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UK Finance has responded, jointly with AFME, to the PRA's consultation paper on the securitisation of non-performing exposures (NPE). We welcomed the PRA's acknowledgment that a like for like transposition of the Basel rules on NPEs might not be helpful and suggested that both the fixed risk weight of 100 per cent for qualifying senior tranches and the 100 per cent risk-weight floor for exposures to NPE securitisations are insufficiently risk-sensitive and should be re-examined before applying them in the UK. We also questioned the need for a senior manager to attest that the NPE securitsations are not being used to ?game? capital requirements.
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27.07.21
04.08.23
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