New US rules are to have a profound effect on securitisations by US banks. Traditional securitisation constructs will no longer enable them to finance assets outside their balance sheets under applicable Gaap or reduce the amount of risk capital they hold against those assets. The volume of assets financed through securitisation will be reduced. It remains to be seen whether other international bank regulators will follow the same approach.
The rules have been created by the US Federal Deposit Insurance Corporation, Office of the Comptroller of the Currency, Board of Governors of the Federal Reserve System and Office of Thrift Supervision (the Agencies) as part of a revision of the risk-based capital rules for US banks to reflect the risks associated with on- and off-balance sheet bank exposures. The Agencies use US Gaap as the initial basis for determining whether an exposure is on- or off-balance sheet.
On June 12...