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.

  • By Joseph McDevitt
  • 04 Oct 2013
The two papers add to the working group’s AFA and Simplified Arbitrage Free Approach (SAFA), unveiled in March and June, respectively. The group, which consists of securitization specialists from investment banks working alongside risk modelling specialists Risk Control Limited, has met with the Basel work stream, the European ...

Please take a trial or subscribe to access this content.

Contact Mark Goodes to discuss your access: mark.goodes@globalcapital.com

Corporate access

To discuss GlobalCapital access for your entire department or company please contact our subscriptions sales team at: subs@globalcapital.com or find out more online here.

New! GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Citi 7,029 20 10.95
2 Bank of America Merrill Lynch (BAML) 6,703 19 10.45
3 JP Morgan 4,776 10 7.44
4 Credit Suisse 4,718 9 7.35
5 Deutsche Bank 4,262 13 6.64

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Wells Fargo Securities 68,611.22 170 11.38%
2 Bank of America Merrill Lynch 59,056.08 169 9.80%
3 JPMorgan 56,861.85 163 9.43%
4 Citi 56,521.05 165 9.38%
5 Credit Suisse 44,888.95 123 7.45%