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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.
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
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)