Securitisation – Significant Risk Transfer

Supervisory Statement 9/13

Update 15 November 2018

Following publication of PS29/18 ‘Securitisation: The new EU framework and Significant Risk Transfer’. this SS was updated and renamed ‘Securitisation: Significant Risk Transfer’.

Current version

Published: 15 November 2018

Effective from: 1 January 2019

Past versions

Published: 15 November 2018

Effective from: 15 November 2018 (superseded on 1 January 2019 by November 2018 version)

Published: 20 July 2017

  • For information only - text published with past versions

    Update 15 November 2018

    Following publication of PS29/18 ‘Securitisation: The new EU framework and Significant Risk Transfer’. this SS was updated and renamed ‘Securitisation: Significant Risk Transfer’. The PRA published two versions of this SS available below:

    • ‘current version’ which takes effect from Thursday 15 November 2018
    • ‘future version’ which takes effect from Tuesday 1 January 2019.

    Update 20 July 2017

    SS9/13 was updated following Policy Statement 19/17 ‘Responses to CP2/17 ‘Occasional Consultation Paper’. This version of SS9/13 updates the version issued on 9 December 2013.

    Overview

    This supervisory statement (SS) is aimed at firms to which CRD IV applies. It sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in respect of securitisation in the following chapters:

    2. ‘High-level Significant Risk Transfer considerations’  — general expectations of firms seeking to obtain significant risk transfer  (SRT) through securitisation;

    3. ‘Significant  Risk Transfer notifications  and permissions’ — process for notifying the PRA of SRT transactions and for obtaining permission to undertake  own assessments of SRT;

    4. ‘Regulatory capital calculation methodology and SRT’ — methodologies  firms use to calculate post-securitisation risk weights in SRT transactions;

    5. ‘Implicit Support and SRT’ — the PRA’s approach  to implicit support;

    6. ‘High cost credit protection and other SRT considerations’ — factors likely to affect the assessment of SRT transactions.

    The SS supplements the rules in the Benchmarking of Internal Approaches and Credit Risk Part of the PRA Rulebook.

    Published on 19 December 2013
     
    Update: SS9/13 supersedes LSS9/13, LSS10/13 and LSS11/13.
     
    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. 
Was this page useful?
Add your details...