Published on 21 October 2021
Implementation of Basel standards: Non-performing loan securitisations - PS24/21
Overview
This Prudential Regulation Authority (PRA) Policy Statement (PS) provides feedback to responses to Consultation Paper (CP) 10/21 ‘Implementation of Basel standards: Non-performing loan securitisations’. It also contains the PRA’s final policy, as follows:
- a new Non-Performing Exposures Securitisation Part of the PRA Rulebook (Appendix 1); and
- an updated Supervisory Statement (SS) 10/18 ‘Securitisation: General requirements and capital framework’ (Appendix 2).
This PS is relevant to UK banks, building societies, and PRA-designated investment firms (collectively, ‘firms’), as well as UK financial holding companies (FHCs) and UK mixed financial holding companies (MFHCs) of certain PRA-authorised firms.
Summary of responses
The PRA received one written response to the CP and additional verbal comments in a discussion with industry representatives during the consultation. Respondents welcomed the PRA’s development of an NPE securitisation framework, but made a number of observations and requests for clarification, which are set out in Chapter 2.
Implementation
The updated SS10/18, and the rules for calculating capital requirements on exposures to NPE securitisations, will take effect from Saturday 1 January 2022. This will take effect in conjunction with any consequential amendments to the CRR by HM Treasury.
The PRA will keep this policy under review and in this regard welcomes additional submission of evidence from firms regarding NPE securitisations.
References related to the UK’s membership of the EU covered by the policy in this PS have been updated as part of this PS to reflect the UK’s withdrawal from the EU. Unless otherwise stated, any remaining references to EU or EU-derived legislation refer to the version of that legislation which forms part of the retained EU law.
Policy Statement 24/21Appendix
- Appendix 1: SS10/18 ‘Securitisation: General requirements and capital framework’
- Appendix 2: CRR FIRMS: NON-PERFORMING EXPOSURES SECURITISATION (CRR 2 MODIFICATIONS) INSTRUMENT 2021 (pdf)
Published on 3 June 2021
Implementation of Basel standards: Non-performing loan securitisations - CP10/21
Overview
This Consultation Paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposed rules in respect of the implementation of prudential standards agreed by the Basel Committee on Banking Supervision (BCBS) for non-performing loan (NPL) securitisations. It sets out how the PRA proposes to define non-performing exposure (NPE) securitisations, and also proposes changes to the associated capital treatment.
The proposal in this CP would result in the addition of a new Non-Performing Exposure Securitisation Part of the PRA Rulebook (Appendix 1), and amendments to Supervisory Statement (SS) 10/18 ‘Securitisation: General requirements and capital framework’ (Appendix 2).
The proposal in this CP are relevant to all PRA-authorised firms to which the Capital Requirements Directive (CRD) applies.
Implementation
The PRA proposes that the implementation date for the changes resulting from this CP would be Saturday 1 January 2022.
The PRA’s proposals in this consultation would take effect in conjunction with any consequential amendment to the CRR by HM Treasury.
The PRA has consulted with the Financial Conduct Authority (FCA) on the proposals in this consultation. Responses to this CP will be shared with the FCA where they affect FCA objectives.
Responses and next steps
This consultation closes on Monday 9 August 2021. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP10_21@bankofengland.co.uk.
The proposal sets out in this CP have been designed in the context of the UK having left the European Union and the transition period having come to an end. Unless otherwise stated, any references to EU or EU derived legislation refer to the version of that legislation which forms part of retained EU law. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework.