As we outlined in Edition 17 of this SCM Briefing, the Basel Committee (in conjunction with the International Organisation of Securities Commissions (IOSCO)) issued its final, global Criteria for identifying "Simple, Transparent and Comparable" (STC) securitisations in July 2015. At that time, the Basel Committee noted that it would consider during 2015 how to incorporate the STC Criteria into the revised capital adequacy framework for securitisation transactions, which had already been set out in the "Final Revisions to the Securitisation Framework" in December 2014 (the "revised Securitisation Framework" - see our Feature Piece in Edition 14 of this SCM Briefing for further background). The revised Securitisation Framework is effectively the "Basel III" capital rules for securitisation transactions, and it is not scheduled to be implemented until 1 January 2018. In November 2015, the Basel Committee issued a Consultative Document which proposes how the final STC Criteria would be incorporated into the revised Securitisation Framework, and makes a series of amendments to the Criteria that would apply to STC deals. Those amended Criteria would have to be met by STC transactions seeking to benefit from the more beneficial capital treatment that is proposed. We provide a detailed summary of the Basel Committee's finalised STC Criteria showing the proposed additional Criteria for capital purposes, and the proposed additional guidance on the Criteria, in a Feature Piece in this Edition of the SCM Briefing. Comments on the Consultative Document are requested by 5 February 2016. The Basel Committee is also running a detailed Quantitative Impact Study (QIS) with banks to determine the possible practical impact of the proposals on capital levels, and following the end of the comment and QIS period, it plans to publish the final standard "within an appropriate timeframe", bearing in mind that the revised Securitisation Framework is scheduled to be implemented by 1 January 2018.
Basel Committee Consultative Document: Capital Treatment for "Simple, Transparent and Comparable" securitisations