#RWAs

FedFin on: Capital Winners – GSEs – and Losers – MI

Eliza Allen2023-08-04T09:44:41-04:00August 1st, 2023|The Vault|

We’ve much more to do to determine the strategic and policy impact of the new credit-, market-, and operational-risk capital rules singly and collectively – a complex task given the 1,089-page rulemaking made harder by some extremely-arcane language that may either mask what the agencies mean or differ from what they meant to mean. Still, several conclusions about mortgage finance are clear: the rules would be less demanding than those at present for many mid-LTV loans, the GSEs’ risk weighting continue to give them a considerable advantage over bank originators and securitizes, and MI lost the limited luster the banking agencies were forced to concede in 2013.

The full report is available to subscription clients. To find out how you can sign up for the service, click here.…

FedFin Analysis: U.S. Regulatory-Capital Rewrite: Framework

Eliza Allen2023-08-01T16:31:19-04:00August 1st, 2023|The Vault|

In this in-depth report, we begin our analysis of the 1089-page capital proposal released by the U.S. banking agencies not only to make U.S. standards more consistent with Basel’s 2017 “end-game” rules, but also to correct failings in the current capital framework the agencies believed were laid bare by recent bank failures. The new standards rewrite the 2019 “tailoring” rule with regard to application of the toughest capital standards, now covering all BHCs with assets over $100 billion along with their insured depository institutions (IDIs) regardless of size. For smaller BHCs, the most significant impact of the new approach requires recognition of accumulated other comprehensive income (AOCI) unrealized gains and losses related to available-for-sale (AFS) and held-to-maturity (HTM) securities; the agencies recognize this cost but believe the proposed three-year transition reduces any adverse impact.

The full report is available to retainer clients. To find out how you can sign up for the service, click here and here.…