EBA proposes a tougher treatment of ABS in CRR

The European Banking Authority (EBA) is planning sweeping changes to the way securitisations are treated under the proposed Capital Requirements Regulation’s large exposures regime, with a proposal not to recognise any credit protection provided by subordinated tranches to senior classes of securitisations, writes Hugh Leask.

  • 24 May 2013

The European Commission’s proposed CRR builds upon earlier versions of the Capital Requirements Directive — which implements the Basel III framework in the European Union — and is timetabled to take effect on January 1, 2014.

The CRR mandates the EBA to develop draft technical standards for measuring ...

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1 BNP Paribas 14,443 29 18.07
2 Bank of America Merrill Lynch (BAML) 8,264 27 10.34
3 Lloyds Bank 7,329 24 9.17
4 Citi 6,748 19 8.44
5 JP Morgan 5,220 8 6.53

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3 JPMorgan 92,878.89 270 8.65%
4 Wells Fargo Securities 82,807.12 240 7.71%
5 Credit Suisse 70,475.74 184 6.57%