Capital treatment for simple, transparent and comparable short-term securitisations - consultative document

July 2017

The Basel Committee on Banking Supervision today released the consultative document Capital treatment for simple, transparent and comparable short-term securitisations. The Committee's proposed capital treatment supplements the consultative document Criteria for identifying simple, transparent and comparable short-term securitisations issued jointly with the International Organization of Securities Commissions (IOSCO).

The consultative document sets out additional guidance and requirements for the purpose of applying preferential regulatory capital treatment for banks acting as investors in or as sponsors of simple, transparent and comparable (STC) short-term securitisations, 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; and

  • the transactions funded by the conduit have an enforceable legal structure and that the relevant information is disclosed by the sponsor to investors.

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

The Committee welcomes comments on all aspects of this consultative document. Comments should be uploaded by Thursday 5 October 2017 using the following BCBS link. All comments will be published on the website of the Bank for International Settlements unless a respondent specifically requests confidential treatment.