Revisions to the Basel Securitisation Framework - consultative document

December 2012

The performance of securitisation exposures and the central role they played during the recent financial crisis were a key motivation for the Basel Committee to perform a broader review of its securitisation framework for regulatory capital requirements. The Committee's objectives are to make capital requirements more prudent and risk-sensitive; to mitigate mechanistic reliance on external credit ratings; and to reduce current cliff effects in capital requirements.

The major elements of the proposed revised framework include the following:

  • The Committee is considering two possible hierarchies that would be significantly different from hierarchies currently employed in the securitisation framework. These two hierarchies differ in aspects such as the specific approach to be applied for certain types of exposures, the order and scope of application of approaches, as well as the flexibility that is given to either jurisdictions or to banks to opt for one approach or the other.
  • The Committee is proposing enhancements to the current ratings-based approaches and the supervisory formula approach included in the Basel II securitisation framework. The proposal contains a revised ratings-based approach and a modified supervisory formula approach, both of which are intended to create a more risk-sensitive and prudent calibration. To accomplish these objectives, underlying assumptions of the current framework have been revised to reflect lessons learned during the crisis. The enhanced approaches also incorporate additional risk drivers, such as maturity.
  • The proposed revisions to the securitisation framework include the introduction of new approaches, such as a simplified supervisory formula approach and different applications of the concentration ratio based approach that was included in the Basel 2.5 enhancements.

In the coming months, the Committee will conduct a quantitative impact study (QIS) on the proposals. Responses to the public consultation, together with the QIS results, will be considered as the Committee moves forward to revise the securitisation framework.

Comments on the proposals should be submitted by Friday 15 March 2013 by e-mail to: baselcommittee@bis.org. Alternatively, comments may be sent by post to: Secretariat of the Basel Committee on Banking Supervision, Bank for International Settlements, CH-4002 Basel, Switzerland. All comments may be published on the website of the Bank for International Settlements unless a comment contributor specifically requests confidential treatment.

  • Comments received on the consultative document (April 2013)