Prudential Regulation Authority Rulebook

1

Prior to holding a securitisation position, an institutional investor, other than the originator, sponsor or original lender, shall verify that:

1. (a) where the originator or original lender is established in the UK and is not a CRR firm or an FCA investment firm as defined in points (2A) and (2AB) of Article 4(1) of CRR, the originator or original lender grants all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan) on the basis of sound and well-defined criteria and clearly established processes for approving, amending, renewing and financing those credits and has effective systems in place to apply those criteria and processes in accordance with Article 9(1) of this Chapter (or equivalent FCA rules);
2. (b) where the originator or original lender is not established in the UK, the originator or original lender grants all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan) on the basis of sound and well-defined criteria and clearly established processes for approving, amending, renewing and financing those credits and has effective systems in place to apply those criteria and processes to ensure that credit-granting is based on a thorough assessment of the obligor’s creditworthiness;
3. (c) if established in the UK, the originator, sponsor original lender retains on an ongoing basis a material net economic interest in accordance with Article 6 of this Chapter and Chapter 4 (or equivalent FCA rules) and the risk retention is disclosed to the institutional investor in accordance with Article 7 of this Chapter and Chapters 5 and 6 (or equivalent FCA rules);
4. (d) if not established in the UK, the originator, sponsor or original lender retains on an ongoing basis a material net economic interest which, in any event, shall not be less than 5%, determined in accordance with Article 6 of this Chapter and Chapter 4 (or equivalent FCA rules), and discloses the risk retention to institutional investors;
5. (e) the originator, sponsor or SSPE has made available sufficient information to enable the institutional investor independently to assess the risks of holding the securitisation position and has committed to make further information available on an ongoing basis, as appropriate. That information must include at least the following:
   1. (i) in the case of a securitisation which is not an ABCP programme or an ABCP transaction, details of the underlying exposures, which is to be provided on at least a quarterly basis;
   2. (ii) in the case of an ABCP programme or an ABCP transaction, information on the underlying receivables or credit claims, which is to be provided on at least a monthly basis;
   3. (iii) investor reports providing periodic updates on the credit quality and performance of the underlying exposures, any relevant financial or other triggers contained in the transaction documentation including information on events which trigger changes to the priority of payments or a substitution of any counterparty to the transaction, data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation and the calculation and modality of retention of a material net economic interest in the transaction by the originator, sponsor or original lender, which is to be provided on at least a quarterly basis in the cases referred to in point (i) and on at least a monthly basis in the cases referred to in point (ii);
   4. (iv) all information on the legal documentation needed to understand the transaction, including detail of the legal provisions governing the structure of the transaction, any credit enhancement or liquidity support features, the cash flows and loss waterfalls, investors’ voting rights and any triggers or other events that could result in a material impact on the performance of the securitisation position, which is to be provided:
   5. for primary market investments, in draft or initial form before pricing or commitment to invest and in final form no later than 15 days after closing of the transaction, or
   6. for secondary market investments, in final form before a commitment to invest,
   7. and for both primary and secondary market investments an updated version as soon as practicable following any material change;
   8. (v) information describing any changes or events materially affecting the transaction, including breaches of obligations under the transaction documents, which is to be provided as soon as practicable following the material change or event;
   9. (vi) any approved prospectus or other offering or marketing document prepared with the cooperation of the originator or sponsor which is to be provided:
   10. for primary market investments, in draft or initial form before pricing or commitment to invest and in final form no later than 15 days after closing of the transaction, or
   11. for secondary market investments, in final form before a commitment to invest; and
   12. (vii) if there is an STS notification or a notification falling within regulation 12(3)(b) of the Securitisation Regulations in respect of the transaction, that STS notification, which is to be provided:
   13. for primary market investments, in draft or initial form before pricing or commitment to invest and in final form no later than 15 days after closing of the transaction, or
   14. for secondary market investments, in final form before a commitment to invest,
   15. and for both primary and secondary market investments an updated version as soon as practicable following any material change.

2

As regards fully supported ABCP transactions, the requirement specified in point (a) of paragraph 1 of this Article shall apply to the sponsor and not to the institutional investor. In such cases, the sponsor shall verify that the originator or original lender which is not a CRR firm or an FCA investment firm as defined in points (2A) and (2AB) of Article 4(1) of CRR grants all the credits giving rise to the underlying exposures on the basis of sound and well-defined criteria and clearly established processes for approving, amending, renewing and financing those credits and has effective systems in place to apply those criteria and processes in accordance with Article 9(1) of this Chapter (or equivalent FCA rules).

3

Prior to holding a securitisation position, an institutional investor, other than the originator, sponsor or original lender, shall carry out a due-diligence assessment which enables it to assess the risks involved. That assessment shall consider at least all of the following:

1. (a) the risk characteristics of the individual securitisation position and of the underlying exposures;
2. (b) all the structural features of the securitisation that can materially impact the performance of the securitisation position, including the contractual priorities of payment and priority of payment-related triggers, credit enhancements, liquidity enhancements, market value triggers, and transaction-specific definitions of default;
3. (c) with regard to a securitisation included on the list maintained under regulation 10(2) of the Securitisation Regulations, compliance with the STS criteria and with any applicable designated activity rules relating to the notification mentioned in regulation 10(1) of the Securitisation Regulations;
4. (d) with regard to a securitisation that appears to the institutional investor to be an overseas STS securitisation as defined in regulation 12(2) of the Securitisation Regulations, whether the securitisation falls within a description of securitisation specified in regulations made from time to time under regulation 13(1) of the Securitisation Regulations in relation to a country or territory designated under such regulations;
5. (e) with regard to a securitisation falling within paragraph (3)(b) and (c) of regulation 12 of the Securitisation Regulations, compliance with the requirements referred to in paragraph (3)(a) of that regulation and with Article 27 of Regulation (EU) 2017/2402 as it had effect in relation to the European Union at the time of the notification mentioned in paragraph (3)(b) of that regulation;
6. (f) in considering the matter referred to in point (c), an institutional investor may rely to an appropriate extent on the STS notification and on the information disclosed by the originator, sponsor and SSPE concerning compliance with the STS criteria, without solely or mechanistically relying on that notification or information;
7. (g) in considering the matter referred to in point (e), an institutional investor may rely to an appropriate extent on the notification referred to in regulation 12(3)(b) of the Securitisation Regulations and on the information disclosed by the originator, sponsor and SSPE to the European Securities and Markets Authority concerning compliance with the requirements referred to in regulation 12(3)(a) of the Securitisation Regulations, without solely or mechanistically relying on that notification or information; and
8. Notwithstanding points (a) and (b) of the first subparagraph, in the case of a fully supported ABCP programme, institutional investors in the commercial paper issued by that ABCP programme shall consider the features of the ABCP programme and the full liquidity support.

3A

The requirements in paragraphs 1 and 3 of this Article continue to apply where a third party has provided services under SECN 2.5.2R of the FCA Handbook.

4

An institutional investor, other than the originator, sponsor or original lender, holding a securitisation position, shall at least:

1. (a) establish appropriate written procedures that are proportionate to the risk profile of the securitisation position and, where relevant, to the institutional investor’s trading and non-trading book, in order to monitor, on an ongoing basis, compliance with paragraphs 1 and 3 of this Article and the performance of the securitisation position and of the underlying exposures. Where relevant with respect to the securitisation and the underlying exposures, those written procedures shall include monitoring of the exposure type, the percentage of loans more than 30, 60 and 90 days past due, default rates, prepayment rates, loans in foreclosure, recovery rates, repurchases, loan modifications, payment holidays, collateral type and occupancy, and frequency distribution of credit scores or other measures of credit worthiness across underlying exposures, industry and geographical diversification, frequency distribution of loan to value ratios with band widths that facilitate adequate sensitivity analysis. Where the underlying exposures are themselves securitisation positions, in accordance with Article 8 of this Chapter or SECN 7.2.1(2)(b) of the FCA Handbook, institutional investors shall also monitor the exposures underlying those positions;
2. (b) in the case of a securitisation other than a fully supported ABCP programme, regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures or, in the absence of sufficient data on cash flows and collateral values, stress tests on loss assumptions, having regard to the nature, scale and complexity of the risk of the securitisation position;
3. (c) in the case of fully supported ABCP programmes, regularly perform stress tests on the solvency and liquidity of the sponsor;
4. (d) ensure internal reporting to its management body so that the management body is aware of the material risks arising from the securitisation position and so that those risks are adequately managed;
5. (e) be able to demonstrate to the PRA, upon request, that it has a comprehensive and thorough understanding of the securitisation position and its underlying exposures and that it has implemented written policies and procedures for the risk management of the securitisation position and for maintaining records of the verifications and due diligence in accordance with paragraphs 1 and 2 of this Article and of any other relevant information; and
6. (f) in the case of exposures to a fully supported ABCP programmes, be able to demonstrate to the PRA, upon request, that it has a comprehensive and thorough understanding of the credit quality of the sponsor and of the terms of the liquidity facility provided.

5

Without prejudice to paragraphs 1 to 4 of this Article, where an institutional investor has been given authority by the institutional investor described below to make investment management decisions that might expose it to a securitisation, the following paragraphs apply in respect of any exposure to a securitisation arising from those decisions. Unless specified below, the responsibility for fulfilling the relevant obligations under paragraphs 1 to 4 shall remain with the institutional investor.

Where an institutional investor who is subject to this Article (‘the managing party’) is instructed under this paragraph to fulfil any of the obligations of another institutional investor who is subject to this Article and fails to do so, the managing party is responsible for the failure to comply with the relevant obligation and not the institutional investor who is exposed to the securitisation.

Where an institutional investor who is subject to this Article (‘the managing party’) is instructed under this paragraph to fulfil any of the obligations of another institutional investor who is subject to equivalent rules made by the FCA or to regulations 32A to 32D of the Securitisation Regulations and fails to do so, the managing party is responsible for the failure to comply with the relevant obligation.

Where an institutional investor who is subject to equivalent rules made by the FCA is instructed under this paragraph to fulfil any of the obligations of another institutional investor who is subject to this Article and fails to do so, the institutional investor who is exposed to the securitisation is not responsible for the failure to comply.

1

The originator, sponsor or original lender of a securitisation shall retain on an ongoing basis a material net economic interest in the securitisation of not less than 5%. That interest shall be measured at the origination and shall be determined by the notional value for off-balance-sheet items.

Where the originator, sponsor or original lender have not agreed between them who will retain the material net economic interest, the originator shall retain the material net economic interest.

There shall be no multiple applications of the retention requirements for any given securitisation.

The material net economic interest shall not be split amongst different types of retainers and shall not be subject to any credit-risk mitigation or hedging.

For the purposes of this Article and Chapter 4, an entity shall not be considered to be an originator where the entity has been established or operates for the sole purpose of securitising exposures.

2

Subject to paragraph 2A of this Article, originators shall not select assets to be transferred to the SSPE with the aim of rendering losses on the assets transferred to the SSPE, measured over the life of the transaction, or over a maximum of four years where the life of the transaction is longer than four years, higher than the losses over the same period on comparable assets held on the balance sheet of the originator.

2A

Originators may select assets to be transferred to the SSPE that ex ante have a higher than average credit risk profile as compared to the average credit risk profile of comparable assets, if any, that remain on the balance sheet of the originator provided that the higher credit risk profile of the assets transferred to the SSPE is clearly communicated to the investors or potential investors.

3

Only the following shall qualify as a retention of a material net economic interest of not less than 5% within the meaning of paragraph 1 of this Article:

1. (a) the retention of not less than 5% of the nominal value of each of the tranches sold or transferred to investors;
2. (b) in the case of revolving securitisations or securitisations of revolving exposures, the retention of the originator’s interest of not less than 5% of the nominal value of each of the securitised exposures;
3. (c) the retention of randomly selected exposures, equivalent to not less than 5% of the nominal value of the securitised exposures, where such non-securitised exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is not less than 100 at origination;
4. (d) the retention of the first loss tranche and, where such retention does not amount to 5% of the nominal value of the securitised exposures, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total not less than 5% of the nominal value of the securitised exposures; or
5. (e) the retention of a first loss exposure of not less than 5% of every securitised exposure in the securitisation.

3A

By way of derogation from paragraph 3 of this Article, in the case of NPE securitisations, where a non-refundable purchase price discount has been agreed, the retention of a material net economic interest for the purposes of that paragraph shall not be less than 5% of the sum of the net value of the securitised exposures that qualify as non-performing exposures and, if applicable, the nominal value of any performing securitised exposures.

The net value of a non-performing exposure shall be calculated by deducting the non-refundable purchase price discount agreed at the level of the individual securitised exposure at the time of origination or, where applicable, a corresponding share of the non-refundable purchase price discount agreed at the level of the pool of underlying exposures at the time of origination from the exposure’s nominal value or, where applicable, its outstanding value at the time of origination.

In addition, for the purpose of determining the net value of the securitised non-performing exposures, the non-refundable purchase price discount may include the difference between the nominal amount of the tranches of the NPE securitisation underwritten by the originator for subsequent sale and the price at which these tranches are first sold to unrelated third parties.

4

Where:

1. (a) a mixed financial holding company;
2. (b) a UK parent institution;
3. (c) a financial holding company established in the UK; or
4. (d) a subsidiary of such a company or institution;

as an originator or sponsor, securitises exposures from one or more CRR firms, FCA investment firms or other financial institutions which are included in the scope of supervision on a consolidated basis, the requirements set out in paragraph 1 of this Article may be satisfied on the basis of the consolidated situation of the mixed financial holding company, UK parent institution or financial holding company concerned.

Subject to the modifications set out in the third subparagraph of SECN 5.2.9R of the FCA Handbook to the requirements set out in Article 79 of Directive 2013/36/EU of the European Parliament and of the Council in respect of FCA investment firms, the first subparagraph applies only if CRR firms, FCA investment firms or financial institutions which created the securitised exposures comply with the requirements set out in Article 79 of Directive 2013/36/EU of the European Parliament and of the Council and deliver the information needed to satisfy the requirements provided for in Article 5 of this Chapter, in a timely manner, to the originator or sponsor and, if the originator or sponsor is a subsidiary, to the mixed financial holding company, UK parent institution or financial holding company which is the parent undertaking of the subsidiary.

In this paragraph:

1. (a) ‘CRR firm’, ‘financial holding company’, ‘financial institution’, ‘FCA investment firm’, ‘subsidiary’ and ‘UK parent institution’ have the meaning given in Article 4 of CRR; and
2. (b) ‘mixed financial holding company’ has the meaning given in regulation 1(2) of the Financial Conglomerates Regulations.

5

Paragraph 1 of this Article shall not apply where the securitised exposures are exposures to or exposures fully, unconditionally and irrevocably guaranteed by:

1. (a) central governments or central banks;
2. (b) regional governments, local authorities and public sector entities within the meaning of point (8) of Article 4(1) of CRR;
3. (c) institutions to which a 50% risk weight or less is assigned under Part Three, Title II, Chapter 2 of CRR and Articles 132a to 132c of Chapter 3 of the Standardised Approach and Internal Ratings Based Approach to Credit Risk (CRR) Part;
4. (d) national promotional banks or institutions within the meaning of point (3) of Article 2 of Regulation (EU) 2015/1017; or
5. (e) the multilateral development banks listed in Article 117 of CRR.

6

Paragraph 1 of this Article shall not apply to transactions based on a clear, transparent and accessible index, where the underlying reference entities are identical to those that make up an index of entities that is widely traded, or are other tradable securities other than securitisation positions.

1

The originator, sponsor and SSPE of a securitisation shall, in accordance with paragraph 2 of this Article and Chapters 5 and 6, make at least the following information available to holders of a securitisation position, to the PRA and, upon request, to potential investors:

1. (a) information on the underlying exposures on a quarterly basis, or, in the case of asset-backed commercial paper, information on the underlying receivables or credit claims on a monthly basis;
2. (b) all underlying documentation essential for the understanding of the transaction, including but not limited to, where applicable, the following documents:
   1. (i) the final offering document or the prospectus together with the closing transaction documents, excluding legal opinions;
   2. (ii) for traditional securitisation the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust;
   3. (iii) the derivatives and guarantee agreements, as well as any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator;
   4. (iv) the servicing, back-up servicing, administration and cash management agreements;
   5. (v) the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value;
   6. (vi) any relevant inter-creditor agreements, derivatives documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements; and
   7. (vii) a detailed description of the priority of payments of the securitisation;
3. (c) where section 85 of FSMA (prohibition of dealing etc in transferable securities without approved prospectus) and rules made by the FCA for the purposes of Part 6 of FSMA (official listing) do not require a prospectus to be drawn up, a transaction summary or overview of the main features of the securitisation, including, where applicable:
   1. (i) details regarding the structure of the deal, including the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure;
   2. (ii) details regarding the exposure characteristics, cash flows, loss waterfall, credit enhancement and liquidity support features;
   3. (iii) details regarding the voting rights of the holders of a securitisation position and their relationship to other secured creditors; and
   4. (iv) a list of all triggers and events referred to in the documents provided in accordance with point (b) of this subparagraph that could have a material impact on the performance of the securitisation position;
4. (d) in the case of STS securitisations, the STS notification referred to in SECN 2.5 of the FCA Handbook;
5. (e) quarterly investor reports, or, in the case of asset-backed commercial paper programme, monthly investor reports, containing at least the following:
   1. (i) all materially relevant data on the credit quality and performance of underlying exposures;
   2. (ii) information on events which trigger changes in the priority of payments or the replacement of any counterparties, and, in the case of a securitisation which is not an ABCP transaction or ABCP programme, data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation; and
   3. (iii) information about the risk retained, including information on which of the modalities provided for in Article 6(3) of this Chapter has been applied, in accordance with Article 6 of this Chapter and Chapters 5 and 6;
6. (f) any inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of Regulation (EU) No 596/2014; and
7. (g) where point (f) of this subparagraph does not apply, any significant event, such as:
   1. (i) a material breach of the obligations provided for in the documents made available in accordance with point (b) of this subparagraph, including any remedy, waiver or consent subsequently provided in relation to such a breach;
   2. (ii) a change in the structural features that can materially impact the performance of the securitisation;
   3. (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
   4. (iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where the PRA or FCA has taken remedial or administrative actions; and
   5. (v) any material amendment to transaction documents.

The information described in points (a) and (e) of the first subparagraph shall be made available simultaneously each quarter at the latest one month after the due date for the payment of interest or, in the case of ABCP transactions, at the latest one month after the end of the period the report covers.

The information described in points (b), (c) and (d) of the first subparagraph shall be made available in draft or initial form before pricing or original commitment to invest and in final form no later than 15 days after closing of the transaction.

In the case of asset-backed commercial paper, the information described in points (a), (c)(ii) and (e)(i) of the first subparagraph shall be made available in aggregate form to holders of securitisation positions and, on request, to potential investors. Loan-level data shall be made available to the sponsor and, on request, to the PRA.

Without prejudice to Regulation (EU) No 596/2014, the information described in points (f) and (g) of the first subparagraph shall be made available without delay.

The originator, sponsor and SSPE may provide the information specified in this paragraph in anonymised or aggregated form or, in relation to point (b) of the first subparagraph, as a summary of the specified documentation, where and to the extent that is necessary in order to comply with the law applicable in the United Kingdom governing the protection of confidentiality of information and the processing of personal data and with any confidentiality obligation relating to customer, original lender or debtor information.

2

The originator, sponsor and SSPE of a securitisation must designate one of their number to be the entity responsible for fulfilling the information requirements pursuant to points (a), (b), (d), (e), (f) and (g) of the first subparagraph of paragraph 1 of this Article. Such designation does not relieve the other parties of their responsibilities set out in paragraph 1.

The reporting entity shall make the information for a securitisation transaction available by means of a securitisation repository registered by the FCA.

The reporting entity and the securitisation repository shall be indicated in the securitisation’s documentation.

The obligations referred to in the second and fifth subparagraphs shall not apply to securitisations for which section 85 of FSMA and rules made by the FCA for the purposes of Part 6 of FSMA do not require a prospectus to be drawn up.

Where no securitisation repository is registered in accordance with regulation 14 of the Securitisation Regulations, the reporting entity shall make the information available by means of a website that:

1. (a) includes a well-functioning data quality control system;
2. (b) is subject to appropriate governance standards and to maintenance and operation of an adequate organisational structure that ensures the continuity and orderly functioning of the website;
3. (c) is subject to appropriate systems, controls and procedures that identify all relevant sources of operational risk;
4. (d) includes systems that ensure the protection and integrity of the information received and the prompt recording of the information; and
5. (e) makes it possible to keep record of the information for at least five years after the maturity date of the securitisation

The reporting entity and the securitisation repository where the information is made available shall be indicated in the documentation regarding the securitisation.

1

The underlying exposures used in a securitisation shall not include securitisation positions.

The first subparagraph shall not apply to:

1. (a) any securitisation the securities of which were issued before 1 January 2019; or
2. (b) any securitisation in respect of which the PRA has disapplied or modified the first sub-paragraph such that the underlying exposures can include securitisation positions.

2

[Note: Provision left blank]

3

[Note: Provision left blank]

4

A fully supported ABCP programme shall not be considered to be a resecuritisation for the purposes of this Article provided that none of the ABCP transactions within that programme is a resecuritisation and that the credit enhancement does not establish a second layer of tranching at the programme level.

1

Originators, sponsors and original lenders shall apply to exposures to be securitised (unless they are trade receivables not originated in the form of a loan) the same sound and well-defined criteria for credit-granting which they apply to non-securitised exposures. To that end, the same clearly established processes for approving and, where relevant, amending, renewing and refinancing credits shall be applied. Originators, sponsors and original lenders shall have effective systems in place to apply those criteria and processes in order to ensure that credit-granting is based on a thorough assessment of the obligor’s creditworthiness taking appropriate account of factors relevant to verifying the prospect of the obligor meeting the obligor’s obligations under the credit agreement.

2

Where the underlying exposures of securitisations are residential loans made on or after 20 March 2014, the pool of those loans shall not include any loan that is marketed and underwritten on the premise that the loan applicant or, where applicable, intermediaries were made aware that the information provided by the loan applicant might not be verified by the lender.

3

Where an originator purchases a third party’s exposures for its own account and then securitises them, that originator shall verify that the entity which was, directly or indirectly, involved in the original agreement which created the obligations or potential obligations to be securitised fulfils the requirements referred to in paragraph 1 of this Article (or equivalent FCA rules).

4

Paragraph 3 of this Article does not apply if:

1. (a) the original agreement which created the obligations or potential obligations of the debtor or potential debtor was entered into before 20 March 2014; and
2. (b) the originator that purchases a third party’s exposures for its own account and then securitises them meets the obligations that originators were required to meet under Article 21(2) of Commission Delegated Regulation (EU) No 625/2014 before 1 January 2019.

1

[Note: Provision left blank]

2

[Note: Provision left blank]

3

[Note: Provision left blank]

4

[Note: Provision left blank]

5

In respect of securitisations the securities of which were issued on or after 1 January 2011 but before 1 January 2019 and in respect of securitisations the securities of which were issued before 1 January 2011 where new underlying exposures have been added or substituted after 31 December 2014, the due diligence requirements set out in CRR and Commission Delegated Regulation (EU) 2015/35 respectively shall continue to apply in the version applicable on 31 December 2018 as if they still had effect and were set out expressly here.

For the purposes of this paragraph:

1. (a) Article 256 of Commission Delegated Regulation (EU) 2015/35 is to be read as if it still has effect notwithstanding its deletion by Article 1(7) of Commission Delegated Regulation (EU) 2018/1221; and
2. (b) for the purposes of point (a) of paragraph 3(f) of Article 256 of Commission Delegated Regulation (EU) 2015/35, Article 254 of Commission Delegated Regulation (EU) 2015/35 is to be read as if it still has effect notwithstanding its deletion by Article 1(7) of Commission Delegated Regulation (EU) 2018/1221, together with the following modifications:
   1. (i) paragraph 1 is to be read as if for ‘Article 135(2)(a) of Directive 2009/138/EC’ there were substituted ‘rule 6.1 of the Investments Part of the PRA Rulebook as it had effect on IP completion day’; and
   2. (ii) paragraph 2(b) is to be read as if for ‘Article 242(12) of Regulation (EU) No 575/2013’ there were substituted ‘rule 1.3 of the Securitisation Part of the PRA Rulebook’.

6

In respect of securitisations the securities of which were issued before 1 January 2019 a CRR firm (as defined by Article 4(1)(2A) of CRR as CRR had effect on IP completion day), an insurance undertaking (as defined in section 417(1) of FSMA) and a reinsurance undertaking (as defined in section 417(1) of FSMA) shall continue to apply Article 405 of CRR and Chapters I, II and III and Article 22 of Commission Delegated Regulation (EU) No 625/2014, Articles 254 and 255 of Commission Delegated Regulation (EU) 2015/35 respectively as in the version applicable on 31 December 2018 as if they still had effect and were set out expressly here. For the purposes of this paragraph, Article 405 of CRR is to be read with the following modifications:

1. (a) read paragraph 2 as if:
   1. (i) for the first subparagraph, substitute:
      1. ‘Where:
      2. (a) a mixed financial holding company,
      3. (b) a UK parent institution which is a credit institution,
      4. (c) a financial holding company established in the United Kingdom, or
      5. (d) a subsidiary of such a company or institution;
      6. as an originator or sponsor, securitises exposures from one or more credit institutions, investment firms or other financial institutions which are included in the scope of supervision on a consolidated basis, the requirement set out in paragraph 1 may be satisfied on the basis of the consolidated situation of the mixed financial holding company, UK parent institution or financial holding company concerned’;
   2. (ii) in the second subparagraph for the words from ‘in a timely manner’ to the end there were substituted ‘the information needed to satisfy the requirements set out in Article 409, in a timely manner, to the originator or sponsor and, if the originator or sponsor is a subsidiary, to the mixed financial holding company, UK parent institution or financial holding company which is the parent undertaking of the subsidiary’; and
   3. (iii) after the second subparagraph there were inserted:
      1. ‘In this paragraph:
      2. (a) ‘credit institution’, ‘financial holding company’, ’financial institution’, ‘investment firm’, ‘subsidiary’ and ‘UK parent institution’ have the meaning given in Article 4(1) of CRR; and
      3. (b) ‘mixed financial holding company’ has the meaning given in the PRA Rulebook’; and
2. (b) in paragraph 3, in point (b) ignore ‘of Member States’.

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For the purpose of this Article, in the case of securitisations which do not involve the issuance of securities, any references to ‘securitisations the securities of which were issued’ shall be deemed to mean ‘securitisations the initial securitisation positions of which are created’. When applying this Article to securitisations which do not involve the issuance of securities, any references in this Article to ‘securitisations the securities of which were issued before 1 January 2019’ shall be deemed to mean ‘securitisations the initial securitisation positions of which are created before 1 January 2019’ such that this Part applies to any securitisations that create new securitisation positions on or after 1 January 2019.