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PRA policy statement published on the revised EU securitisation framework and significant risk transfer


20 December 2018

The PRA’s policy relating to the implementation of the Securitisation Regulation is relevant to PRA-authorised firms subject to the CRR and Capital Requirements Directive IV[4] (together CRR firms) and PRA-authorised Solvency II[5] firms and is proposed to be extended to all PRA-authorised firms including non-CRR, non-Solvency II, firms. Its policy relating to the revision to the banking securitisation capital framework and SRT securitisation is relevant to PRA-authorised CRR firms only. The PRA does not make any proposals regarding the Solvency II securitisation capital framework, but indicated in the consultation that it may decide these are needed going forward[6].

The FCA has current consultations (CP18-30 and CP18-22) proposing changes to its Handbook necessary to reflect the Securitisation Regulation and related HMT implementing statutory implement[7]. It has not, however, proposed substantive additional/gold-plating guidance akin to that in the PRA policy statement. Given the similarity, in general, of PRA and FCA approach where it relates to the same legislation, the PRA’s proposals may, never the less, be of interest to FCA-authorised CRR firms and potentially, in relation to SRT only, FCA-authorised BIPRU firms.

Further, the PRA’s policy in relation to SRT (in particular its proposals re (i) excess spread, and (ii) the assessment of commensurate risk transfer for portfolios of exposures on the standardised approach to credit risk) represents a material development in the context of the current European debate around reforms to the SRT regime proposed in the EBA’s Discussion Paper on Significant Risk Transfer (linked here, the EBA SRT DP). As such, it may be of interest to firms outside the scope of UK prudential regulation that participate in SRT securitisations, their regulators, and, potentially, the EBA in finalising its response to the EBA SRT DP (the EBA has until January 2021 to report back) and any resulting delegated regulation.

This briefing provides a summary of changes to the consultation paper proposals with respect to each of SRT, the CRR securitisation capital framework and the Securitisation Regulation, taking each topic in turn. We encourage interested clients to contact us with any questions.

Salim Nathoo

Partner – London

Bob Penn

Partner – London

Jo Goulbourne Ranero

Consultant – London

Maria Green

Senior PSL – London

To read more, please click here.


[1] Regulation (EU) No 575/2013

[2] Regulation (EU) 2017/2401

[3] Regulation (EU) 2017/2402


[5] The Solvency II Directive (2009/138/EC) and the Solvency II Delegated Regulation (2015/35), jointly ‘Solvency II’

[6] The PRA indicated that this might take place once (as has now happened) proposed amendments to the Solvency II Delegated Regulation Delegated Regulation (EU) 2015/35 have been adopted into the Official Journal of the European Union

[7] In very general terms: a large number of conforming changes, the extension of the FCA’s enforcement powers to cover unauthorised firms acting as sponsors, originators or Securitisation Special Purpose Entity (SSPEs) in a securitisation, a decision procedure for applications for and withdrawal of authorisation of third party verifiers (TPV) and related regulatory fee structure.


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