Regulatory Alerts2012-03-22
Supervisor of Banks: Proper Conduct of Banking Business - Securitization
The Supervisor of Banks issued this directive to establish regulatory capital requirements for banking corporations regarding traditional and synthetic securitization exposures. The document defines key terms, mandates that capital treatment be based on economic substance, and sets strict operational requirements for recognizing risk transference and clean-up calls. It further specifies capital calculation methods, including a 1250% risk weight for certain exposures and deductions for gain-on-sale, while prohibiting implicit support without full capital recognition.
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