How much capital is enough when the next shock arrives?
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Full libraryCapital Cliffs and EU Securitisation Regulations
This report (written jointly by a Risk Control Director and co-authors from leading industry organisations) assesses cliff effects in European securitisation capital rules. Capital cliffs create distortions and exacerbate instability in financial stress…
Full text · figuresMaking the Bank Securitisation Capital Rules Work for Europe
This report assesses the European Commission’s 17th June 2025 proposals for reforming bank securitisations capital rules. While we welcome the intended goal of unlocking bank issuance and investments in securitisation, and the direction of the proposed rule…
Full text · figuresHow to Calibrate Securitisation Capital Rules
Regulatory authorities in Europe may wish to reconsider the capital that banks and insurers hold against their securitisation exposures. Such a review is justified by the need for Europe to finance climate and digital transitions. Boosting investment will only…
Full text · figuresCapital Adequacy Benchmarking for MDBs
Read the full paper. This report presents a capital adequacy benchmarking analysis for nine prominent Multilateral Development Banks (MDBs), conducted by Risk Control and sponsored by the MDB Challenge Fund. The study aims to implement Recommendation 5 of the…
Full text · figuresRisk Transfer Efficiency for MDBs
Read the full paper. Multilateral Development Banks (MDBs) can significantly enhance their risk management through strategic risk transfers, as revealed by this efficiency analysis. The study employs a Benefit-to-Cost ratio, comparing percentage capital…
Full text · figuresQuantifying Preferred Creditor Treatment by Rating Grade
Read the full paper. The business models of Multilateral Development Banks (MDBs) depend crucially on Preferred Creditor Treatment (PCT). PCT refers to the de facto seniority that financially distressed sovereigns accord to MDBs from which they have…
Full text · figuresEuropean Competitiveness and Securitisation Regulations
European policymakers have argued that Europe needs “massive private investments” (see ECB (2024a)) to advance the climate agenda and generate higher productivity and competitiveness. While equity markets can provide EU corporates with some risk capacity…
Full text · figuresCalibration of a Securitisation Capital Floor
This note describes an approach to calibrating the floor on capital used in the Basel rules for securitisation exposures held by banks. Under the Basel rules, the floor is currently set at value proportional to the par value of the securitisation position. No…
Full text · figuresRethinking the Securitisation Risk Weight Floor
This paper presents a new design and calibration for the Risk Weight Floor of securitisation instruments and shows how it may be used as the basis for regulatory capital. Unlike the current Risk Weight (RW) Floor, which is specified as a constant percentage of…
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