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
The week on Risk.net, July 14–20, 2017Receive this by email