On 3 June 2021, the PRA published Consultation Paper 10/21 ‘Implementation of Basel standards: Non-performing loan securitisations’ (CP10/21).

In CP10/21 the PRA sets out proposed rules in respect of the implementation of updated prudential standards agreed by the Basel Committee on Banking Supervision for non-performing loan securitisations. It sets out how the PRA proposes to define non-performing exposure securitisations, and also proposes changes to the associated capital treatment. The proposals are relevant to all PRA-authorised firms to which the Capital Requirements Directive IV applies.

The proposals in CP10/21 would result in the addition of a new Non-Performing Exposure Securitisation Part of the PRA Rulebook, and amendments to Supervisory Statement 10/18 ‘Securitisation: General requirements and capital framework’.

The deadline for comments on CP10/21 is 26 July 2021.

The PRA proposes that the implementation date for the changes resulting from CP10/21 would be 1 January 2022.