General Information & Client Service
  • Americas: +1.212.553.1653
  • Asia: +852.3551.3077
  • China: +86.10.6319.6580
  • EMEA: +44.20.7772.5454
  • Japan: +81.3.5408.4100
Media Relations
  • New York: +1.212.553.0376
  • London: +44.20.7772.5456
  • Hong Kong: +852.3758.1350
  • Tokyo: +813.5408.4110
  • Sydney: +61.2.9270.8141
  • Mexico City: +001.888.779.5833
  • Buenos Aires: +0800.666.3506
  • São Paulo: +0800.891.2518
May 22, 2018

PRA published the consultation paper CP12/18 that sets out the proposals on its approach to the EU Securitization Regulation and certain aspects of the revised Capital Requirements Regulation (CRR) banking securitization capital framework. The paper also proposes to update firms on the PRA expectations about Significant Risk Transfer (SRT) securitization. Comment period on CP12/18 ends on August 22, 2018.

The scope of application for the proposals in CP12/18 varies, depending on whether the proposals relate to the implementation of the Securitization Regulation, revisions to the banking securitization capital framework, or SRT securitization. The consultation paper is, therefore, split into two parts: Part 1 covers the new EU securitization framework (relevant for all PRA-authorized CRD IV firms and all PRA-authorized Solvency II firms and potentially other firms pending HM Treasury discretions—see paragraph 2.4) and Part 2 covers SRT securitization (relevant for PRA-authorized CRD IV firms only). PRA proposed to introduce a new Supervisory Statement on general requirements and capital framework for securitization, with the aim to set out the PRA approach and expectations in relation to:

  • Chapter 2 (provisions applicable to all securitizations) of the incoming EU Securitization Regulation
  • Firms that intend to sponsor Simple, Transparent, and Standardized (STS) Asset-Backed Commercial Paper (ABCP) programs
  • The incoming securitization capital framework introduced via amendments to the CRR

The Supervisory Statement SS9/13 titled "Securitization," which currently covers only SRT securitization, is proposed to be renamed "Securitization: Significant Risk Transfer." PRA proposed to amend this supervisory statement to clarify the role of firms’ senior management, prudential treatment of excess spread, and certain aspects of the PRA assessment of commensurate risk transfer with respect to SRT securitization. The date of application for the new securitization legislative framework is January 01, 2019. The proposals in the new PRA supervisory statement on general requirements and capital framework for securitization, along with SS31/15, would be effective from January 01, 2019. The proposals that amend SS9/13 would apply immediately after the publication of a policy statement to all PRA-authorized CRD IV firms, as they are equally applicable to the current and amended CRR. 

 

Related Links

Comment Due Date: August 22, 2018

Effective Date: January 01, 2019

Keywords: Europe, UK, Banking, Insurance, CRR, CRD IV, Basel III, Solvency II, ABCP Securitization, Securitization Regulation, Significant Risk Transfer, PRA

Related Insights
News

EBA Finalizes Guidelines on the STS Criteria in Securitization

EBA published the final guidelines that provide a harmonized interpretation of the criteria for a securitization to be eligible as simple, transparent, and standardized (STS) on a cross-sectoral basis throughout EU.

December 12, 2018 WebPage Regulatory News
News

OSFI Sets Domestic Stability Buffer for D-SIBs at 1.75%

OSFI set the level for the Domestic Stability Buffer at 1.75% of total risk-weighted assets, as calculated under the Capital Adequacy Requirements (CAR) Guideline.

December 12, 2018 WebPage Regulatory News
News

FSI Publishes Paper on Proportionality in Insurance Solvency Rules

FSI published a paper on proportionality in the application of insurance solvency requirements.

December 11, 2018 WebPage Regulatory News
News

BCBS Updates Framework for Pillar 3 Disclosure Requirements

BCBS published the updated framework for Pillar 3 disclosure requirements.

December 11, 2018 WebPage Regulatory News
News

EBA Issues Revised List of Validation Rules for Reporting

EBA revised the list of validation rules in its implementing technical standards on supervisory reporting.

December 11, 2018 WebPage Regulatory News
News

IMF Reports Assess the Stability of Financial System in Brazil

IMF published a report on the results of the Financial System Stability Assessment (FSSA) on Brazil.

December 11, 2018 WebPage Regulatory News
News

FED Governor Examines Pros of Imposing Capital Buffers on Large Banks

At the Peterson Institute for International Economics in Washington D.C., the FED Governor Lael Brainard summarized the financial stability outlook, highlighted areas where financial imbalances seem to be building, and touched on the related policy implications.

December 07, 2018 WebPage Regulatory News
News

US Agencies Propose Rule on Appraisals for Real Estate Transactions

US Agencies (FDIC, FED, and OCC) proposed a rule to increase the threshold level at or below which appraisals would not be required for the residential real estate transactions from USD 250,000 to USD 400,000. Comments will be accepted for 60 days from publication in the Federal Register.

December 07, 2018 WebPage Regulatory News
News

EBA Single Rulebook Q&A: First Update for December 2018

This week one answer was published as part of the Single Rulebook Questions and Answers (Q&A).

December 07, 2018 WebPage Regulatory News
News

FED Updates Reporting Form and Instructions for FR Y-14Q

FED published the updated reporting form FR Y-14Q for Capital Assessment and Stress Testing, along with the associated instructions.

December 06, 2018 WebPage Regulatory News
RESULTS 1 - 10 OF 2325