Securitisation Capital framework

Policies relating to the calculation of risk-weighted assets for securitisation exposures for banks, building societies and investment firms.
This page lists policies on the treatment of securitisations in the credit risk RWA framework. For general policies on securitisations see securitisation general framework.

PRA Rules and Modifications by Consent

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

UK legislation 

UK technical standards

 

Supervisory Statements

  • Securitisation – Significant Risk Transfer (SS9/13)
  • Securitisation: General requirements and capital framework (SS10/18)

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

  • Guidelines on implicit support for securitisation transactions (EBA/GL/2016/08)
  • Guidelines on significant risk transfer (SRT) for securitisation transactions (EBA/GL/2014/05)
  • Guidelines of the determination of the weighted average maturity of the contractual payment due under the tranche (EBA/GL/2020/04)
This page was last updated 28 October 2024