Banks seek clarity on risk retention capital charges

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

Louie Woodall
27 Sep 2016

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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

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