Securitization is one of the more prominent developments to emerge in international finance over the past twenty years and one of the most sophisticated tools of modern finance. The main goal of this study is to examine the statistical link between securitization and risk-based capital ratios. Our results show that securitization activity causes a decline in both Tier 1 and Total risk-based capital ratios. This suggests that the risk of securitization is inefficiently taken into account in capital ratios or under-estimated by banks managers.