GFMA with Other Associations Submit Comments to the Basel Committee on Basel Step In Risk Consultation

March 2016  |  Correspondence  |  Press Releases

GFMA drafted and today submitted comments to the Basel Committee on its Step-In Risk consultation (joined by CREFC, CREFC Europe, the Real Estate Roundtable).  The Basel Committee issued this consultation to address the risk that a bank would ‘step in’ to provide voluntary, non-contractual support for a transaction (such as what banks did with SIVs or credit card ABS in the crisis).  The Basel Committee’s proposal would require a bank to examine all off-balance sheet vehicles and other relationships which are not currently capitalized and, if step-in risk indicators are there, hold capital for them as if they were on-balance sheet.  The proposal is very expansive and could require massive amounts of effective consolidation if read broadly.  GFMA/CREFC/RER’s position is that the proposal is not needed given the massive amount of regulatory change (importantly including changes to off-balance sheet accounting rules, the Volcker Rule in the US, and other regulations) that have largely addressed this problem.  We do not believe step-in risk is a material issue at this point and suggest the Basel Committee should forego implementing new rules in this area.  We also raise significant concerns with the lack of clarity and expansive breadth of the proposal.  

See also:
Identification and measurement of step-in risk - consultative document

GFMA and AuSF Submit Comments to the SEC Regarding the Re-Opening of Comment Period for Asset-Backed Securities Release

June 2015  |  Correspondence  |  Press Releases

GFMA and the Australian Securitisation Forum (AuSF) provide comments to the SEC regarding proposed revisions to Regulation AB under the U.S. Securities Act of 1933 (Regulation AB).

The Securities and Exchange Commission is re-opening the comment period for the Asset-Backed Securities Releases (Release Nos. 33-9552; 33-9244; File No. S7-08-10).

GFMA with Several Other Associations Submit Response to BCBS-IOSCO Consultation on Simple, Transparent, and Comparable Securitisations

February 2015  |  Correspondence  |  Press Releases

GFMA, the International Capital Market Association (ICMA), the Institute of International Finance (IIF) and International Swaps and Derivatives Associations (ISDA) (together the "Joint Associations") responded to the Consultation Document entitled "Criteria for identifying simple, transparent and comparable securitisations" published by the Basel Committee on Banking Supervision (BCBS) and the Board of the International Organization of Securities Commissions (IOSCO) on 11 December 2014. 

GFMA and Other Associations Provides Information to BCBS on Revisions to the Basel Securitisations Framework

August 2014  |  Correspondence  |  Press Releases

GFMA and other associations provides further information to the Basel Committee for Banking Supervision (BCBS or the Committee) for BCBS to consider as they move toward completing work on the proposals set out in the second consultative document, "Revisions to the Basel securitisation framework."

The groups remain concerned that the current proposals will not meet the Committee's stated objective of comparability, resulting instead in capital requirements that are neither comparable among calculation methods nor proportionate to risks.

It is essential that the timetable for finalisation of the proposed framework is extended to address those shortcomings. Additional work should be undertaken to refine the calibration of the proposed framework and especially to improve the consistency of results between the internal ratings-based approach (IRBA), the external ratings-based approach (ERBA) and the standardised approach (SA). This should include gathering additional, more granular data and undertaking further analysis beyond what was provided in the QIS. In particular, we would recommend conducting analysis of data grouped by the market-defined asset classes of the underlying exposures (rather than according to the regulatory exposure categories). Further consideration should also be given to additional analytical work provided by the industry and referred to in the Joint Associations' comment letter dated 24 March 2014 (Comment Letter).

RCL has conducted an analytical study of certain data provided by a number of GFMA's member banks. These data are limited as explained in the Report, and the Report should be read and understood in that context. It is especially important to note that the Report does not advocate or support a particular calibration method or outcome, and in particular we do not intend that any of the implied p-values set out in the report should be used to calibrate the revised framework. Rather, the Report reveals a number of results that we respectfully ask the Committee to consider as they continue to work on the proposed revisions.

Related Material

RCL Report: Quantitative Impacts of BCBS 269 Securitisation Capital Approaches (August 8, 2014)

BCBS 269: "Revisions to the Basel securitisation framework" (December 21, 2013)

GFMA and Other Associations Submit Comments to the BCBS on the BSBC's Second Consultative Document on the Basel Securitisation Framework (March 24, 2014)

GFMA and other Associations Submit Comments to the BCBS on the Revised Standardized Approach for Market Risk

April 2014  |  Correspondence  |  Press Releases

GFMA, the Institute of International Finance (IIF) the International Swaps and Derivatives Association, Inc (ISDA) provide comments to the Basel Committee on Banking Supervision (BCBS) on the revised Standardized Approach for Market Risk.

The industry believes that the Sensitivity Based Approach (SBA), as put forward by the BCBS, constitutes a significant improvement to the previous version of the methodology and is in line with industry recommendations on leveraging upon existing validated risk metrics to calculate the market risk capital requirements.

The Advanced Cash Flow Approach (ACFA) methodology, on the other hand, is not computationally supported by existing infrastructure, since cash flow data are not captured at the trade level. As a result, industry members would require extensive resources to adhere to currently proposed regulatory timelines whilst achieving little in terms of enhancing the risk sensitivity of output metrics. This would be particularly onerous for smaller organizations.

GFMA Submits Comments to the BCBS for the Consultative Document on Basel III and the Net Stable Funding Ratio

April 2014  |  Correspondence  |  Press Releases

GFMA provides comments to the Basel Committee on Banking Supervision (BCBS) on proposals set out in the Consultative Document Basel III: the Net Stable Funding Ratio (NSFR) published by the BCBS on 11th January 2014 (Consultation Paper).

This letter sets out GFMA’s detailed points on securitisation only, and is intended to supplement the broader letter of even date submitted by the Institute of International Finance (IIF), the GFMA and others.

GFMA agrees with the BCBS that securitisation, prudently deployed and sensibly regulated, can make a very positive contribution to a bank’s overall liquidity management. GFMA requests that the Committee engage in a similar way with the industry in this, relatively new, context of the NSFR in order to achieve a treatment of high quality securitisation that accurately recognises its strong credit performance through and since the financial crisis as well as its benefits as a self-liquidating funding tool for the real economy.

GFMA Letter to the Editor-Financial Times: Start by endorsing principle of comity

March 2014  |  Correspondence  |  Press Releases

GFMA Chief Executive Simon Lewis writes to the editors of the Financial Times calling for G20 finance ministers and financial heads of all nations to formally endorse the robust application of the international principle of comity – where the home regulator defers to the host regulator where the latter’s rules are consistent with the G20 recommendations and best practices.

GFMA and Other Associations Submit Comments to the BCBS on the BSBC's Second Consultative Document on the Basel Securitisation Framework

March 2014  |  Correspondence  |  Press Releases

GFMA and other associations provide a response to the Basel Committee for Banking Supervision (BSBC) on the BCBS' second consultative document, Revisions to the Basel Securitisation Framework (published 21 December 2013).The groups welcome the development of a simpler and more straightforward hierarchy of approaches, some reduction of risk weights for higher credit quality exposures, including reduction of the risk weight floor, recognition of credit protection provided by excess spread, preservation of existing flexibility in application of the Internal Ratings-Based Approach (IRBA), preservation of the Internal Assessments Approach (IAA), and requiring one rather than two qualifying credit ratings for application of the External Ratings-Based Approach (ERBA).

However, the groups believe that the proposed capital requirements for securitisation exposures, especially for higher quality exposures and for medium-term and longer-maturity transactions, remain much higher than justified by historical loss incidence in most asset classes, by comparison with other methods of finance or in relation to the capital requirements of the underlying asset pools. These excessive capital requirements will discourage banks from investing in or otherwise acquiring exposure to securitisation transactions. The groups recommend specific changes to certain of the modelling assumptions and parameters used in formulating and calibrating the approaches, as well as changes to the operating conditions for certain approaches and to the risk weight floor and capital cap provisions.

GFMA signed the letter with the follow groups: The Commercial Real Estate Finance Council (CREFC), the Commercial Real Estate Finance Council Europe (CREFC Europe), the Institute of International Finance (IIF), the International Association of Credit Portfolio Managers (IACPM), the International Swaps and Derivatives Association, Inc (ISDA), the Securitisation Forum of Japan (SFJ), and the Structured Finance Industry Group (SFIG).

Load More


Load More