New capability allows banks and insurers to meet the latest regulatory capital and reporting standards for securitised assets

22 November 2010

S&P has launched the first service of its kind that enables banks and insurers to meet new identification and reporting requirements for securitised assets

Standard & Poor’s Valuation & Risk Strategies is offering banks and insurers a regulatory data solution to help them comply with new standards for identifying and reporting on securitised assets.

The new offering – the first of its kind to be brought to market – addresses requirements under Pillars One and Three of the new Basel Capital Accord (Basel III). Pillar I sets out requirements for the calculation of risk-weighted exposure amounts for securitisation positions recorded in trading books and on balance sheets; Pillar III sets out the disclosure requirements around these assets.

Implementation of the Basel III regulations is governed by a number of distinct directives, such as the FSA’s BIPRU 9 for UK standardised, F-IRB and A-IRB banks (which sets out how banks must calculate capital requirements for securitisation positions) or IFRS 9 for accounting principles. Similar regulations are in place for insurance companies under Solvency II.

“We have been working with a number of UK and European institutions to help them comply with these new directives, aimed at improving transparency in the structured finance market,” says James Ingram, director of Structured Solutions at S&P’s Valuation and Risk Strategies. “Given the particular depth and quality of relevant data around securitised assets within Global Data Solutions, we are a natural partner to help many of these institutions meet the new requirements.”

“This new offering is the ideal complement to S&P Risk Solutions’ same services in the space of non-securitized assets,” adds Marcel Heinrichs, director of Risk Solutions at S&P’s Valuation and Risk Strategies. “Thus, for the first time financial institutions and other organisations with exposure to credit risk are in the position to adopt best-practise risk management processes for their whole portfolio in a user-friendly and transparent manner”

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