DBRS Comments on the Consultation Paper on Enhancements to the Basel II Capital Framework

DBRS has commented on the consultation paper on enhancements to the Basel II Capital Framework. The proposals set out in the consultation paper are intended to help ensure that the risks inherent in a bank’s portfolio related to trading activities, securitizations and exposures to off-balance-sheet vehicles are better reflected in minimum capital requirements (Pillar 1 Proposals); in the supervisory review process, including risk management practices (Pillar 2 Proposals); and in market discipline, including better public disclosures to assist in understanding a bank’s overall risk management position (Pillar 3 Proposals).

The DBRS comments are primarily focused on the Pillar 1 Proposals, which recommend a higher capital charge for re-securitizations, a higher charge for liquidity lines extended to support asset-backed commercial paper (ABCP) and comprehensive disclosure about externally rated securitizations.

The DBRS letter is available at www.dbrs.com under Regulatory Affairs.

DBRS has its headquarters in Toronto, with offices in New York and Chicago, and covers entities worldwide.