Featured Product

    PRA Amends Policy on Significant Risk Transfer for Securitizations

    July 22, 2020

    PRA published the policy statement PS17/20, which updates the supervisory statement SS9/13 on the significant risk transfer for securitization transactions. PS17/20 will take effect on its publication. Chapter 8 of the occasional consultation paper CP3/20, which was published in March 2020, covered proposal for the update of SS9/13; the proposal in this chapter had set out to clarify that non-sequential amortization features constitute complex features in the significant risk transfer transactions. PRA received no responses to this chapter of CP3/20 and has, therefore, not amended the draft policy. PS17/20 is relevant to the Capital Requirements Regulation firms.

    SS9/13 supplements the rules in the Benchmarking of Internal Approaches and Credit Risk Part of the PRA Rulebook. According to the updated supervisory statement, PRA does not operate a pre-approval process for securitization transactions. Nevertheless, it expects a firm to discuss with its supervisor, at an early stage, the securitization transactions that are material or have complex features, including any non-sequential amortization. Where a firm claims a regulatory capital reduction from securitization transactions in its disclosures to the market, PRA expects such disclosures to include caveats making clear the risk of full or partial re-characterization where this risk is material in the light of the stated policy of PRA.

    PRA also announced that it will publish the feedback and the final policy for Chapters 2 to 7 of CP3/20 at a later date, as responses received to the consultation are still being considered. Furthermore, the policy set out in PS17/20 has been designed in the context of withdrawal of UK from EU and entry into the transition period, during which time UK remains subject to European law. PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework at the end of the transition period, including those arising once any new arrangements with EU take effect. PRA has assessed that the policy would not need to be amended under the EU (Withdrawal) Act 2018.

     

    Related Links

    Effective Date: July 22, 2020

    Keywords: Europe, UK, Banking, CRR, Securitization, CP3/20, Significant Risk Transfer, PS17/20, SS9/13, Basel, PRA

    Featured Experts
    Related Articles
    News

    ESAs Publish Reporting Templates for Financial Conglomerates

    ESAs published the final draft implementing technical standards on reporting of intra-group transactions and risk concentration of financial conglomerates subject to the supplementary supervision in EU.

    January 18, 2021 WebPage Regulatory News
    News

    EBA Publishes Report on Asset Encumbrance of Banks in EU

    EBA published the annual report on asset encumbrance of banks in EU.

    January 18, 2021 WebPage Regulatory News
    News

    US Agencies Publish Updates for Call Reports, FFIEC 101, and FR Y-9C

    FED updated the reporting form and instructions for the FR Y-9C report on consolidated financial statements for holding companies.

    January 15, 2021 WebPage Regulatory News
    News

    EBA Proposes Guidelines for Establishing Intermediate Parent Entities

    EBA issued a consultation paper on the guidelines on monitoring of the threshold and other procedural aspects of the establishment of intermediate EU parent undertakings, or IPUs, as laid down in the Capital Requirements Directive.

    January 15, 2021 WebPage Regulatory News
    News

    EC Adopts Financial Reporting Changes Arising from Benchmark Reforms

    EC published Regulation 2021/25 that addresses amendments related to the financial reporting consequences of replacement of the existing interest rate benchmarks with alternative reference rates.

    January 14, 2021 WebPage Regulatory News
    News

    BIS Bulletin Examines Key Elements of Policy Response to Cyber Risk

    BIS published a bulletin, or a note, that examines the cyber threat landscape in the context of the pandemic and discusses policies to reduce risks to financial stability.

    January 14, 2021 WebPage Regulatory News
    News

    HMT Updates List of Post-Brexit Equivalence Decisions in UK

    HM Treasury, also known as HMT, has updated the table containing the list of the equivalence decisions that came into effect in UK at the end of the transition period of its withdrawal from EU.

    January 14, 2021 WebPage Regulatory News
    News

    EBA Issues Erratum for Technical Package on Reporting Framework 3.0

    EBA published an erratum for technical package on phase 1 of the reporting framework 3.0.

    January 14, 2021 WebPage Regulatory News
    News

    APRA Publishes FAQ on Measurement of Credit Risk Weighted Assets

    APRA updated a frequently asked question (FAQ), for authorized deposit-taking institutions, on the measurement of credit risk weighted assets.

    January 14, 2021 WebPage Regulatory News
    News

    ECB Letter Sets Out Strategies to Address Issue of Nonperforming Loans

    ECB published a letter from Andrea Enria, the Chair of the Supervisory Board of ECB, answering questions raised by the President of the Bundestag (the German federal parliament) on how ECB assesses the financial stability of the euro area in the context of the significant level of nonperforming loans.

    January 14, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6450