SFIG to Comment on BCBS Proposals for STC Short-Term Securitizations and Related Capital Treatment

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

According to the BCBS, the consultative document on capital 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 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; and
  • the transactions funded by the conduit have an enforceable legal structure and that the relevant information is disclosed by the sponsor to investors.

SFIG's HQS Task Force and Regulatory Capital & Liquidity Committee will be submitting comments jointly (due by October 5th, 2017) on these consultative documents.

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