ABS working group unveils simplified approach to capital

By Joseph McDevitt
27 Jun 2013

A securitization industry working group has unveiled a second method for calculating capital requirements for securitization 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 securitization framework, following on from the group’s Arbitrage ...

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