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Thursday, February 12, 2015

Agencies Release Capital Calculator for Securitization Exposures

To help banks calculate the capital levels required for their securitization exposures under Basel III, the banking agencies released a downloadable, Excel-based calculator.

The tool is designed to facilitate the calculations for banks that use the agencies’ Simplified Supervisory Formula Approach, which applies relatively higher requirements to riskier junior tranches that are the first to absorb losses, and relatively lower capital requirements to more senior tranches.

In a Financial Institution Letter accompanying the calculator, the FDIC cautioned that it “continues to expect community banks to have a comprehensive understanding of their securitization exposures and to meet all due diligence requirements.”

Read more.
Download the calculator.

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