Basel Committee and IOSCO consult on securitisations: The Basel Committee and the International Organisation of Securities Commissions (IOSCO) are consulting on criteria for identifying simple, transparent and comparable securitisations. The consultation maps each criterium to key risks in the securitisation process, and says it provides a modular approach. The criteria cover:

  • asset risk: this looks at the nature of the assets, asset performance history, payment status, consistency of underwriting, asset selection and transfer, and initial and ongoing data;
  • structural risk: this covers redemption cash flows, currency and interest rate asset and liability mismatches, payment priorities and observability, voting and enforcement rights, documentation disclosure and legal review and alignment of interest; and
  • fiduciary and servicer risk: this covers fiduciary and contractual responsibilities and transparency to investors. 

Consultation closes on 13 February 2015. (Source: Basel Committee and IOSCO Consult on Securitisations)

Basel publishes revisions to securitisation framework: The Basel Committee has issued changes to the Basel II securitisation framework to take account of Basel III. The changes will take effect from January 2018. The most significant changes relate to:

  • the hierarchy of approaches. This reduces reliance on external ratings, and simplifies and limits the number of approaches. The internal ratings-based approach is at the top of the hierarchy, followed by the external ratings-based approach and then the standardised approach;
  • the risk drivers each approach uses; and
  • the amount of regulatory capital banks must hold for exposures to securitisations.

(Source: Basel Publishes Revisions to Securitisation Framework)