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.
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.
- 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.