PRA's tough stance continues

Category: Capital Relief Trades ABS

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Banks have been reviewing the PRA’s significant risk transfer (SRT) consultation, which proposes a full capital charge for excess spread in SRT securitisations and is expected to reduce the capital relief that can be achieved by UK issuers. The paper also introduces uncertainty over the hierarchy of approaches and is another indication that, going forward, the UK regulator’s stance on capital relief trades will remain far stricter, compared to the position of the EBA.

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