Prudential Regulation Authority Rulebook

3.1

This chapter is relevant to PRA-authorised CRR credit institutions.

3.2

A credit institution supervised under CRR may act as a sponsor for an STS ABCP programme using one of the following routes:
(i) the credit institution demonstrates to its competent authority that the support it provides to the programme would not endanger its solvency and liquidity, even in an extreme market stress (Article 25(3), subparagraph 1); or
(ii) the competent authority has determined on the basis of the review and evaluation referred to in CRD Article 97(3) that the arrangements, strategies, processes, and mechanisms implemented by that credit institution and the own funds and liquidity it holds ensure the sound management and coverage of its risks (Article 25(3) subparagraph 2).

3.3

The PRA is the competent authority for the purposes of Article 25(3) with respect to PRA-authorised CRR credit institutions.

3.4

To demonstrate to the PRA that its role as an STS ABCP Sponsor under Article 25 of the Securitisation Regulation will not endanger its solvency or liquidity, a firm should notify its usual supervisory contact, providing relevant information that should include:
(i) an assessment of the impact of full support on the firm’s Total Capital Requirement on an individual and consolidated basis, both with and without STS status;
(ii) an assessment of the impact of full support on the firm’s regulatory liquidity guidance and buffer resources, both with and without STS status; and
(iii) a summary of the programme features relevant to an understanding of the assessment in (i) and (ii) above, including an assessment against STS requirements in Articles 25 and 26 of the Securitisation Regulation.

3.5

Where a firm seeks to set up a new conduit, or is proposing to sponsor an ABCP programme or transaction for the first time, it must provide its supervisors with the request sufficiently in advance of the execution of the transaction.

3.6

For the purposes of being an STS ABCP sponsor, the PRA is unlikely to determine on the basis of the review and evaluation referred to in CRD Article 97(3) that the arrangements, strategies, processes, and mechanisms implemented by that credit institution and the own funds and liquidity it holds ensure the sound management and coverage of its risks, unless the firm is currently a sponsor for at least one ABCP programme. This may include any existing non-STS ABCP programme for which the firm wishes to seek STS status.

3.7

Where a firm seeks to make use of the route specified in Article 25(3) subparagraph 2, it should make a written request to its usual supervisory contact prior to, or alongside, the submission of either its internal capital adequacy assessment process (ICAAP) or internal liquidity adequacy assessment process (ILAAP) document. Where the information specified in paragraph 3.5 is not already available in the ICAAP or ILAAP document, the firm should also provide necessary information referenced in paragraph 3.5.