Securitisation exposures have been made subject to a much stringent banking book charge based on credit ratings, and the specific risk capital changes for securitisation and re-securitisation have been enhanced. 27. In the US, the comprehensive Dodd-Frank Act has been enacted which addresses, among others, the issue of separation of proprietary trading from banks – the Volcker rule.
The Act contains a diluted version of the original Volcker proposal, which will restrict banks’ proprietary trading 1 , impose additional capital requirements on shadow banks engaged in proprietary trading, and restrict banks’ ownership stakes in hedge funds and private equity funds.