Impact of the SA Output Floor on the European Securitisation Market
This research paper examines the impact on the European securitisation market of the introduction by regulators of the Standardised Approach (SA) Output Floor. This rule change forms one of the final elements of Basel III. It requires that advanced banks, those which calculate regulatory capital based on the Internal Ratings Based Approach (IRBA), hold the greater of (i) IRBA capital and (ii) a percentage of the capital one obtains when the alternative SA is employed. Key takeaways These findings suggest that implementation of the SA Output Floors will disfavour one asset class substantially while benefiting another asset class with no clear […]
