Prudential Regulation Authority Rulebook

1.1

This statement is relevant to PRA-authorised firms to which CRD IV applies.^[1]

1.2

This statement sets out the Prudential Regulation Authority’s (PRA’s) expectations of firms in respect of securitisation in the following chapters:

(2) ‘High-level Significant Risk Transfer considerations’ – general expectations of firms seeking to obtain significant risk transfer (SRT) through securitisation;

(3) ‘Significant Risk Transfer notifications and permissions’ – process for notifying the PRA of SRT transactions and for obtaining permission to undertake own assessments of SRT;

(4) ‘Regulatory capital calculation methodology and SRT’ – methodologies firms use to calculate post-securitisation risk weights in SRT transactions;

(5) ‘Implicit Support and SRT’ – the PRA’s approach to implicit support;

(6) ‘High cost credit protection and other SRT considerations’ – factors likely to affect the assessment of SRT transactions;

(7) ‘Excess spread in SRT securitisations’ – the PRA’s approach to excess spread in SRT securitisations; and

(8) ‘Assessment of commensurate risk transfer (CRT) for portfolios of Standardised Approach (SA) exposures’ – the PRA’s approach to assessing CRT for SA portfolios.

1.3

The statement supplements the rules in the Benchmarking of Internal Approaches and Credit Risk Part of the PRA Rulebook.