Securitisation: General requirements and capital framework

Supervisory Statement 10/18
Published on 15 November 2018

10 December 2018: This SS was corrected to include an amendment related to the institutional investor due diligence requirements in Article 5 of the Securitisation Regulation. This amendment was included in PS29/18 ‘Securitisation: the new EU framework and Significant Risk Transfer’, but was not reflected in the SS published on 15 November 2018.

Overview

This supervisory statement (SS) sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in respect of securitisation in the following chapters:

  • ‘General requirements under the Securitisation Regulation’ (Chapter 2) – general expectations of firms and processes under Chapter 2 of the Securitisation Regulation.
  • ‘STS ABCP Sponsors’ (Chapter 3) - general expectations of firms seeking to become sponsors of Simple, Transparent and Standardised (STS) Asset Backed Commercial Paper (ABCP) programmes.
  • ‘CRR securitisation capital framework’ (Chapter 4) - PRA expectations and approach as regards the securitisation capital framework for firms to which Directive 2013/36/EU (CRD) applies. 

This statement is relevant to PRA-authorised CRD IV firms and PRA-authorised Solvency II firms to which the Securitisation Regulation applies unless stated otherwise. This includes PRA-authorised UK banks, building societies, PRA-designated UK investment firms, UK insurance firms, UK reinsurance firms and UK insurance special purpose vehicles (ISPVs).

This SS is effective from Tuesday 1 January 2019.

Current version

Published: 15 November 2018

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