Banks seek clarity on risk retention capital charges

CMBS issuers in dark about how much capital to hold against risk retention exposures

commercial real estate risk sliced
Fears banks may exit commercial mortgage-backed securities market if capital charges are punitive

Can securitisations be treated as loan exposures when calculating risk-based capital requirements? That is the question three big US banks – Bank of America Merrill Lynch, Morgan Stanley and Wells Fargo – will put to regulators when they file their third-quarter financial statements.

The filings will reveal how the banks are classifying the retained risk of a landmark commercial mortgage-backed securities (CMBS) deal issued on August 4. The deal – an $870 million securitisation of 40 commercial