Post-GFC securitisation reforms and new initiatives: a comparative analysis
The Great Financial Crisis (GFC) exposed significant vulnerabilities in global securitisation markets. In response, international standard-setting bodies implemented comprehensive reforms to address the weaknesses in these markets. These reforms sought to restore market integrity and resilience by reducing reliance on external credit ratings, enhancing risk sensitivity and improving transparency.
Since the introduction of these reforms, securitisation markets have followed divergent paths. While some markets have experienced strong recoveries, others remain subdued. This divergence has sparked debate about potential unintended consequences of the reforms, including concerns that overly conservative or prescriptive implementation may have constrained securitisation activity in certain jurisdictions. These challenges have prompted recent regulatory initiatives in such jurisdictions.
This paper aims to provide evidence-based analysis that could shed light on three aspects of the ongoing debate. First, it examines to what extent the post-GFC reforms have achieved their intended objectives. Second, it explores whether these reforms have led to unintended consequences. Finally, it considers whether there is a need to revisit and adjust the regulatory framework for securitisation.
JEL classification: G01, G18, G21, G22, G28, E44, P52
Keywords: securitisation, regulatory capital, post-GFC reforms, prudential regulation, significant risk transfer, risk retention
