July 06, 2017

BCBS released the consultative document specifying capital treatment for simple, transparent, and comparable (STC) short-term securitizations. This consultation is in addition to the proposed criteria for identifying STC short-term securitizations, which BCBS issued jointly with IOSCO. The proposed capital treatment is consistent with the Basel Committee's July 2016 revisions to the securitization framework. Comments are due by October 05, 2017.

The consultative document on capital treatment for STC short-term securitizations outlines how the short-term STC criteria could be incorporated into the regulatory capital framework for banks. It sets out additional guidance and requirements for applying preferential regulatory capital treatment for banks acting as investors in, or as sponsors of, STC short-term securitizations, typically in asset-backed commercial paper (ABCP) structures. The additional guidance and requirements include that:

Investors have access to key monthly information on the performance and key characteristics of the ABCP structure

The redemption risk of the underlying assets is addressed from the sponsor's perspective

The transactions funded by the conduit have an enforceable legal structure

The relevant information is disclosed by the sponsor to investors

 

The 2016 standard sets out additional guidance and requirements for differentiating the capital treatment of STC short-term securitizations from that of other securitizations. Similarly, provided that the proposed criteria are met, STC short-term securitizations will receive the same reduction in capital requirements as other STC short-term securitizations. This enhances risk sensitivity of the framework without significantly increasing banks' operational burden in computing the applicable capital relief.

 

The second consultation contains the criteria for identifying STC short-term securitization. The criteria take account of the characteristics of ABCP conduits, such as the short maturity of the commercial paper issued, the different forms of program structures, and the existence of multiple forms of liquidity and credit support facilities. The short-term STC criteria maintain and build on the principles in the criteria for identifying STC securitizations, which was issued by BCBS-IOSCO in July 2015 and was included in the revised securitization standard issued in 2016.

 

Related Links

Consultation on Short-Term STC Securitization: Capital Treatment (PDF)

Consultation on Short-Term STC Securitization: Criteria (PDF)

Revised Securitization Framework, July 2016

Comment Due Date: October 05, 2017

Keywords: International, BCBS, Banking, STC, ABCP, Securitization

Related Articles
News

APRA Releases Minor Changes to Reporting Standards on SA-CCR for Banks

APRA released minor changes to the three reporting standards for the standardized approach for measuring counterparty credit risk exposures (SA-CCR).

May 22, 2019 WebPage Regulatory News
News

APRA Proposes to Amend Guidance on Residential Mortgage Lending

APRA is consulting on revisions to the prudential practice guide APG 223 on residential mortgage lending in Australia.

May 21, 2019 WebPage Regulatory News
News

ESAs Amend Technical Standards on Mapping of ECAIs Under CRR

ESAs published a second amendment to the implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk under the Capital Requirements Regulation (CRR).

May 20, 2019 WebPage Regulatory News
News

OCC Consults on Information Collection for Home Mortgage Disclosures

OCC is soliciting comment on the revision of the information collection titled “Regulation C—Home Mortgage Disclosure.” OCC also notes that it has sent the collection to OMB for review.

May 20, 2019 WebPage Regulatory News
News

EIOPA Updates Q&A on Regulations in May 2019

EIOPA published additional questions and answers (Q&A) on guidelines, directives, and regulations applicable to insurers in Europe.

May 17, 2019 WebPage Regulatory News
News

FSB Publishes Update on Meeting of RCG for Americas

FSB published a summary of the meeting of its Regional Consultative Group (RCG) in Americas.

May 17, 2019 WebPage Regulatory News
News

ESRB Paper on Impact of Business Model Similarities on Risk Capture

ESRB published a working paper on whether information contagion and business model similarities explain bank credit risk commonalities.

May 17, 2019 WebPage Regulatory News
News

CBM Notifies ESRB and ECB on Imposing Borrower-Based Measures in Malta

CBM notified ESRB and ECB regarding its decision to impose borrower-based measures on lenders in Malta.

May 17, 2019 WebPage Regulatory News
News

IASB Issues Work Plan and Meeting Updates for May 2019

IASB published an updated work plan, along with the update of its meeting in May 2019.

May 17, 2019 WebPage Regulatory News
News

FCA Publishes Its Business Plan for the Coming Year

FCA published its Business Plan, which sets out the main areas of focus and priorities for 2019/20.

May 17, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3103