ABS industry expands on new capital proposal
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ABS industry expands on new capital proposal

A securitization industry working group that is devising an alternative to the Basel Committee on Banking Supervision’s securitization capital framework has released two pieces of research that it says support its proposals. The papers show how the group’s Arbitrage Free Approach can be adjusted for lower pool granularity or greater asset heterogeneity, or change capital requirements to take into account different maturities.

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