The EU legislative institutions have now agreed compromise amendments to the proposed EU regulation intended to lay down common rules on securitisation and to create a European framework for “simple, transparent and...more
Within the past few months, there have been a number of reports of the resurgence, particularly in Europe, of synthetic securitizations of risky assets. These transactions allow banks to transfer credit and other default...more
Financial Industry Developments - CTFC Approves Re-Proposal of Position Limits Regulation - On December 5, 2016, the U.S. Commodity Futures Trading Commission ("CFTC") unanimously approved to re-propose rules that...more
SEC Adopts Rules for Enhanced Regulatory Framework for Securities Clearing Agencies - On September 28, 2016 the Securities and Exchange Commission ("SEC") voted to adopt new rules to establish "enhanced standards for the...more