On 21 October 2021, the PRA published Policy Statement 24/21 ‘Implementation of Basel standards: Non-performing loan securitisations’ (PS24/21).

In PS24/21 the PRA provides feedback to the responses received to Consultation Paper 10/21 ‘Implementation of Basel standards: Non-performing loan securitisations’ and sets out its final policy, as follows:

  • A new Non-Performing Exposures Securitisation Part of the PRA Rulebook (Appendix 1 of PS24/21).
  • An updated version of Supervisory Statement 10/18 ‘Securitisation: General requirements and capital framework’ (SS10/18) (Appendix 2 of PS24/21).

The revised version of SS10/18 and the rules for calculating capital requirements on exposures to non-performing exposure (NPE) securitisations, will take effect from 1 January 2022. This will take effect in conjunction with any consequential amendments to the onshored Capital Requirements Regulation by HM Treasury.

The PRA will keep this policy under review and in this regard welcomes additional submission of evidence from firms regarding NPE securitisations.