PS19/25 – Restatement of CRR requirements – 2027 implementation – near-final

1: Overview

1.1 This Prudential Regulation Authority (PRA) near-final policy statement (PS) provides feedback to responses to consultation paper (CP) 13/24 – Remainder of CRR: Restatement of assimilated law. In that CP, the PRA proposed to restate the remaining relevant provisions in the Capital Requirements Regulation (CRR)^{footnote [1]} within the PRA Rulebook and other policy material such as supervisory statements (SSs) or statements of policy (SoPs) (‘PRA policy material’). Some of the PRA’s proposals in CP13/24 were finalised and feedback to responses were provided in PS12/25 – Restatement of CRR and Solvency II requirements in PRA Rulebook – 2026 implementation. In this PS, the PRA provides feedback to responses to the remaining proposals from CP13/24 that were not finalised in PS12/25 and finalises policy in respect of those proposals.

1.2 This PS is structured as follows:

• Chapter 1 – Overview
• Chapter 2 – Securitisation requirements
• Chapter 3 – Other CRR requirements
• Chapter 4 – ECAI mapping^{footnote [2]}

1.3 The PRA confirms that the near-final policy on level of application of CRR requirements, counterparty credit risk, and settlement risk are as set out in Chapters 2, 4 and 5 of CP13/24, and comprises the following:

• amendments to the Groups Part, near-final Credit Risk: Internal Ratings Based Approach (CRR) Part and Counterparty Credit Risk (CRR) Part of the PRA Rulebook and PRA Rulebook Glossary (Appendix 2);
• the introduction of a new Settlement Risk (CRR) Part of the PRA Rulebook (Appendix 2);
• consequential amendments to various Parts of the PRA Rulebook (Appendix 3);
• amendments to PRA SS15/13 – Groups (Appendix 5);
• amendments to PRA near-final SS4/24 – Credit risk: Internal ratings based approach (Appendix 6); and
• the introduction of a new SoP6/25 – The PRA's approach to Internal Model Method (IMM) permission under the Counterparty Credit Risk (CRR) Part (Appendix 7).

1.4 The PRA’s near-final policy on securitisation requirements, set out in Chapter 2, comprises the following:

• amendments to the Securitisation (CRR) Part and Non-Performing Exposures Securitisation (CRR) Part of the PRA Rulebook (Appendix 2);
• amendments to SS9/13 – Securitisation: Significant Risk Transfer (Appendix 8);
• amendments to SS10/18 – Securitisation: General requirements and capital framework (Appendix 9);
• a new SoP7/25 – The PRA’s approach to waivers and permissions under the Securitisation (CRR) Part of the PRA Rulebook (Appendix 10); and
• a new SoP8/25 – The PRA’s approach to the exercise of powers referred to in Articles 244(3)(b), 245(3)(b), 254(4) and 258(2) of the Securitisation (CRR) Part of the PRA Rulebook (Appendix 11).

1.5 The PRA’s near-final policy on other CRR requirements, set out in Chapter 3, comprises the following:

• amendments to the Required Level of Own Funds (CRR) Part, the near-final Credit Risk: General Provisions (CRR) Part and the near-final Credit Risk: Standardised Approach (CRR) Part of the PRA Rulebook published alongside PS9/24 – Implementation of the Basel 3.1 standards near-final part 2 (Appendix 2);
• amendments to SS10/13 – Standardised approach (Appendix 12); and
• amendments to the near-final SS3/24 – Credit risk definition of default (Appendix 13).

1.6 The PRA’s near-final policy on the mapping of external credit rating agency ratings to credit quality steps (ECAI mapping), set out in Chapter 4, comprises amendments to the Credit Risk: Standardised Approach (CRR) Part^{footnote [3]} and the Securitisation (CRR) Part (relating to ECAI mapping).

1.7 HM Treasury (HMT) is required to make commencement regulations to revoke the relevant provisions of assimilated CRR before the PRA can replace them with PRA rules. Therefore, the PRA has not made final rule instruments and policy materials at this stage. Once the commencement regulations have been made, the PRA intends to make all the final policy materials and rules in a final PS. The PRA does not intend to change the policy or make substantive alterations to the PRA instruments before the making of the final policy material.

1.8 This near-final PS is relevant to PRA-authorised banks, building societies, PRA-designated investment firms and PRA-approved, or PRA-designated, financial or mixed financial holding companies (collectively ‘firms’). It is not relevant to credit unions or third-country branches.

1.9 In addition, Chapter 4 on ECAI mapping is also relevant to UK Solvency II firms, the Society of Lloyds and its managing agents, and insurance and reinsurance undertakings that have a UK branch (third country branch undertakings), hereafter collectively referred to as ‘Solvency II firms’.^{footnote [4]}

1.10 This near-final PS has been published on Tuesday 28 October 2025 alongside two related publications: PS18/25 – Retiring the refined methodology to Pillar 2A – near final and PS20/25 – The Strong and Simple Framework: The simplified capital regime for Small Domestic Deposit Takers (SDDTs) – near final.

1.11 This near-final PS, as well as PS17/23 – Implementation of the Basel 3.1 standards near-final part 1, PS9/24,^{footnote [5]} PS12/25, CP19/25 – CRR Definitions: restatement in PRA Rulebook and the near-final PSs set out in paragraph 1.10 above, provide stakeholders with the information on the overall capital framework for firms from 1 January 2027.

Background

1.12 In CP13/24, the PRA set out its proposals to restate the relevant CRR provisions within PRA policy material without material changes to the policy substance, except for some changes to the securitisation requirements as set out in Chapter 3 of CP13/24. The proposals intended to maintain both the requirements on firms as well as the PRA’s approach to the relevant waivers and permissions as they currently operate.

1.13 Some of the proposals in CP13/24 were finalised in PS12/25 and will be implemented on 1 January 2026. This near-final PS provides feedback to responses to the remaining proposals in that CP (remainder CRR) and amendments to the PRA’s policy regarding ECAI mapping. The proposals relevant to this near-final PS are:

• Level of application of requirements – to restate rules relating to the level of application of CRR requirements with no significant substantive changes.
• Securitisation requirements – to largely preserve current requirements and supervisory expectations relating to the securitisation requirements. However, the PRA also proposed some targeted policy changes, including the following:
• Proposal 1: A formulaic p-factor for the securitisation standardised approach (SEC-SA);
• Proposal 2: A new capital treatment of retail residential mortgage loans under the Mortgage Guarantee Scheme (MGS) and private mortgage insurance schemes with similar contractual features to MGS; and
• Proposal 3: Supervisory expectations relating to the use of unfunded credit protection in synthetic significant risk transfer (SRT) securitisations (some of the changes relating to this proposal was covered in PS12/25).
• Counterparty credit risk, and settlement risk – to restate the relevant CRR requirements with no substantive changes.
• Other CRR requirements – not to restate CRR Article 93 relating to initial capital requirement on going concern, and to restate CRR Articles 109, and 119(5) and (6) with some minor modifications. The PRA also proposed to amend the near-final SS3/24 – Credit risk definition of default consequential to the revocation of CRR Article 47a.
• ECAI mapping – to make amendments to its final policy published in PS12/25 to reflect the implementation of the Basel 3.1 standards and the expected revocation of a related technical standard.

1.14 In CP13/24, the PRA proposed to amend certain CRR requirements^{footnote [6]} consequential to the proposals for a simplified capital regime for SDDTs in CP7/24. The PRA’s near-final policies relating to these amendments are set out in PS20/25 and are therefore not discussed in this near-final PS. For SDDTs, this PS is complementary to PS20/25.

Summary of responses

1.15 The PRA received 16 responses to CP13/24. The names of respondents to the CP who consented to their names being published are set out at Appendix 1. As well as those who consented, the PRA also received two responses from respondents who did not consent to their names being published.

1.16 Respondents were generally supportive of the overall approach the PRA set out in CP13/24; however, they raised questions and concerns about some of the proposals on securitisation and other CRR requirements. These are addressed in detail in the relevant chapters of this near-final PS.

Changes to draft policy

1.17 In determining its policy, the PRA considers representations received in response to consultation, publishing an account of them and the PRA’s response (‘feedback’).^{footnote [7]} Details of any significant changes are also published. The respective chapters in this near-final PS contain a general account of the representations made in response to the relevant proposals in CP13/24 and the PRA’s feedback to those responses. The PRA has included explanations within the relevant chapters of this PS, where it has made changes to the draft policy.

1.18 The policy and rules set out in this near-final PS have been developed by the PRA in accordance with its statutory objectives and informed by the regulatory principles and the matters to which it must have regard when making policy and rules as set out in FSMA 2023.^{footnote [8]} Where the final rules differ from the draft in the CP in a way that the PRA considers is significant, FSMA 2000^{footnote [9]} requires the PRA to publish:

• details of the differences together with a cost benefit analysis (CBA); and
• a statement setting out in the PRA’s opinion whether or not the impact of the final rule on mutuals is significantly different to: (i) the impact that the draft rule would have had on mutuals; and (ii) the impact that the final rule will have on other PRA-authorised firms, and if so, details of the difference.

1.19 The publication requirement however does not apply if the PRA considers that (making the appropriate comparison) there will be no increase in costs or there will be an increase in costs, but that increase will be of minimal significance.^{footnote [10]}

1.20 Taking into account the responses to CP13/24, the PRA has made a number of adjustments to the draft policy where it considers this to be appropriate. The most material changes to the policy proposed in CP13/24 relates to the securitisation requirements (see Chapter 2 of this PS):

• Amendments to the draft rules for the use of unfunded credit protection in synthetic securitisations to clarify that a ‘look through’ approach can be used to assign a credit quality step (CQS) to certain entities without a credit rating. This is aligned with the standardised approach to credit risk (SA) approach for determining CQS;
• Further amendments the draft rules for the use of unfunded credit protection in synthetic securitisations to exclude some low-risk entities from the scope of the CQS requirements; and
• The introduction of new risk weights to the simple, transparent and standardised (STS) securitisations criteria in the near-final Securitisations (CRR) Part, which firms may choose to apply to underlying exposures for the purpose of determining K_SA. These new risk weights will avoid a scenario where relatively low-risk securitisations positions are assigned a risk weight of 1250%.

1.21 The PRA also received feedback in response to its proposals on the capital treatment of retail residential mortgage loans under the MGS and private mortgage insurance schemes with similar contractual features to MGS. These could not be addressed by modifying the CRR, but the PRA may give further consideration to these concerns in due course. The PRA will in addition consult on introducing an alternative approach enabling firms to adjust their IRB models to better reflect the subordinated credit protection on these exposures.

1.22 The PRA did not receive any responses to its proposals in Chapter 2 – Level of application of requirements, Chapter 4 – Counterparty credit risk, and Chapter 5 – Settlement risk of CP13/24. The PRA confirms that its near-final policies in respect of these proposals are as proposed in CP13/24.

1.23 The PRA has also made a number of less material amendments and clarifications to the draft policy materials and rules. These amendments are reflected in the near-final PRA rules and policy materials in the appendices of this PS.

1.24 In CP13/24, the PRA set out an analysis of its objectives, cost benefit and ‘have regards’ analysis for the respective proposals. Unless specified otherwise, the PRA considers that the changes set out in this near-final PS do not alter the PRA objectives, cost benefit and ‘have regards’ analysis, and the opinion on the impact of its proposals on mutual societies .

1.25 When making CRR Rules and certain rules applying to holding companies, the PRA must consider and consult HMT about the likely effect of the near-final rules on relevant equivalence decisions. The PRA has done so and received no further comments.

1.26 The PRA also considers that the impact of the near-final policy and rules in this PS would not have a significantly different impact on mutuals – including both the difference for mutuals compared to draft rules, and the difference for mutuals of the near-final rules compared to the impact on other PRA-authorised firms.

1.27 The PRA has included in this near-final PS a statement identifying CRR restatement provisions (set out in Appendix 4). A summary of the purpose of the proposed rules is included in the relevant chapters of this near-final PS.

Implementation and next steps

1.28 The PRA intends to publish the final polices and rule instruments of requirements set out in this near-final PS in Q1 2026, alongside, or shortly after, it publishes the final PS covering the entire Basel 3.1 package.

1.29 In CP13/24, the PRA consulted on an implementation date for the remainder CRR of 1 January 2026 alongside the PRA rules implementing the Basel 3.1 standards. On 17 January 2025, the PRA, in consultation with HMT, announced a delay to the implementation of Basel 3.1 in the UK by one year until 1 January 2027. Consequently, except for certain proposals that were finalised in PS12/25 that will take effect from 1 January 2026, the policies and requirements included in this near-final PS are intended to take effect from 1 January 2027.

1.30 When CP13/24 was published, the PRA had planned to implement most of the remainder CRR policies before the capital regime for SDDTs. CP13/24 included proposals that would allow SDDT-eligible firms subject to the PRA’s Interim Capital Regime (ICR firms) (and SDDT-eligible CRR consolidation entities that had become ICR consolidation entities) to avoid applying the remainder CRR policies before the implementation of the SDDT capital regime. Given the implementation dates for the SDDT capital regime and the requirements included in this near-final PS are now the same, those proposals are no longer needed. Consequently, the proposed amendments to the SDDT Regime – Interim Capital Regime Part of the PRA Rulebook as set out in Appendix 1 of CP13/24^{footnote [11]} are not included in the near-final rule instrument appended to this near-final PS.

1.31 In order to ensure continuity, the PRA expects HMT to introduce legislation to ‘save’ all permissions granted under the relevant parts of the CRR so that firms’ existing permissions under the CRR will continue to be valid following the revocation of the CRR provisions. Consequently, the PRA has no plans to require firms to reapply for those permissions.

1.32 Further consequential amendments to the near-final PRA rules set out in Appendix 2 may be necessary to take into account any other secondary legislation made by HMT under FSMA 2023, for example in relation to the overseas recognition regimes, the relevant key UK CRR definitions, and any other restatement of CRR provisions outside the scope of this PS.

1.33 Unless otherwise stated, any remaining references to EU or EU-derived legislation are to the version of that legislation which forms part of assimilated EU law in the UK.

2: Securitisation requirements

Introduction

2.1 This chapter provides feedback to responses to Chapter 3 of CP13/24 – Remainder of CRR: Restatement of assimilated law, which set out proposals to restate firm-facing requirements in Chapter 5 (the ‘Securitisation Chapter’), Title II, Part Three of the CRR in the PRA Rulebook and for related policy materials. This chapter also sets out the PRA’s near-final policy on securitisation following the consultation.

2.2 In CP13/24, the PRA set out 16 policy proposals for securitisations. In particular, they included the following substantive policy changes:

• a formulaic p-factor for the securitisation standardised approach (SEC-SA) (proposal 1);
• a new capital treatment of retail residential mortgage loans under the Mortgage Guarantee Scheme (MGS) and private mortgage insurance schemes with similar contractual features to MGS (proposal 2); and
• supervisory expectations relating to the use of unfunded credit protection in synthetic significant risk transfer (SRT) securitisations (proposal 3).

2.3 The PRA also proposed the following minor policy changes, clarifications and drafting changes:

• other changes to supervisory expectations relating to securitisations (proposal 4);
• changes to the criteria for STS securitisations qualifying for differentiated capital treatment (proposal 5);
• an amendment to the exposure value for certain undrawn portions of cash advance facilities (proposal 6);
• changes and clarifications relating to the recognition of credit risk mitigation for securitisation positions (proposal 7);
• simplifications for SDDTs (proposal 8);
• clarification of the circumstances for the application of the external ratings-based approach (SEC-ERBA) instead of the SEC-SA to all rated securitisation positions or positions in respect of which an inferred rating may be used (proposal 9);
• a new SoP7/25 in relation to permissions in the Securitisation (CRR) Part (proposal 10);
• a new SoP8/25 in relation to the use of powers referred to in the Securitisation (CRR) Part (proposal 11);
• minor modification and clarifications to the securitisation internal ratings-based approach (SEC-IRBA) and/or SEC-SA (proposal 12);
• change to the SEC-SA in relation to exposures in default (proposal 13);
• change to the calculation of maximum capital requirements for securitisation positions (proposal 14);
• notification of breaches of certain securitisation requirements (proposal 15); and
• other minor changes (proposal 16).

2.4 The PRA received 14 responses to the securitisation proposals. The responses were largely supportive of the substantive policy changes proposed in CP13/24.

2.5 However, respondents also requested a number of changes and clarifications relevant to the policy changes. These included requests for:

• further reductions in capital requirements;
• reductions in the securitisation risk weight floor of 15%;
• an STS regime for synthetic securitisations;
• early implementation of unfunded SRT expectations; and
• disapplication of the CQS requirements for some unfunded protection providers.

2.6 Having considered the responses, the PRA has decided to make some amendments to the draft rules and SSs. This chapter describes the comments and amendments that the PRA considers most material.

2.7 As described in Chapter 1 – Overview, the PRA has also made a number of less material amendments and clarifications to the draft rules, which are not described in this chapter. These amendments are reflected in the near-final PRA Rulebook: CRR Firms: (CRR) Instrument 2025 in Appendix 2.

2.8 The responses also included comments that did not specifically relate to the policy changes proposed in CP13/24. These responses included views on the treatment of tranched credit protection on a single residential mortgage. These responses may inform the PRA’s policymaking in the future.

2.9 The sections below have been structured similarly to Chapter 3 of CP13/24, covering the main areas where the PRA received comments from respondents.

2.10 When making CRR rules, the PRA must also publish a summary of the purpose of the proposed rules. The purpose of the amendments to the respective PRA Rulebook Parts set out in paragraph 1.4 is to restate the relevant provisions in the assimilated CRR in the PRA Rulebook with some minor modifications as explained in CP13/24 and the sections below.

Proposal 1: A formulaic p-factor for the securitisation standardised approach

2.11 The PRA proposed to modify the SEC-SA so that, for each securitisation, firms may choose to either use the existing fixed p-factor (which is p=1 for securitisations that are not STS securitisations and p=0.5 for STS securitisations) or the proposed formulaic p-factor as set out in CP13/24. The new SEC-SA option would be available for both capital calculations under the SEC-SA and for output floor calculations.

2.12 The PRA received 10 responses to this proposal. Respondents generally welcomed this risk-sensitive option and associated reduction in capital requirements, with some respondents suggesting further reductions in capital requirements.

2.13 Two respondents suggested reducing the minimum value of the p-factor to 0.3, in-line with the floor in the calculation of securitisation capital requirements under SEC-IRBA. The PRA considers that the relatively higher risk sensitivity of the SEC-IRBA warrants a lower floor than under SEC-SA. A further reduction in capital requirements would also constitute a larger deviation from international standards and the PRA considers that such a reduction would represent a substantive change in the incentive for synthetic SRT securitisations, the effect of which on the PRA’s primary objective of safety and soundness is difficult to predict.

2.14 Four respondents asked the PRA to consider reductions in the securitisation risk weight floor of 15% in order to increase the risk-sensitivity of firms’ capital requirements. The PRA acknowledges that lowering the current fixed risk weight floor could further support risk-sensitivity. However, the PRA maintains that an increase in risk-sensitivity would best be considered at an international level.

2.15 Six respondents asked the PRA to introduce an STS regime for synthetic securitisations, which currently exists in the EU. The PRA maintains its existing position against introducing STS for synthetic securitisations, as it remains concerned that such a regime would have a negative effect on safety and soundness by increasing capital reductions without reasonable justification.

2.16 Other responses included a range of technical issues:

• Further formulaic changes: one respondent suggested a change to ‘E’, the coefficient in the p-factor formula that determines the effect of maturity, due to the effect that this parameter has on the value of the p-factor for retail securitisations. While the PRA recognises that such a change would mitigate the adverse impact on retail securitisations, the PRA continues to consider the issue should be discussed at an international level. The PRA has therefore decided to maintain its proposal.
• Further reductions in non-neutrality: one respondent suggested changing the existing 1250% risk weight for a securitisation position with a detachment point up to K (capital requirements on underlying exposures). While the PRA acknowledges the merit of this suggestion, the PRA continues to consider that this issue should be discussed at an international level. The PRA has therefore decided to maintain its proposal.
• Optionality: one respondent requested that the PRA clarify in Article 261 that the p-factor optionality applies on a per transaction basis. Having considered the feedback, the PRA has amended its draft rules to clarify this point.
• Loss Given Default (LGD) for auto loans: one respondent requested that the PRA set out a specified LGD for auto loans under the SEC-IRBA, as firms currently apply a fallback LGD of 100% to these exposures. The PRA notes the general principle within the credit risk Standardised Approach (SA) of not recognising a benefit from non-real estate collateral. The PRA also notes that provided the securitisation is sufficiently granular, the option exists to choose to apply an LGD of 50%, as set out in Article 259(6) of the near-final Securitisation (CRR) Part of the PRA Rulebook. The PRA has decided to maintain its proposal.

Proposal 2: Capital treatment of retail residential mortgage loans under the MGS and private mortgage insurance schemes with similar contractual features to MGS

2.17 The PRA proposed to allow firms the option of using alternative approaches to calculating the capital requirements for qualifying retail residential mortgage loans under the MGS and certain private mortgage insurance schemes with similar contractual features (‘Loans’). Where the mortgage is risk weighted under the SA, the PRA proposed to allow firms to apply the loan splitting approach, as set out in the near-final rules in PS9/24 – Implementation of the Basel 3.1 standards near-final part 2.

2.18 For Loans risk weighted under the IRB approach to credit risk, the PRA proposed to allow IRB firms to instead treat the protection for each securitisation as if it was a pari passu protection. This would entail treating the protection as a ‘vertical’, risk sharing agreement.

2.19 The PRA received 11 responses to this proposal. Respondents welcomed the proposed SA capital treatment. However, respondents considered that the IRB capital treatment did not adequately recognise the benefit of the protection, particularly in terms of LGD.

2.20 Three respondents suggested that the PRA should permit firms to alter loan-to-value (LTV) inputs in IRB models for Loans where the credit protection is a government guarantee. The respondents argued that such an approach would more adequately capture the economic realities of the protection and ensure consistency with the approach for exposures risk weighted under the SA, while appropriately reflecting the subordination of the MGS credit protection. Finally, one respondent requested that the pari passu approach to risk weighting Loans should function as a back stop to a future alternative IRB treatment.

2.21 Having considered these responses, the PRA recognises that, in economic terms, the existence of subordinated credit protection is likely to lower realised losses in the event of possession. However, the PRA considers that the mechanics of how IRB models could be adjusted to appropriately reflect the economic effect of the credit protection would require further consideration. It also agrees that the pari passu approach should be maintained as a back stop in any event. Therefore, the PRA has decided to maintain its proposal and, in due course, to further consult on introducing an alternative approach enabling firms to adjust their IRB models to better reflect the effect of subordinated credit protection on Loans.

2.22 Other substantive responses focused on a range of technical issues:

• SRT treatment: Two respondents enquired about an SRT treatment for Loans. Although dependent on the specific facts of each individual case, the PRA considers that the tests for SRT will generally not be met by MGS and similar schemes. As set out in the near-final rules, there will be no need to provide an SRT notification or to meet the SRT tests to apply the new capital treatment.
• Securitisation treatment of exposures with tranched credit protection: One respondent argued that disregarding the prudential recognition of a guarantee in itself means that the guarantee cannot give rise to a synthetic securitisation for the purpose of the Securitisation Part of the PRA Rulebook. Similarly, eight respondents requested that the PRA excludes single mortgages with tranched credit protection from the definition of securitisations for the purpose of the Securitisation Part. The PRA considers it to be clear that the question of whether the Securitisation Part applies to a given transaction is not dependent on the prudential treatment of that transaction. In addition, the PRA considers that under the Securitisation Part, MGS and similar transactions are likely to be securitisations, and that the concerns expressed by the respondents could not be addressed through modifications to the CRR. The PRA has not amended its draft rules in response to this point; however, the PRA notes the concerns raised by the respondents and will give further consideration whether they can be addressed in a manner that is consistent with the PRA’s objectives.
• Prudential treatment of other government guarantees: One respondent enquired whether the PRA would consider a pari passu treatment for UK government guarantees on corporate loans. The respondent did not specify which other government guarantees they considered the approach should be applied to. The PRA has decided to maintain its proposal but could consider extending the treatment to other government guarantees in the future if it receives evidence that this would be prudentially justified.
• Maturity dates: One respondent asked whether, in limb c of the qualifying securitisation definition, the provision prohibits the recognition of multiple instruments with different maturity dates or requires that instruments have the same maturity date as the underlying exposure. The PRA considers that the only maturity dates referred to in limb c of the definition are those of the credit protection.
• Waivers: One respondent asked whether the PRA could use its powers of waiver to indicate that the following transactions would not be classified as resecuritisations: (i) funding transactions including exposures with tranched protection, and (ii) tranched protection on a pool of securitisation positions. In accordance with Article 8 of the Securitisation Part, the PRA may use its powers to allow the underlying exposures of a securitisation to include securitisation exposures, though such a securitisation would still meet the definition of a resecuritisation. The PRA notes the issue raised and may give further consideration to the treatment of certain securitisations that contain underlying securitisation exposures.

2.23 Having considered the consultation responses, the PRA has decided to maintain the policy as proposed in CP13/24, with minor drafting changes.

Proposal 3: Supervisory expectations for unfunded credit protection in synthetic SRT securitisations

2.24 The PRA proposed to clarify its supervisory approach to the use of unfunded credit protection in SRT securitisations by adding supervisory expectations to SS9/13 – Securitisation – Significant Risk Transfer. Chapter 4 in PS12/25 – Restatement of CRR and Solvency II requirements in PRA Rulebook – 2026 implementation sets out responses and amendments to supervisory expectations relating to the use of unfunded credit protection in synthetic SRT securitisations. The remaining elements of Proposal 3 are covered in this section. The PRA takes the view that, in principle, it should be possible for originator institutions to use unfunded credit protection for achieving SRT where relevant requirements and supervisory expectations are met.

2.25 The PRA received seven responses to this proposal. Respondents generally welcomed the additional clarification.

2.26 Two respondents asked for disapplication of the CQS requirements in Article 249 for some protection providers. One respondent asked for the CQS requirements to be limited to corporate counterparties. Another respondent asked additionally for regulated insurers to be removed from the scope, as in the EU.

2.27 The PRA notes that, where the securitisation framework takes account of guarantees, its application can result in large reductions in capital requirements relative to those that can be obtained from the credit risk mitigation (CRM) framework, which, for guarantees from unrated or poorly rated counterparties, may result in undercapitalisation of such exposures relative to the risk level. The PRA considers that removing all CQS requirements would consequently not be consistent with its primary safety and soundness objective. However, it would be appropriate and consistent with its objectives to remove the CQS requirements for certain low risk counterparties.

2.28 The PRA has therefore decided to amend the draft rules to clarify that a ‘look through’ approach can be used to assign a CQS to certain entities without a credit rating, aligning with the approach for determining the CQS in the SA for credit risk. For example, a regional government without a credit rating can be treated as having the same CQS as the central government. The PRA has also amended the draft rules to further exclude some low-risk entities from the scope of the CQS requirements, including some central banks, central governments, regional governments, international organisations and multilateral development banks. The PRA has also clarified that CQS requirements and exemptions from them apply to providers of counter-guarantees and guarantees of counter-guarantees that are eligible for CRM purposes in accordance with Article 214 of the Credit Risk Mitigation (CRR) Part.

2.29 Finally, one respondent welcomed the change in wording from ‘decision’ to ‘feedback’ for SRT transactions, while another respondent expressed the view that the PRA’s feedback needs to be sufficiently certain and binary. For clarity, the change in terminology reflects the change in the power that the PRA would use to prevent a firm from taking capital relief. The PRA does not consider that this should lead to uncertainty for firms. A firm would be able to take capital relief unless and until the PRA imposed a requirement on the originator institution to preclude this under section 55M of FSMA or a direction under section 192C of FSMA.

Proposal 4: Other changes to supervisory expectations relating to securitisations

2.30 The PRA proposed to make other changes to strengthen its supervisory expectations regarding senior management’s role in overseeing SRT transactions and to SRT notifications. Summary of responses, feedback and final policy for these proposals were published in PS12/25.

Proposal 5: Changes to the criteria for STS securitisations to qualify for differentiated capital treatment

2.31 The PRA proposed various minor changes to STS risk weight thresholds to align with the latest Basel standards and the PRA’s near-final implementation of the Basel 3.1 standards in relation to the SA.

2.32 One respondent commented that some of the risk weight thresholds for underlying exposures in an STS securitisation position are unachievable under the PRA’s near-final implementation of the Basel 3.1 standards relating to the SA as outlined in PS9/24. These thresholds must not be exceeded by individual exposures if the position is to be eligible for the STS risk weight treatment. In particular, ‘land acquisition, development and construction’ (ADC) exposures have a threshold of 50%, but cannot achieve an SA risk weight below 100%, and commercial real estate (CRE) exposures have a threshold of 50%, but cannot achieve an SA risk weight below 60%. Having considered this response, the PRA has decided to amend the draft rules to increase the ADC and CRE STS risk weight thresholds to 100% and 60% respectively to preserve the eligibility of these exposure types for STS prudential treatment.

2.33 Two respondents expressed concern that investors in some securitisations would not have sufficient information to apply the new and more risk sensitive Basel 3.1 SA risk weights to some underlying project finance and unrated corporate exposures.

2.34 Having considered this response, the PRA has decided to introduce new alternative risk weights which firms may choose to apply to underlying exposures for the purpose of determining K_SA. The alternative risk weights are: (a) 100% for underlying exposures that are not defaulted exposures or real estate exposures and are either unrated corporate exposures (where the conditions set out in Article 255(10)(a)(ii) of the near-final Securitisation (CRR) Part are met), unrated SMEs where the exposures are not project finance exposures, retail exposures or residential real estate exposures that are not materially dependent on cashflows generated by the property, (b) 150% to underlying exposures that are not securitisation positions, subordinated debt instruments, own funds instruments, equity instruments, and are not in the form of units of shares in a CIU, and (c) 1250% regardless of the nature of the underlying exposure. These risk weights have been calibrated to enable K_SA to be calculated in a prudent manner while giving firms flexibility to choose an appropriate risk weight for each underlying exposure in light of the data available to them. The PRA has decided that firms wishing to apply the 100% alternative risk weight to underlying unrated corporate exposures will need to do so for all such underlying securitised exposures in order to prevent ‘cherry-picking’ of underlying risk weights.

2.35 The PRA considers that the introduction of these new risk weights will avoid a scenario where relatively low-risk securitisation positions are assigned a risk weight of 1250%. This change constitutes a more proportionate and risk sensitive approach to risk weighting securitisation positions where limited data is available, while being consistent with the safety and soundness of firms.

Proposal 6: Change to the exposure value for certain undrawn portions of cash advance facilities

2.36 The PRA proposed to make two changes to the exposure values for certain undrawn portions of cash advance facilities:

• to increase the credit conversion factor (CCF) from 0% to 10% for undrawn portions of cash advance facilities that are unconditionally cancellable for the purpose of calculating the exposure value of a securitisation; and
• to delete the requirement on institutions to demonstrate that they are applying an appropriately conservative method for measuring the amount of the undrawn portion.

2.37 The PRA received one response to this proposal. The respondent expressed concern that the proposal fails to consider the extremely low probability of such facilities bearing losses. The proposal, as presented in CP13/24, achieves consistency with the near-final Credit Risk treatment of such facilities, as presented in PS9/24, and aligns with Basel standards. As a result, after having considered the response, the PRA has decided to maintain the policy as proposed in CP13/24.

Proposal 7: Changes and clarifications relating to the recognition of credit risk mitigation (CRM) for securitisation positions

2.38 The PRA proposed to clarify the methods that can be used for recognising credit protection in securitisation positions. For this purpose, the PRA proposed to use securitisation-specific variants of the decision trees in Appendix 1 of the near-final Credit Risk Mitigation (CRR) Part of the PRA Rulebook to demonstrate which methods for the recognition of credit protection may be used in what circumstances.

2.39 The PRA received three responses to this proposal. All respondents welcomed the additional clarity on CRM techniques in securitisation.

2.40 One respondent requested clarification surrounding the application of Article 251 for securitisations arising due to the existence of unfunded credit protection. The PRA clarifies that Article 251 will apply whenever both (i) at least one of the conditions in Article 245(1) is met, and (ii) the institution chooses to apply Article 251 to the securitisation in accordance with Article 247(2).

Proposal 8: Simplifications for Small Domestic Deposit Takers (SDDTs)

2.41 The PRA stated that the proposed rules replacing Articles 244, 245 and 253 of the CRR would make amendments to remove the optionality for SDDTs between fully deducting certain securitisation positions from Common Equity Tier 1 (CET1) capital and risk weighting them at 1250%. Instead, the PRA proposed that securitisation positions (together with certain other items) for SDDTs would be assessed against a threshold of 25% of the firm’s net CET1 capital. An SDDT would need to deduct the aggregate amount of these items that exceeds the 25% threshold from CET1. Below this threshold, an SDDT would need to risk weight the relevant securitisation positions at 1250%.

2.42 Responses, feedback and near-final policy for this proposal are published in Chapter 6 of PS20/25 – The Strong and Simple Framework: The simplified capital regime for Small Domestic Deposit Takers (SDDTs) – near final.

Proposal 9: Clarification of the circumstances for the application of the SEC-ERBA instead of the SEC-SA to all rated securitisation positions or positions in respect of which an inferred rating may be used

2.43 The PRA proposed to clarify the circumstances in which a firm can opt to apply the SEC-ERBA instead of the SEC-SA. In particular, the PRA stated that firms have optionality, which they may apply on an annual basis and requires that firms give at least one month’s notice to the PRA where their choice of option has changed. In the absence of an objection from the PRA, this decision will remain valid until a subsequently notified decision comes into effect, and the firm must act accordingly.

2.44 The PRA received one response to this proposal. The respondent expressed their preference to be able to nominate ECAIs for securitisation exposures independently of their nomination of ECAIs for other exposures (under the PRA’s near-final implementation of the Basel 3.1 standards, firms must use the credit assessments produced by the nominated ECAI (or ECAIs) for risk-weighting all types of exposures for which the nominated ECAI (or ECAIs) produce credit assessments).

2.45 Having considered the response, the PRA has decided to amend its draft securitisation rules and near-final Basel 3.1 rules to clarify that the nominations of ECAIs for securitisations are separate from the nominations of ECAIs for the purpose of the Credit Risk: Standardised Approach (CRR) Part.

Proposal 10: SoP on waivers and permissions under the Securitisation (CRR) Part

2.46 The PRA proposed to restate the following permissions processes in the Securitisation Chapter of the CRR in a draft SoP – The PRA’s approach to waivers and permissions under the Securitisation (CRR) Part of the PRA Rulebook (Appendix 10):

• the PRA’s approach to allowing an originator institution to recognise significant credit risk transfer in relation to a securitisation where certain conditions are met;
• the PRA’s approach in relation to the option for originator institutions to seek permission from the PRA;
• the PRA’s expectation to receive additional items as part of an individual transaction permission;
• the PRA’s approach to granting permission to use the Internal Assessment Approach (IAA); and
• the PRA’s approach to allowing a firm that has received the permission to revert to the use of other methods for positions that fall within scope of application of the IAA.

2.47 The PRA received no responses to these proposals and have therefore made no changes to them.

Proposal 11: SoP in relation to other powers referred to in the Securitisation (CRR) Part

2.48 The PRA proposed to restate its discretions as currently described in the CRR, SS9/13, SS10/18, and in a draft SoP – The PRA’s approach to the exercise of powers referred to in Articles 244(3)(b), 245(3)(b), 254(4) and 258(2) of the Securitisation (CRR) Part of the PRA Rulebook (Appendix 11). It details the circumstances and powers under which the PRA would:

• deem significant risk not to be transferred;
• prohibit the use of SEC-SA for a securitisation; and
• prohibit the use of SEC-IRBA.

2.49 The PRA received two responses to this proposal. Both respondents expressed their preference for SRT assessments to be on a lifetime rather than point-in-time basis. One respondent expressed concern that a point-in-time assessment could detrimentally affect systemic stability by creating pro-cyclicality. The PRA notes the concerns expressed and may consider it in a future consultation. The PRA has not made any changes to its draft SoP.

Proposal 12: Minor modifications and clarifications to the SEC-IRBA and SEC-SA

2.50 The PRA proposed clarifications and modifications in the securitisation capital formulae.

2.51 The PRA received no responses to this proposal and has therefore made no changes to its draft rules as set out in CP13/24.

Proposal 13: Change to the SEC-SA in relation to exposures in default

2.52 The PRA proposed that, for the purpose of the calculating K_A, exposures in default should be counted only in the ‘W’ parameter in the SEC-SA, and not also in K_SA, to prevent double counting of these exposures.

2.53 The PRA received four responses to this proposal. Respondents welcomed this proposal. One respondent expressed preference for this proposal to be made optional at the transaction level to avoid undue operational burden. The PRA will provide this option, as it considers that it would have no negative prudential impact.

Proposal 14: Change to the calculation of maximum capital requirements for securitisation positions

2.54 The PRA proposed to modify the calculation of maximum capital requirements to increase flexibility in cases where firms retain varying proportions of the different tranches of a securitisation. This new cap could result in lower capital requirements, potentially benefitting firms retaining a substantial portion of a junior tranche.

2.55 The PRA received five responses to this proposal. Three respondents asked for a further change in the proposed cap so that the marginal effect on total RWAs would always equal the risk weight of the securitisation position, providing a more consistent capital outcome for different risk retention approaches.

2.56 The PRA has carefully considered the responses relating to the cap calculation. The PRA considers that the further change proposed by respondents improves the proportionality of the cap, while potentially aiding the alignment of capital outcomes for different forms of vertical risk retention. The PRA considers that the further change would not result in a weakening of prudential standards and has therefore adopted the change proposed by respondents in the near-final rules.

Proposal 15: Notification of breaches of certain securitisation requirements

2.57 The PRA proposed to require institutions to notify the PRA of any breaches of specified securitisation requirements.

2.58 The PRA received three responses to this proposal. Two respondents expressed their preference for this requirement to be qualified for additional clarity. The PRA has considered these responses and has decided to amend its draft rules by clarifying that institutions shall notify the PRA if the PRA would reasonably expect to be notified.

2.59 One respondent requested clarification regarding regulatory action against entities included in the prudential consolidation but established in third countries. The PRA would consider the circumstances and decide whether it would be appropriate to exercise its powers, taking relevant circumstances into account.

Proposal 16: Other minor changes

2.60 The PRA proposed several other minor changes, including consequential amendments to the Non-Performing Exposures Securitisation (CRR) Part of the PRA Rulebook.

2.61 Two respondents requested clarity regarding the risk-weighting of vertical notes. The PRA has considered these responses. The question of the appropriate method for risk-weighting a vertical note will depend on the specific circumstances. However, the PRA recognises there may be instances where a vertical note is unlikely to be a securitisation position (for example, because it references underlying exposures that are excluded from the securitisation pool of exposures) and may be risk-weighted as a proportionate look through to the underlying exposures. This does not apply in a situation where the firm instead achieves a vertical exposure by holding a percentage of each tranche, which should be treated as a collection of securitisation positions. The PRA considers that the change to Proposal 14 may alleviate the differences in capital outcomes for these scenarios.

2.62 The preceding paragraph should not be taken as expressing the PRA’s view on the suitability of the described instruments for compliance with Article 6 of the Securitisation Part of the PRA Rulebook.

General comments

2.63 The PRA received a number of other general comments that did not relate to a specific policy proposal.

2.64 One respondent expressed the view that the PRA’s policy considerations are too dependent on international standards and that the degree to which the PRA chooses to follow those standards is arbitrary. Two respondents noted that securitisation reform should proceed domestically as it is not on the BCBS agenda. The PRA’s approach to policy, including the role played by international standards, the circumstances when the PRA may make adjustments, and the overall degree of international alignment that the PRA targets, is set out in PS3/25 – The Prudential Regulation Authority’s approach to policy. The PRA notes the concerns expressed about the likelihood of the BCBS reconsidering the rules relating to securitisations. The PRA considers that the experiences and diverging policy developments in different jurisdictions provide a strong case that the rules should be discussed at international level.

2.65 One respondent expressed the view that it was unclear what evidence the PRA had relied on as justification for its policy proposals. The PRA has used regulatory returns, SRT notifications, and data provided by firms in response to DP3/23 to assess both the likely impact of different possible changes on firms, and the relative capital requirements that would apply to different transactions. This PRA also puts weight on consistency with the Basel standards framework, both conceptually and in terms of the capital outcomes, in accordance with PS3/25.

2.66 One respondent requested for the formalisation of the SRT notification process, to include a fast-track approach in order to reduce regulatory uncertainty. The PRA notes this concern and may consider this as part of future policy development.

2.67 One respondent requested an STS regime for synthetic securitisations, expressing the view that SRT transactions should have little or no non-neutrality. The reasons for excess non-neutrality are described in CP13/24. The PRA remains of the view that extending the current treatment for STS securitisations to synthetic securitisations would not, on the whole, advance its objectives.

PRA objectives, cost benefit and ‘have regards’ analysis

2.68 In relation to Proposal 3, the PRA acknowledges the importance of clear rules and expectations to help firms manage unfunded CRM in synthetic securitisations in a way that is proportionately prudent, thereby advancing safety and soundness. The PRA also notes the benefit of this clarity to both the competition and competitiveness and growth secondary objectives.

2.69 In relation to Proposal 5, the PRA considers that the additional changes to STS risk weights, constituting a change in thresholds for ADC and CRE asset classes and new risk weight buckets for some underlying exposures, promotes the PRA’s primary objective of safety and soundness. Both changes will advance the safety and soundness of firms in a proportionate way while advancing risk sensitivity.

2.70 The regulatory principles that the PRA considers are most material for the amendments to the draft rules on CQS requirements to lower costs and allow greater access to unfunded protection are increasing proportionality, advancing the position of firms to compete internationally and increase lending to the real economy without undermining safety and soundness.

2.71 The other near-final policies remain materially in line with the proposals in CP13/24 and, therefore, the PRA considers its analysis of its objectives, cost benefit and 'have regards' in CP13/24 remains appropriate in other respects.

3: Other CRR requirements

3.1 This chapter provides feedback to responses to Chapter 6 of CP13/24, which set out the PRA’s proposals not to restate CRR Article 93 ‘Initial capital requirement on going concern’, and its proposal to restate certain capital requirements for credit risk^{footnote [12]} into the PRA Rulebook. It also proposed to amend the near-final SS3/24 – Credit risk definition of default consequential to the revocation of CRR Article 47a.

3.2 The PRA received one response to the Chapter 6 of CP13/24. This respondent made several observations on the application of the restated CRR Articles 119(5) and (6) and the prudential treatment of IFRS 9 provisions. There were no responses to the other proposals in Chapter 6 of CP13/24.

3.3 Having considered the responses to the consultation, the PRA has decided that the near-final policy on these requirements will be as proposed in CP13/24.

3.4 When making CRR rules, the PRA must also publish a summary of the purpose of the proposed rules. The purpose of the amendments to the respective PRA Rulebook Parts set out in paragraph 1.5 is to restate the relevant provisions in the assimilated CRR in the PRA Rulebook with some minor modifications as explained in CP13/24.

Restatement of CRR Articles 119(5) and (6)

3.5 One respondent commented on the PRA’s proposal to restate CRR Articles 119(5) and (6) in a simplified form by providing that exposures to financial institutions that are subject to the requirements laid down in Part 9C rules (as defined in s143F of FSMA) would be treated as exposures to institutions. This respondent welcomed the PRA’s proposals in relation to investment firms but suggested that the PRA should consider extending this treatment to other UK prudentially regulated financial institutions. The respondent also highlighted that the PRA’s proposal would result in an asymmetric treatment of domestic and third-country exchanges, and requested that these should be treated equally.

3.6 Having considered this response, the PRA has decided to maintain its proposal. The PRA notes that the respondent did not identify which other exposures to UK prudentially regulated financial institutions should be subject to the same treatment as exposures to institutions or provide evidence to justify this. The PRA could consult on extending this treatment in the future if it receives persuasive evidence as to which other financial institutions it would be appropriate to include and why.

3.7 In relation to exchanges, the PRA notes that the respondent did not provide evidence that would support an alternative treatment of exposures to domestic exchanges. The PRA notes that HMT is currently consulting on proposals to replace the existing equivalence treatment of third country exposures with a new Overseas Prudential Requirements Regime. As part of these proposals, HMT is proposing that UK banks would be able to treat exposures to overseas exchanges as exposures to institutions, where this is permitted by the banking regulator in the designated jurisdiction. HMT considers that this would equalise the treatment of UK and overseas exchanges, which are not subject to the same level of prudential regulation as banks.

IFRS 9 provisions

3.8 The respondent also suggested that the PRA should change the criteria by which loan loss provisions under IFRS 9 are classified as either ‘general provisions’ or ‘specific provisions’ for regulatory purposes. The criteria for ‘general provisions’ (or General Credit risk Adjustments) and ‘specific provisions’ (or Specific Credit Risk Adjustments) are set out in assimilated Commission Delegated Regulation (EU) No 183/2014 and are not in the scope of CP13/24. The PRA has therefore made no changes to its proposals. 

Correction of error

3.9 The PRA has identified an error relating to the treatment of long settlement transactions (LSTs) in the near-final rules accompanying PS9/24 – Implementation of the Basel 3.1 standards near-final part 2. The credit risk mitigation flowchart in Appendix 1 of the near-final Credit Risk Mitigation (CRR) Part (Appendix F of the near-final PRA Rulebook: CRR Firms: (CRR) Instrument [2024] as published in PS9/24) erroneously implies that, where a firm does not have an IMM permission, credit risk mitigation in LSTs can be recognised using a Credit Risk Mitigation (CRR) Part technique. The PRA had instead intended to state that it considers that, where a firm does not have an IMM permission, it should use the methods set out in Sections 3 to 5 of Chapter 3 of the Counterparty Credit Risk (CRR) Part to recognise credit risk mitigation for LSTs. 

3.10 The PRA therefore intends to clarify the correct treatment by amending the credit risk flowchart in Appendix 1 of the near-final Credit Risk Mitigation (CRR) Part and making a related correction to Article 191A(4) of the Credit Risk Mitigation (CRR) Part when it finalises the Basel 3.1 rules. The PRA has reflected these corrections in the near-final rule instrument set out in Appendix 2.

4: ECAI Mapping

4.1 In Chapter 3 of PS12/25 – Restatement of CRR and Solvency II requirements in PRA Rulebook – 2026 implementation, the PRA provided feedback to responses to Chapter 7 of CP13/24 concerning the mapping of external ratings produced by external credit assessment institutions (ECAIs) to credit quality steps.^{footnote [13]} The PRA also outlined its final policy in respect of the proposals that will be implemented on 1 January 2026. This chapter outlines the PRA’s near-final amendments to this policy that will be implemented on 1 January 2027 to coincide with the implementation of the Basel 3.1 standards and the restatement of other CRR requirements.

4.2 When making CRR rules, the PRA must also publish a summary of the purpose of the proposed rules. The purpose of the amendments to the respective PRA Rulebook Parts set out in paragraph 1.6 is to ensure the PRA’s mapping rules reflect, and are reflected in, the implementation of the Basel 3.1 standards and restatement of the remainder of the CRR.

Changes related to the implementation of the Basel 3.1 standards and the restatement of other CRR requirements

4.3 The PRA noted in PS12/25 that further changes would be required to its rules concerning ECAI mapping as part of the PRA’s implementation of the Basel 3.1 standards and the restatement of the remaining relevant provisions in the CRR in PRA rules. In particular, the PRA noted that further amendments would be required to its:

• near-final Basel 3.1 rules to reflect the implementation of the updated mapping tables, which were originally set out in CP13/24; and
• final rules published in PS12/25 that restated updated mapping tables in the PRA Rulebook to reflect the implementation of the Basel 3.1 standards.

4.4 The PRA can confirm it has decided to implement these changes in its near-final rules.

4.5 In paragraphs 3.24 to 3.26 of PS12/25, the PRA outlined that, having considered the responses to CP13/24, it was minded to make further changes to its mapping rules used by banks, building societies and designated investment firms for the purpose of assigning risk weights under the standardised approach (SA) to credit risk to coincide with new requirements being introduced under its near-final Basel 3.1 rules. The PRA confirms that it has decided to amend Article 136A of the Credit Risk: Standardised Approach (CRR) Part of the PRA Rulebook to allow an existing mapping to be used for an unmapped rating scale where the ECAI’s methodology for assigning an exposure to a credit rating category within the unmapped rating scale is identical to that of the mapped rating scale, except for the consideration given to assumptions of implicit government support. The PRA outlined its rationale for making such a change in PS12/25.

Changes to reflect the expected revocation of Technical Standard (TS) 2016/1799

4.6 In CP13/24, the PRA stated its intention to continue applying the ECAI mapping methodology as set out in TS 2016/1799 and to remain aligned with the relevant Basel guidelines. The PRA noted that it expected HMT to preserve the PRA’s power to amend or revoke this TS, notwithstanding the revocation of CRR Article 136 as part of the PRA’s implementation of the Basel 3.1 standards. The PRA also noted that it may consider revoking this TS at a future date and setting out its approach to ECAI mapping in a different form. Following engagement with HMT, the PRA now expects that HMT will revoke TS 2016/1799 in full alongside the implementation of the Basel 3.1 standards. The PRA has therefore made changes to its draft policy to reflect this.

4.7 The PRA confirms that it will continue to apply the ECAI mapping methodology that is currently set out in TS 2016/1799 after it is revoked. However, the PRA has decided to not restate the content of TS 2016/1799 within new or existing policy material at the date the TS is revoked by HMT. The PRA notes that it is required to consult on any changes to its rules. As part of any such consultation on its mapping rules, the PRA would outline its rationale for proposed changes to the mapping tables (including the methodology used to derive them), providing stakeholders with an opportunity to respond to any changes in the PRA’s approach. The PRA considers that this will ensure it makes its mapping rules with an appropriate level of accountability and transparency and, as such, the PRA does not consider it necessary to restate the content of the TS into its policy material at the date the TS is revoked by HMT.

4.8 Where necessary, the PRA has decided to amend its rules to update existing references to TS 2016/1799 to instead refer to TS 2016/1799 as it stands prior to its revocation.^{footnote [14]} The PRA considers that this approach is consistent with its intention to continue to apply the methodology currently set out in TS 2016/1799 going forward. Consequential amendments of this type have been made to Article 249(3) of the Securitisation (CRR) Part of its draft rules. The PRA has decided not to amend references to TS 2016/1799 in other rules because those references are to the version of the TS as it stood at the point the rules came into force (so will not be affected by the expected revocation of the TS), which the PRA has reviewed and considers remain appropriate.