@article {Lancaster26, author = {Brian P. Lancaster and John Jordan}, title = {New Capital Rules for Securitization Exposures: U.S. Regulators Issue a Final Rule for Trading Book Exposures and a Proposal for the Banking Book }, volume = {18}, number = {3}, pages = {26--28}, year = {2012}, doi = {10.3905/jsf.2012.18.3.026}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Regulatory capital requirements for securitization exposures held by U.S. banks are changing due to Dodd{\textendash}Frank{\textquoteright}s requirement to remove any reference to credit ratings. The Final Market Risk Rule is similar to the original December 2011 proposal. The new methodology, the Simple Supervisory Formula Approach (SSFA), replaces the current ratings-based approach with a formula that relies on a security{\textquoteright}s relative seniority within a securitization{\textquoteright}s capital structure as well as the ongoing performance of a securitization{\textquoteright}s underlying pools of assets. We expect the impact of these new requirements to be significant for U.S. banks and to vary significantly both within and across securitization asset classes.TOPICS: Security analysis and valuation, fixed income and structured finance}, issn = {1551-9783}, URL = {https://jsf.pm-research.com/content/18/3/26}, eprint = {https://jsf.pm-research.com/content/18/3/26.full.pdf}, journal = {The Journal of Structured Finance} }