Research library

53 results in Securitisation & SRT · Clear filters

2026

6 May 2026

Capital 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…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

2025

27 Nov 2025

Risk Control presents at Italian securitisation workshop

Risk Control Director William Perraudin gave a talk to a large audience of Italian bankers and policymakers in Rome. The talk drew on our recent report on Making the Bank Securitisation Capital Rules Work for Europe. The…

Securitisation & SRT

Full text

6 Oct 2025

Making 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,…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

16 Mar 2025

How 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…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

7 Jan 2025

Data Template for MDB Loans

Multilateral Development Banks (MDBs) are mandated by their shareholder to help Emerging Market and Developing Economies (EMDEs) achieve the 2030 Sustainable Development Goals (SDGs) adopted by United Nations member…

MDB & sovereignSecuritisation & SRTCredit risk

Full text

6 Jan 2025

Regulatory Data Requirements for Securitisation Investors

Read the paper. The ambitious lending targets set by the shareholders of Multilateral Development Banks’ (MDBs) which aim to achieve the 2015 United Nations Sustainable Development Goals, require a significant expansion…

Securitisation & SRTCapital markets & regulationMDB & sovereign

Full text

2024

28 Dec 2024

Analysis of SDR-Based Hybrid Capital for MDBs

Read the full paper. The African Development Bank (AfDB) and the Inter-American Development Bank (IDB) have co-developed proposals to boost the lending capacity of Multilateral Development Banks (MDBs) using Special…

MDB & sovereignMarket & liquidity riskCredit risk

Full text

21 Oct 2024

MDB Risk Transfer - Business Models and Data

Read the full paper. Multilateral Development Banks (MDBs) are exploring scalable risk transfer strategies to expand their lending capacity and meet the 'billions to trillions agenda' adopted in 2015. This report…

Securitisation & SRTMDB & sovereignCapital markets & regulation

Full text

21 Oct 2024

Risk 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…

Securitisation & SRTMDB & sovereignBank capital & Basel

Full text

12 Aug 2024

European 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…

Securitisation & SRTCapital markets & regulationBank capital & Basel

Full text

4 Jul 2024

Calibration 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…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

9 May 2024

Rethinking 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…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

2023

17 Oct 2023

Public Discussion on Risk Control's MDB Risk Transfer and Risk Benchmarking Solutions

Risk Control spoke at "The G20 CAF Recommendations One Year On: Implementation and Challenges" event organised by the MDB Challenge Fund on the margins of the 2023 Annual Meetings of the IMF and the World Bank Group…

MDB & sovereignSecuritisation & SRT

27 Sept 2023

New World Bank Studies by Risk Control

Commissioned by The Rockefeller Foundation, Risk Control has completed two substantial new studies of the finances of two World Bank Group lending organisations, the International Bank for Reconstruction and Development…

MDB & sovereignSecuritisation & SRTRatings & rating agencies

Full text

1 Aug 2023

Risk Control Projects on MDB Risk Transfer and Risk Benchmarking

Risk Control is among the recipients of funding announced by the MDB Challenge Fund at the June 2023 New Financial Pact Summit, chaired by Emmanuel Macron, President of the French Republic and Narendra Modi, Prime…

Securitisation & SRTMDB & sovereignMarket & liquidity risk

Full text

2022

24 Nov 2022

Impact of the SA Output Floor on the European Securitisation Market

This paper examines the impact on the European securitisation market of the introduction by regulators of the Standardised Approach (SA) Output Floor. This rule change forms one of the final elements of Basel III. It…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

10 Nov 2022

Comparing CB, ABS and Corporate Bond Liquidity

This study examines the relative liquidity of Asset Backed Securities (ABS), Covered Bonds (CBs) and Corporate Bonds (Corps). The measure of liquidity that we employ is half the bid-ask spread divided by the mid-price.…

Securitisation & SRTMarket & liquidity riskCapital markets & regulation

Full text

13 Jul 2022

Reviving Securitisation in Europe

European authorities (European Commission, UK HM Treasury) have recently launched consultations (UK Call for evidence (June 2021), EC Targeted Cosultation (July 2021)) concerning the state of the securitisation markets…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

7 Jun 2022

Risk Analysis for Securitisation Portfolios

The models presented in this note constitute a toolbox of rigorous techniques for analysing securitisation portfolio risk. As such, they permit the user to analyse with confidence the risks in holding securitisation…

Securitisation & SRTValuation & modellingRisk software

Full text

1 Apr 2022

Comparing ABS and Covered Bond Liquidity

This study examines the relative liquidity of senior Asset Backed Securities (ABS) and Covered Bonds (CBs). The analysis is based on bid-ask spread data on all securities in the two asset classes for which information is…

Securitisation & SRTMarket & liquidity riskCapital markets & regulation

Full text

9 Mar 2022

ABS and Covered Bond Risk and Solvency II Capital Charges

This study analyses the relative risk of European Asset Backed Security (ABS) tranches and Covered Bonds (CBs) and draws lessons about how insurer capital charges should be calibrated in the context of Europe’s Solvency…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

2021

4 Nov 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

Paper available here. Long-term development finance provided by Multilateral Development Banks (MDBs) is key to advancing the United Nations’ 2015 Sustainable Development Goals. However, MDBs are constrained in their…

Securitisation & SRTMDB & sovereign

2020

12 Feb 2020

Lectures on Securitisation: Regulation and Practice

Presented by William Perraudin The lectures provide a balanced overview of the securitisation market with an emphasis on its risk characteristics and how those are reflected in regulatory frameworks. The evolution of the…

Securitisation & SRTCapital markets & regulationBank capital & Basel

Full text

2019

12 Jul 2019

Top-down and Performance-based SME Probabilities of Default

Note available here. This note summarises the results of an exercise to estimate probabilities of default (PDs) using the Top-Down approach (commonly employed by IRB banks) and an approach that we term “Performance…

Credit riskSecuritisation & SRTBank capital & Basel

Full text

2018

17 Sept 2018

Implementation of SEC-IRBA by European Banks

Note available here. This paper provides a comment on the Regulatory Technical Standard (RTS) recently issued by the European Banking Authority’s (EBA) on the use of the Purchased Receivables Approach (PuRA) by European…

Securitisation & SRTBank capital & BaselCredit risk

Full text

2016

26 Jul 2016

Solvency II Capital Calibration for Securitisations

Non-technical summary available here. A significant obstacle to the revival of the European securitisation market is the high level of capital that insurers are required to hold against securitisation positions under…

Securitisation & SRTInsurance & Solvency IIBank capital & Basel

Full text

7 Jul 2016

The 5 Percent Securitisation Retention Threshold - A Short Technical History

Note available here. Authors: Duc Dam Hieu, Georges Duponcheele, Alexandre Linden, William Perraudin To discourage the “originate-to-distribute” business model (which created the US subprime mortgage securitisation…

Securitisation & SRT

Full text

2015

19 Oct 2015

Comments on the Commission’s Proposals for Reviving the European Securitisation Market

Click here for the full text in pdf format. Abstract: The European Commission has issued proposals for reviving the European securitisation market by moderating the stringency of prospective Basel rules for qualifying…

Securitisation & SRTBank capital & Basel

Full text

26 Aug 2015

The EBA’s Proposed Capital Rules for Qualifying Securitisations

Full note available here. The European Banking Authority (EBA) has published proposals for a ‘rescaling’ or reduction in regulatory capital risk weights for securitisations that may be categorised as Simple, Standard and…

Securitisation & SRTBank capital & BaselICAAP & stress testing

Full text

15 Jun 2015

How European securitisation could assist SME financing

Full note available here. William Perraudin European SMEs have been among the primary casualties of the credit crunch that has gripped much of Europe since the crisis of 2007-8 and the subsequent European sovereign debt…

Securitisation & SRTBank capital & Basel

Full text

19 May 2015

Consultation Response on EU Framework for Simple, Transparent and Standardised Securitisation

Full consultation response available here. Risk Control thanks the European Commission for the opportunity to address the issues raised in the Consultation Document on an EU framework for simple, transparent and…

Capital markets & regulationSecuritisation & SRTBank capital & Basel

Full text

17 Apr 2015

Default Probability Risk and Securitisation Capital

This paper develops a simple but rigorous approach to allowing for default probability risk in securitisation capital calculations. The approach consists of including additional random factors to describe risk in inputs,…

Securitisation & SRTCredit riskBank capital & Basel

Full text

19 Feb 2015

Response to BCBS-IOSCO Consultation

Full response available here. This document sets out Risk Control’s response to the BCBS-IOSCO consultative document entitled “Criteria for identifying simple, transparent and comparable securitisations”. We welcome the…

Capital markets & regulationBank capital & BaselSecuritisation & SRT

PDF

10 Feb 2015

Comment on Antoniades and Tarashev

Full note available here. William Perraudin An interesting recent article in the BIS Quarterly Bulletin by Antoniades and Tarashev argues that capital for mezzanine tranches of securitisations should be boosted…

Securitisation & SRTBank capital & BaselCredit risk

Full text

2014

15 Dec 2014

How to Revive the European Securitisation Market: a Proposal for a European SSFA

Two page executive summary here. European policy-makers view the revival of the securitisation market as a key step in (i) restoring orderly funding to European banks and (ii) boosting lending necessary for growth.…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

2 Dec 2014

AFA Capital - An Introduction

Risk Control is working with a Quant Group comprising securitisation specialists from several banks on analysing the Basel Committee’s recent proposals on regulatory capital for securitisations. The Committee’s proposals…

Securitisation & SRTBank capital & BaselCapital markets & regulation

19 Sept 2014

Securitisation Purchases by the ECB - What is "Senior Enough"?

The ECB will soon adopt a set of eligibility criteria for its planned ABS purchase programme. These criteria are likely to include a restriction based on agency ratings. The inclusion of dependence on agency ratings in…

Securitisation & SRTCentral banks & monetary policyCapital markets & regulation

Full text

15 Aug 2014

Quantitative Impacts of BCBS 269 Securitisation Capital Approaches

William Perraudin This note presents comparisons of risk weights calculated using three approaches proposed in the recent Basel consultative paper on securitisation capital, BCBS 269. These approaches are the Internal…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

19 Jul 2014

High Quality Securitisation: An Empirical Analysis of the PCS Definition

William Perraudin The risk and liquidity characteristics of securitisations vary greatly, posing challenges for investors and regulators alike. Recently, there has been interest in the possibility of identifying, through…

Securitisation & SRTMarket & liquidity riskCapital markets & regulation

Full text

2 Apr 2014

Calibration of the CMA and Regulatory Capital for Securitisations

Georges Duponcheele, Alexandre Linden, William Perraudin, and Daniel Totouom-Tangho This paper presents a calibration of the Conservative Monotone Approach (CMA), a model of capital for securitisation tranches, and shows…

Securitisation & SRTCapital markets & regulationBank capital & Basel

Full text

2 Mar 2014

Calibration of the Simplified Supervisory Formula Approach

The Simplified Supervisory Formula Approach (SSFA) is a simple, ad hoc approach to allocating capital across tranches with different seniorities. The SSFA has been adopted by the Basel authorities in their latest…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

2 Feb 2014

Reducing the Reliance of Securitisation Capital on Agency Ratings

Georges Duponcheele, William Perraudin, and Daniel Totouom-Tangho This paper describes the disadvantages of using agency ratings for securitisations in regulatory applications, and in particular as a basis for regulatory…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

10 Jan 2014

Covered Bond versus ABS Liquidity

William Perraudin The EBA has analysed the liquidity of different asset classes as part of its work for the European Commission on definitions to be employed in a European implementation of the Liquidity Coverage Ratio.…

Securitisation & SRTMarket & liquidity riskCapital markets & regulation

Full text

2013

2 Sept 2013

Granularity, Heterogeneity and Securitisation Capital

Georges Duponcheele, William Perraudin, Alastair Pickett, and Daniel Totouom-Tangho This paper examines the effects of granularity and heterogeneity on capital requirements for securitisation transactions. For…

Securitisation & SRTValuation & modellingBank capital & Basel

Full text

2 Sept 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

Georges Duponcheele, William Perraudin, and Daniel Totouom-Tangho This paper examines how the capital required for securitisation tranche exposures varies as the maturity of the securitisation increases. We investigate…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

19 Jun 2013

The Simplified Arbitrage-Free Approach

Georges Duponcheele, William Perraudin, and Daniel Totouom-Tangho This paper proposes a variant of the Arbitrage Free Approach (AFA) (developed by Duponcheele et al. (2013)) applicable when the available inputs are risk…

Securitisation & SRTBank capital & BaselCapital markets & regulation

Full text

19 Apr 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

Georges Duponcheele, William Perraudin, and Daniel Totouom-Tangho This paper develops a principles-based approach to calculating regulatory capital for securitisations. The approach is simpler and more transparent than…

Securitisation & SRTCapital markets & regulationBank capital & Basel

Full text

2008

19 May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods

This paper investigates the different factors that contribute to the cross-sectional pattern of spreads in Asset-Backed Security (ABS) prices in times of crisis. The periods include the crisis in the Manufactured Housing…

Securitisation & SRTMarket & liquidity risk

Full text

19 Mar 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations

This paper applies a new class of dynamic credit loss rate models to the pricing of benchmark synthetic Collateralized Debt Obligations (CDOs). Our approach builds directly on the static, industry-standard, pricing…

Securitisation & SRTCredit risk

Full text

2006

2 Apr 2006

Securitisations in Basel II

Link to full article here. William Perraudin This article describes the Basel II capital rules for securitisation exposures, explaining (i) the considerations that influenced regulators' decisions, (ii) the approaches…

Bank capital & BaselSecuritisation & SRTCapital markets & regulation

Full text

2005

2 Dec 2005

Hedging and Asset Allocation for Structured Products

Link to full paper available here. This paper presents techniques for hedging structured products in incomplete markets. Under actual distributions, we simulate correlated ratings histories for pool exposures up to the…

Securitisation & SRTValuation & modelling

Full text

2004

2 Jun 2004

Capital for Structured Products

Birkbeck College Bank of England Structured products are complex instruments the payoffs on which depend on the performance of pools of correlated underlying assets and that possess a tranche structure, i.e., a set of…

Securitisation & SRTBank capital & BaselCredit risk

Full text

2 May 2004

How Risky are Structured Exposures Compared to Corporate Bonds?

Evidence from Bond and ABS Returns This paper compares the risk of structured exposures with that of defaultable corporate bonds with the same agency ratings. Risk is defined in a variety of ways including return…

Credit riskSecuritisation & SRT

Full text

Research library

How much more can banks lend?

2026

Capital Cliffs and EU Securitisation Regulations

2025

Risk Control presents at Italian securitisation workshop

Making the Bank Securitisation Capital Rules Work for Europe

How to Calibrate Securitisation Capital Rules

Data Template for MDB Loans

Regulatory Data Requirements for Securitisation Investors

2024

Analysis of SDR-Based Hybrid Capital for MDBs

MDB Risk Transfer - Business Models and Data

Risk Transfer Efficiency for MDBs

European Competitiveness and Securitisation Regulations

Calibration of a Securitisation Capital Floor

Rethinking the Securitisation Risk Weight Floor

2023

Public Discussion on Risk Control's MDB Risk Transfer and Risk Benchmarking Solutions

New World Bank Studies by Risk Control

Risk Control Projects on MDB Risk Transfer and Risk Benchmarking

2022

Impact of the SA Output Floor on the European Securitisation Market

Comparing CB, ABS and Corporate Bond Liquidity

Reviving Securitisation in Europe

Risk Analysis for Securitisation Portfolios

Comparing ABS and Covered Bond Liquidity

ABS and Covered Bond Risk and Solvency II Capital Charges

2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

2020

Lectures on Securitisation: Regulation and Practice

2019

Top-down and Performance-based SME Probabilities of Default

2018

Implementation of SEC-IRBA by European Banks

2016

Solvency II Capital Calibration for Securitisations

The 5 Percent Securitisation Retention Threshold - A Short Technical History

2015

Comments on the Commission’s Proposals for Reviving the European Securitisation Market

The EBA’s Proposed Capital Rules for Qualifying Securitisations

How European securitisation could assist SME financing

Consultation Response on EU Framework for Simple, Transparent and Standardised Securitisation

Default Probability Risk and Securitisation Capital

Response to BCBS-IOSCO Consultation

Comment on Antoniades and Tarashev

2014

How to Revive the European Securitisation Market: a Proposal for a European SSFA

AFA Capital - An Introduction

Securitisation Purchases by the ECB - What is "Senior Enough"?

Quantitative Impacts of BCBS 269 Securitisation Capital Approaches

High Quality Securitisation: An Empirical Analysis of the PCS Definition

Calibration of the CMA and Regulatory Capital for Securitisations

Calibration of the Simplified Supervisory Formula Approach

Reducing the Reliance of Securitisation Capital on Agency Ratings

Covered Bond versus ABS Liquidity

2013

Granularity, Heterogeneity and Securitisation Capital

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

The Simplified Arbitrage-Free Approach

A Principles-Based Approach to Regulatory Capital for Securitisations

2008

Determinants of Asset-Backed Security Prices in Crisis Periods

Dynamic Pricing of Synthetic Collateralized Debt Obligations

2006

Securitisations in Basel II

2005

Hedging and Asset Allocation for Structured Products

2004

Capital for Structured Products

How Risky are Structured Exposures Compared to Corporate Bonds?