How is Ssfa calculated?
(2) Then the [BANK] must calculateKSSFAaccording to the following equation:KSSFA=ea−u−ea−la(u−l)(3) The risk weight for the exposure (expressed as a percent) is equal toKSSFA×1,250.
What is SFA and SSFA?
This guidance summarizes supervisory expectations about how banking organizations. determine when the simplified supervisory formula approach (SSFA), rather than the supervisory. formula approach (SFA), may be used to calculate risk-weighted assets for securitization.
What are SSFA?
Called the Simplified Supervisory Formula Approach (SSFA), this calculation method measures a combination of the collateral performance and structural integrity of all securitized products, including mortgage- and asset-backed securities. SSFA calculations are extremely data-intensive to produce.
What is supervisory formula approach?
General requirements. Under the proposed rule, a bank using the SFA would determine the risk weighted asset amount for a securitization exposure by multiplying the SFA risk-based capital requirement for the exposure (as determined by the supervisory formula set forth below) by 12.5.
What is Ssfa risk weight?
§ 217.144 Simplified supervisory formula approach (SSFA). A Board-regulated institution that does not have the appropriate data to assign the parameters described in paragraph (b) of this section must assign a risk weight of 1,250 percent to the exposure.
What is the methodology for SFA and SSFA regulatory capital calculations?
The methodology for SFA and SSFA regulatory capital calculations are based on the most recent rules as listed in the Federal Register, Vol. 78, No. 198, (October 11, 2013). Please refer to Appendix 1 and 2 for the detailed mechanics and formula of both approaches.
What are the inputs for SSFA calculation?
The SSFA calculation requires the following input parameters: KG, which is the weighted average total base capital requirements of the underlying exposures. Parameter W, which is the ratio of the sum of underlying exposures that are seriously delinquent or defaulted for regulatory purposes.
What is the difference between SFA and SSFA?
A positive number indicates Capital Relief by using SFA over SSFA; whereas a negative number implies the reverse. SFA should result in Capital Relief for improved quality pools as the framework is more sensitive to underlying loan characteristics and considers the LGD, EL, and granularity of the assets.