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:

1. (i) the credit institution demonstrates to the PRA that the support it provides to the programme would not endanger its solvency and liquidity, even in an extreme market stress (SECN 2.3.25R(1) of the FCA Handbook); or
2. (ii) the PRA has determined on the basis of the review and evaluation referred to in Regulation 34A(2) of the Capital Requirements Regulations 2013 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 (SECN 2.3.25R(2) of the FCA Handbook).

3.3

[Deleted].

3.4

To demonstrate to the PRA that its role as an STS ABCP Sponsor under SECN 2.3.25R of the FCA Handbook will not endanger its solvency or liquidity, a firm should notify its usual supervisory contact, providing relevant information that should include:

1. (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;
2. (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
3. (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 SECN 2.3.23R to SECN 2.3.37R of the FCA Handbook.

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 Regulation 34A(2) of the Capital Requirements Regulations 2013 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 SECN 2.3.25R(2) of the FCA Handbook, 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.