New Basel Committee Working Paper on Asset Securitisation
The Basel Committee on Banking Supervision has issued a new paper entitled ‘Second Working Paper on the Treatment of Securitisation’. The paper describes the rationale behind the proposed capital framework for securitisation exposures presented in the third quantitative impact study (or QIS3) which was released on 1 October 2002. The paper discusses some of the new elements of the securitisation framework, such as improvements made to the IRB treatment, as well as those concerning liquidity facilities and structures containing early amortisation features, which are all aimed at improving the risk-sensitivity of the minimum capital requirements. The Basel Committee is also seeking input on the supervisory review component (pillar 2) of the securitisation framework.