Access to securitisation to become easier for banks

The Bank of Russia draft Provision ‘On the Procedure for Calculating Securitisation Exposure by Banks’ will be finalised in the coming months with due regard to comments and suggestions received from market participants. The clarifications will facilitate the implementation of the new standardised approach whose merit lies in its applicability for any securitisation transactions, including unrated ones. This issue is highlighted in the informational Bulletin ‘Banking Regulation in 2017 Q4’.

According to the new rules of assessing securitisation exposure, fixed risk ratios for such transactions shall be replaced by risk ratios calculated using a single formula. The estimated risk ratio shall be determined by the quality of securitised assets and the structure of the transaction. The document provides for the possibility of reducing the estimated risk ratio to the minimum of 15% for senior tranches. The risk ratio of 1250% will only be applied in case of a total absence of information on the quality of securitised assets and the transaction structure.

Moreover, as part of implementing this standard, it is planned to single out so-called simple, transparent and comparable securitisations (STC securitisations), which require a concessional exposure assessment. In case of compliance with STC securitisation criteria, the estimated risk ratio may be reduced to 10% on investments to senior tranches and to 15% on all other tranches.

5 February 2018

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