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Recalibrating SSFA Christopher B. Horn | Partner

On September 17, Scott Frame (Bank Policy Institute) and I published a paper entitled “Recalibrating the Simplified Supervisory Formula Approach to Risk Weighting Securitization Exposures.” The paper describes the current Simplified Supervisory Formula Approach ("SSFA") and proposes a recalibration that (1) decouples the sizing of the capital buffer from its allocation across securitization tranches, (2) imposes a securitization capital surcharge only as underlying assets become delinquent, and (3) sets a risk-sensitive capital floor and cap for senior securitization exposures.

The paper is available here.