Securitisation working group unveils Simplified Arbitrage Free Approach to capital

By Joseph McDevitt
25 Jun 2013

A securitisation industry working group has unveiled a second method for calculating capital requirements for securitisation positions as it seeks to persuade the Basel Committee to change the capital framework it proposed at the end of last year.

The working group, led by Georges Duponcheele head of banking solutions at BNP Paribas, published its simplified arbitrage-free approach (SAFA) on Monday afternoon. It is the second counter-method it has published in recent months in reply to the Basel Committee’s securitisation framework, following on from the group’s Arbitrage ...

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