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Capital treatment of securitisations of non-performing loans

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Summary of document history   Previous version Previousconsultation This version Subsequentconsultation Subsequentversion Revisions to the securitisation framework 11 Jul 2016 Type:  Standards Status:  Consolidated Capital treatment of securitisations of non-performing loans 23 Jun 2020 Type:  Consultative Status:  Closed

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This version

BCBS  | 
Standards
 | 
26 November 2020
 | 
Status:  Forthcoming
PDF full text
 (177kb)
 |  7 pages
Topics: Credit risk

The Committee is publishing the technical amendment setting out capital requirements for non-performing loan securitisations. The rule, which the Committee started developing before the onset of the Covid-19 pandemic, closes a gap in the Basel framework by setting out prudent and risk sensitive capital requirements for non-performing loan securitisations.

The Committee consulted publicly on the technical amendment in June 2020. In contrast to the consultative proposal, the final rule allow banks to apply the external ratings-based approach to non-performing loans securitisation exposures, without the 100% risk weight floor. In addition, the final rule refines the definition of discount incurred by the originating bank that factors in the capital requirements.

Committee jurisdictions agreed to implement the technical amendment by no later than January 2023. The Committee would like to thank all those who contributed time and effort to express their views during the consultation process.

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