The IACPM has joined for the second time a broader industry association comment letter to the Basel Committee regarding the Securitisation Framework.
The first joint industry association letter, submitted in March 2014, recommended specific changes in modelling assumptions and parameters, as well as changes to the operating conditions for certain approaches and to the risk weight floor and capital cap provisions.
The second joint association letter included an empirical analysis, applying the proposed capital framework to actual deal data from several institutions. The analysis supported the assertion that the framework may have calibration issues, and may benefit from further detailed analysis to fine tune the calibration.
Discussions are ongoing with the Basel Committee.