Basel proposes risk weight raise for securitisations
The Basel Committee on Banking Supervision has laid out revisions to its ratings based approach which would force banks to hold more capital against securitisation positions for all but the most distressed assets. The proposed changes are in line with expectations, bankers say, but how the new approach will be implemented is still up for debate.
The changes were outlined in a consultation on Revisions to the Basel Securitisation Framework launched on Tuesday.
The Committee proposed raising the risk weights for triple-A rated senior tranche securitisation with a one year maturity from 7% to 20%.
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