PRA Publishes Final Policy on Capital Framework for Securitization
PRA published the policy statement PS29/18, which provides feedback to responses to the consultation paper CP12/18 on the new EU framework and significant risk transfer for securitization. The recent updates also include the final policy of PRA in the form of SS10/18 on general requirements and capital framework for securitization (Appendix 1); updated SS9/13 significant risk transfer in related in to securitization (Appendix 2); and updated SS31/15 on the Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process, or SREP (Appendix 3).
The date of application for the new securitization legislative framework is January 01, 2019. SS10/18 and amendments to SS31/15 also become effective from January 01, 2019. The updated policies amending SS9/13 apply immediately to all PRA authorized Capital Requirements Directive (CRD IV) firms after the publication of PS29/18. PRA has published both the current and future versions of these supervisory statements. Different parts of the PS20/18 are relevant to different firms, depending on whether the policy relates to the implementation of the EU Securitization Regulation, revisions to the banking securitization capital framework, or Significant Risk Transfer securitization. Policy relating to the implementation of the Securitization Regulation will be relevant to all PRA-authorized CRD IV firms and all PRA-authorized Solvency II firms (and potentially other firms pending HM Treasury discretions). Policy relating to the revision to the banking securitization capital framework and Significant Risk Transfer securitization will be relevant to PRA-authorized CRD IV firms only.
SS10/18 is relevant to PRA-authorized CRD IV firms and PRA-authorized Solvency II firms to which the Securitization Regulation applies, unless stated otherwise. This includes PRA-authorized UK banks, building societies, PRA-designated UK investment firms, UK insurance firms, UK reinsurance firms, and UK insurance special purpose vehicles (ISPVs). SS10/18 sets out the PRA expectations of firms in respect of securitization in the following chapters:
- General requirements under the Securitization Regulation (Chapter 2)—general expectations of firms and processes under Chapter 2 of the Securitization Regulation
- STS ABCP Sponsors (Chapter 3)—general expectations of firms seeking to become sponsors of Simple, Transparent, and Standardized (STS) Asset-Backed Commercial Paper (ABCP) programs
- Capital Requirements Regulation (CRR) securitization capital framework (Chapter 4)—PRA expectations and approach regarding the securitization capital framework for firms to which Directive 2013/36/EU (CRD) applies.
Related Links
Effective Date: January 01, 2019
Keywords: Europe, EU, UK, Banking, Insurance, Securitization Regulation, CRD IV, Solvency II, Significant Risk Transfer, Basel III, PS29/18, PRA
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Paul McCarney
Insurance product strategist; insurance domain expert; extensive experience developing risk assessment frameworks for insurers
Previous Article
FIN-FSA Grants Five Registrations as Virtual Currency ProviderRelated Articles
BIS and Central Banks Experiment with GenAI to Assess Climate Risks
A recent report from the Bank for International Settlements (BIS) Innovation Hub details Project Gaia, a collaboration between the BIS Innovation Hub Eurosystem Center and certain central banks in Europe
Nearly 25% G-SIBs Commit to Adopting TNFD Nature-Related Disclosures
Nature-related risks are increasing in severity and frequency, affecting businesses, capital providers, financial systems, and economies.
Singapore to Mandate Climate Disclosures from FY2025
Singapore recently took a significant step toward turning climate ambition into action, with the introduction of mandatory climate-related disclosures for listed and large non-listed companies
SEC Finalizes Climate-Related Disclosures Rule
The U.S. Securities and Exchange Commission (SEC) has finalized the long-awaited rule that mandates climate-related disclosures for domestic and foreign publicly listed companies in the U.S.
EBA Proposes Standards Related to Standardized Credit Risk Approach
The European Banking Authority (EBA) has been taking significant steps toward implementing the Basel III framework and strengthening the regulatory framework for credit institutions in the EU
US Regulators Release Stress Test Scenarios for Banks
The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).
Asian Governments Aim for Interoperability in AI Governance Frameworks
The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.
EBA Proposes Operational Risk Standards Under Final Basel III Package
The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.
EFRAG Proposes XBRL Taxonomy and Standard for Listed SMEs Under ESRS
The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.
ECB to Expand Climate Change Work in 2024-2025
Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.