CMBS SSFA calculations recommended

CMBS SSFA calculations recommended

Category: CMBS Regulation


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Different interpretations of simplified supervisory formula approach (SSFA) inputs under the Fed's market risk rule could result in significant variation in capital requirements (SCI 11 June). CMBS strategists at RBS have consequently put forward recommendations on how SSFA inputs for CMBS should be calculated to optimise capital requirements while standing up to potential regulatory scrutiny.

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