Guidance on Supervisory Formula Method

FSA Guidance on Supervisory Formula Method

On May 25, the FSA proposed guidance for firms using the Supervisory Formula Method (SFM) to calculate risk-weighted exposure amounts for unrated securitization positions. The SFM is a formula based on the underlying asset portfolio’s capital requirement calculated under the Internal Rating Based approach. Comments must be submitted by June 22. FSA Proposed Guidance.