Loan to Value driving the risk weights for residential mortgages

| Regulations | No Comments
Basel 3 Standardised floor and default observations on residential mortgages in the EU On 3 January 2017 the Basel Committee of Banking Supervision (BCBS) announced that it needs more work…

Article 8b requires comprehensive and well-informed stress tests

| Regulations | No Comments
Article 8b Regulation (EU) No 462/2013 of the European Parliament and of the Council of 21 May 2013 amending Regulation (EC) No 1060/2009 on credit rating agencies requires that "the…

European Commission proposals on securitisation

| General, Regulations | No Comments
The European Commission has announced new rules on Standardised, Transparent and Simple Securitisations "STS" on securitisations. Apart from rules on documentation issuers have to provide loan level data on a…

Impact of current and new regulation on securitisation

| Regulations, SME Financing & Securitization | No Comments
In October 2014 EBA published a theoretical exercise where it compared the capital charge of bank loans before and after securitisation. The exercise was based on theoretical tranchings and artificial…

EU-wide stress test results

| General, News, Regulations | No Comments
We have created a convenient interactive analysis of the 2014 EU-wide stress test results. It will provide you a deeper insight into the stress test results, in particular analysis of…

Case study asset correlation

| Regulations | No Comments
Case study asset correlation Banks have to hold capital as a buffer for unexpected losses in their asset portfolio. It is important that capital buffers are sufficient even under severe…

New supervisory formula for ABS

| Regulations, SME Financing & Securitization | No Comments
If banks securitize assets on their balance sheet they can reduce regulatory capital if they can demonstrate that they will realize a significant risk transfer. The regulator has defined several…