Basel Committee issues capital treatment for simple, transparent and comparable short-term securitisations

The Basel Committee on Banking Supervision today issued the Capital treatment for simple, transparent and comparable short-term securitisations. This standard supplements the Criteria for identifying simple, transparent and comparable short-term securitisations issued jointly with the International Organization of Securities Commissions (IOSCO).

The standard 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 in this standard are consistent with those for STC term securitisations set out in the Committee's July 2016 revisions to the securitisation framework. Provided that the expanded set of STC short-term criteria are met, STC short-term securitisations will receive the same modest reduction in capital requirements as other STC term securitisations.

The standard incorporates feedback collected during the public consultation 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, and 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.

The short-term STC framework takes effect immediately. Similar to the STC framework for term securitisations, 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 Basel Committee wishes to thank all those who contributed time and effort to express their views during the consultation process.