Guidance

SS10/18 – Securitisation: General requirements and capital framework

Chapter

Introduction

Printed on: 18/06/2024

Rulebook at: 05/05/2024

1

Introduction

1.1

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 CRR firms.
  • 01/01/2022

1.2

This statement is relevant to PRA-authorised CRR firms and PRA-authorised Solvency II firms to which the Securitisation Regulation applies unless stated otherwise.1 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).

  • 1. Regulation (EU) 2017/2402 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation as amended, including by the The Securitisation (Amendment) (EU Exit) Regulations 2019 (legislation.gov.uk)
  • 01/01/2022