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Key definition
Securitisation definition

What does Securitisation mean? Securitisation is a financing technique that converts non‑tradable, income‑producing assets into tradable securities by pooling exposures and issuing notes backed by their cash flows. In practice, an originator sells receivables (for example, mortgages, consumer loans or trade receivables) to a bankruptcy‑remote special purpose vehicle (SPV/SSPE), which issues asset‑backed securities, usually in tranches (senior, mezzanine and junior). Alternatively, in a synthetic securitisation the credit risk is transferred by credit protection while assets remain on the originator’s balance sheet. Key legal features include: achieving a true sale or effective risk transfer; perfection/notification of assignments (assignation in Scotland); security and trust arrangements; servicing...

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UK securitisation capital rules: UK CRR and Solvency II treatment, SRT for traditional and synthetic transactions, RWEA methods, STS criteria, trading book charges, and PRA developments

Practice notes
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The UK securitisation framework

From IP completion day (30 December 2020), the UK applies the following:

  • Assimilated Regulation (EU) 2017/2402 (the UK Securitisation Regulation)
  • Assimilated Regulation (EU) 2017/2401 (the UK CRR Amendment Regulation)
  • Assimilated Regulation (EU) 575/2013 (UK CRR)
  • Commission Delegated Assimilated Regulation (EU) 2018/1221 (the UK solvency ii Delegated Act Amendment Regulation)
  • Commission Delegated Assimilated Regulation (EU) 2015/35 (the UK Solvency II Delegated Act)

The UK government has undertaken a significant reform of the securitisation regime. For more on the proposed legal and regulatory framework for UK securitisations, see Practice Note: The new UK securitisation regime.

The PRA’s supervisory statement SS10/18—Securitisation: General requirements and capital framework, updated by the PRA’s policy statement PS7/24—Securitisation: General requirements and also effective from 1 November 2024, sets out the PRA’s securitisation capital framework.

Final PRA rules arising from the Solvency II review are expected to come into effect from 31 December 2024.

A separate regulatory capital regime applies to non-systemically important UK investment firms. For information, see Practice Note: The UK investment firms prudential regime (IFPR).

On 31 October 2023, the PRA issued...

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Web page updated on 22/05/2026

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