The Clearing House (TCH), SIFMA and FSR commented on the Basel Committee’s second consultative document to revise the standardized approach to credit risk. Among other things, the letter: (i) raises concerns about disparate treatment between calibrations for risk weighting under the external credit rating, and non-credit rating approaches; (ii) suggests aligning the determination of “investment grade” with the process set forth by the U.S. Agencies; (iii) suggests that credit conversion factors (CCFs) for retail and wholesale commitments are too conservative and are not supported by historical experiences; (iv) recommends that the final rule differentiate applicable CCFs by product to increase risk sensitivity; and (v) identifies the credit risk mitigation framework’s haircuts for equity and corporate debt securities as too high. TCH previously submitted a comment letter in response to the initial consultation on March 26, 2015.
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