CP10/21 - Implementation of Basel standards: Non-performing loan securitisations

Consultation Paper 10/21
Published on 03 June 2021

Overview

This Consultation Paper (CP) sets out the Prudential Regulation Authority’s (PRA) proposed rules in respect of the implementation of prudential standards agreed by the Basel Committee on Banking Supervision (BCBS) for non-performing loan (NPL) securitisations. It sets out how the PRA proposes to define non-performing exposure (NPE) securitisations, and also proposes changes to the associated capital treatment.

The proposal in this CP would result in the addition of a new Non-Performing Exposure Securitisation Part of the PRA Rulebook (Appendix 1), and amendments to Supervisory Statement (SS) 10/18 ‘Securitisation: General requirements and capital framework’ (Appendix 2).

The proposal in this CP are relevant to all PRA-authorised firms to which the Capital Requirements Directive (CRD) applies.

Implementation

The PRA proposes that the implementation date for the changes resulting from this CP would be Saturday 1 January 2022.

The PRA’s proposals in this consultation would take effect in conjunction with any consequential amendment to the CRR by HM Treasury. 

The PRA has consulted with the Financial Conduct Authority (FCA) on the proposals in this consultation. Responses to this CP will be shared with the FCA where they affect FCA objectives.

Responses and next steps

This consultation closes on Monday 26 July 2021. The PRA invites feedback on the proposals set out in this consultation. Please address any comments or enquiries to CP10_21@bankofengland.co.uk.

The proposal sets out in this CP have been designed in the context of the UK having left the European Union and the transition period having come to an end. Unless otherwise stated, any references to EU or EU derived legislation refer to the version of that legislation which forms part of retained EU law. The PRA will keep the policy under review to assess whether any changes would be required due to changes in the UK regulatory framework.

Consultation Paper 10/21

Consultation end date: 26 July 2021

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