Guidance on Advanced Approaches 2015-1: Supervisory Guidance for Implementation of the Simplified Supervisory Formula Approach for Securitization Exposures Under the Advanced Approaches Risk-Based Capital Rule

Summary

The Guidance on Advanced Approaches (GAA Series) addresses technical matters relating to the implementation of the advanced approaches risk-based capital rule.

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 exposures under the advanced approaches risk-based capital rule (rule).1 Staff at the Office of the Comptroller of the Currency (OCC) and the Board of Governors of the Federal Reserve System (Board) worked closely together to develop this guidance.