On 19 April 2021, the PRA issued a statement providing information on capital, notification, disclosure and reporting requirements for loans under the Mortgage Guarantee Scheme (MGS) as set out in relevant UK legislation. The statement covers:
- Firms using the Standardised Approach to credit risk for the underlying mortgage loans.
- Firms using the Internal Ratings Based approach to credit risk for the underlying mortgage loans.
- 5% vertical slice.
- Maturity mismatch.
- Significant Risk Transfer Notification.
- Private Securitisation Notification to the PRA.
- Regulatory reporting.