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.
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)