In diesem Artikel untersucht Matthew Salisbury von Volterra Consulting die Auswirkungen des überarbeiteten Baseler Rahmens zu Eigenkapitalanforderungen auf britische Hypothekengeber. Analysiert werden zwei Kapitalstandards, die Hypothekengeber wählen können, sowie ihre unterschiedlichen Folgen.
Executive Summary
New capital standards following from the revised Basel framework come into force on 31 December 2006. Mortgage lenders face a choice between two regimes:
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the standardised approach, similar to the current system, or
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the internal ratings based (IRB) approach, where their own experience of arrears and defaults can be used to assess what capital they need to put aside.
Based on data from the Council of Mortgage Lenders, there is good reason to expect that the IRB approach will offer a significantly lower level of capital requirement for mortgage lenders than either the standardised approach or the current requirements.
Estimates indicate that adopting an IRB approach could cut credit risk capital requirements on standard mortgages by between 45 and 65 per cent, compared with the standardised approach.
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(First published in Mortgage Finance Gazette, European Supplement 2005)