Securitisation Capital Framework

PRA Rules and Modifications by Consent

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

• Non-Performing Exposures Securitisation (CRR) 
• Credit Risk (Chapter 3 - Securitisation – Recognition of Significant Risk Transfer)
• Modification by consent in relation to the Help to Buy Scheme
• Securitisation (CRR)

UK legislation 

• Securitisation - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title II, Chapter 5)
• Types of derivatives - Capital Requirements Regulation (EU) No 575/2013 (Annex II)

UK technical standards

• Convergence of supervisory practices with regard to the implementation of additional risk weights - Commission Implementing Regulation (EU) 602/2014 as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex Q
• OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards for risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty - Commission Delegated Regulation 2016/2251, Article 30a , as amended, including by the Technical Standards (European Market Infrastructure) (EU Exit) (No. 3) Instrument 2019 and PRA Standards Instrument: The Technical Standards (Bilateral Margining) Instrument 2022.

Supervisory Statements

• Securitisation – Significant Risk Transfer (SS9/13)
• Securitisation: General requirements and capital framework (SS10/18)

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

• Guidelines on implicit support for securitisation transactions (EBA/GL/2016/08)
• Guidelines on significant risk transfer (SRT) for securitisation transactions (EBA/GL/2014/05)
• Guidelines of the determination of the weighted average maturity of the contractual payment due under the tranche (EBA/GL/2020/04)