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Home > Prudential Regulation Authority > Credit risk - securitisation - SS9/13 UPDATED

Credit risk - securitisation - SS9/13 UPDATED

19 December 2013
20 July 2017 - Content on this page has been updated see:
For information only, the original publication issued on 19 December 2013 is available below.

Update 19 December 2013:
SS9/13 supersedes LSS9/13, LSS10/13 and LSS11/13 (Related Links).

This supervisory statement sets out the Prudential Regulation Authority’s (PRA) expectations regarding firms’ use of securitisation.

The statement’s primary focus is on the PRA’s expectations of firms claiming significant risk transfer (SRT) through securitisation under Article 243 or 244 of the CRR. The PRA reviews transactions where firms claim SRT and the supervisory statement sets out the PRA’s expectations of firms notifying it of relevant transactions in accordance with Credit Risk Rule in the PRA rulebook.

It also outlines a number of issues relevant to the determination of whether the capital relief achieved through securitisation is matched by a commensurate transfer of risk to third parties.
The supervisory statement sets our expectations in several areas including the:

  • PRA’s general expectations of firms claiming SRT;
  • PRA’s transaction notification and permissions process;
  • considerations around regulatory capital calculation, implicit support and the cost of credit protection as they relate to SRT; and
  • mapping of external credit assessments which the PRA expects firms to apply until such time as the European Commission adopts a mapping which supersedes this. 

Supervisory Statement

Securitisation - SS9/13