Comment

St. Michael’s House 1 George Yard London EC3V 9DH Great Britain/Groâbritannien Tel +44.20.77 43 93 00 Fax +44.20.77 43 93 01 www.europeansecuritisation.com 31. May 2001 Baseler Ausschuß für Bankenaufsicht/Basel Committee on Banking Supervision Bank für Internationalen Zahlungsausgleich/Bank for International Settlements CH-4051 Basel Schweiz Re: The New Basel Capital Accord – Securitisation Aspects of the Internal Ratings Based Approach (IRB) and Appropriate Capital Risk Weightings for Securitisation Ladies and Gentlemen: 1The European Securitisation Forum (the “Forum”) appreciates this opportunity to comment on the consultative proposals (the “Consultative Proposals”) regarding the New Basel Capital Accord (the “ Accord”) released by the Basel Committee on Banking Supervision (the “Committee”) in January of this year. In response to the Committee and its staff’s requested time table, on May 25, 2001 we submitted a comment letter (our “Initial Standardised Comment”) on the Consultative Proposals covering certain comments we had in connection with the application of the proposed standardised approach set forth in the Consultative Proposals. In this letter we focus on the application of an internal ratings based approach (“IRB”) for 2securitisation and on appropriate capital requirements for securitisations. EXECUTIVE SUMMARY SECURITISATION IRB The Forum supports the Committee’s goal of adopting a workable securitisation IRB to be ...