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May 14, 2018

BCBS issued the standard for capital treatment of simple, transparent, and comparable (STC) short-term securitizations. This standard supplements the criteria for identifying STC short-term securitizations, which BCBS issued jointly with IOSCO. The short-term STC framework takes effect immediately.

The standard for capital treatment of STC short-term securitizations 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 in this standard are consistent with those for STC term securitizations set out in the Committee's July 2016 revisions to the securitization framework. 

The criteria for identification of STC short-term securitizations take account of the characteristics of asset-backed commercial paper (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. Provided that the expanded set of STC short-term criteria are met, STC short-term securitizations will receive the same modest reduction in capital requirements as other STC term securitizations. 

Similar to the STC framework for term securitizations, implementation of the STC short-term framework is not mandatory. Jurisdictions which consider that implementation costs exceed potential benefits retain the option not to implement the STC framework. The standard incorporates feedback collected during the public consultation, which was conducted in July 2017. Changes made include:

  • Setting the minimum performance history for non-retail and retail exposures at five years and three years, respectively
  • Clarifying that the provision of credit and liquidity support to the ABCP structure can be performed by more than one entity, subject to certain conditions

 

Related Links

Effective Date: May 14, 2018

Keywords: International, Banking, STC Securization, ABCP Securitization, Capital Requirements, Basel III, IOSCO, BCBS

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