Securitisation Capital framework

Policies relating to the calculation of risk-weighted assets for securitisation exposures for banks, building societies and investment firms.
This page lists policies on the treatment of securitisations in the credit risk RWA framework. For general policies on securitisations see securitisation general 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.

UK legislation 

  • Securitisation - Capital Requirements Regulation (EU) No 575/2013 (Part Three, Title II, Chapter 5)
  • General framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation Regulation (EU) 2017/2402
  • The Securitisation Regulations 2018 (SI 2018/1288)
  • Types of derivatives - Capital Requirements Regulation (EU) No 575/2013 (Annex II)

UK technical standards

  • Mapping of credit assessments of external credit assessment institutions for securitisation - Commission Implementing Regulation (EU) 2016/1801 as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex S
  • 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
  • Requirements for investor, sponsor, original lender and originator institutions relating to exposures to transferred credit risk - Commission Delegated Regulation (EU) No 625/2014 as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex R
  • 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)
This page was last updated 31 January 2023