
Basel Accord finalisation delayed by six months
The principal areas that the committee will focus on, based on the CP3 comments, include:changing the overall treatment of expected versus unexpected credit losses;simplifying treatment of asset securitisation, including eliminating the ‘supervisory formula’ and replacing it by a less complex approach;revisiting the treatment of credit card commitments and related issues; andrevisiting the treatment of certain credit risk mitigation techniques.”
The first item on the list is the most significant, and was the subject of significant pressure from US banks. The committee issued, alongside its announcement, a paper that outlined the “broad direction of the approach that the committee has directed its working groups to develop further”. It invited comments before the meeting of the committee in January 2004.
The committee says that it will also conduct a “further review” of the calibration of Basel II, using national quantitative impact studies and banks’ own statistics. It will “propose additional adjustments to the calibration of the new Accord based on this review”.
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