This chapter describes how to calculate capital requirements for exposures to securitisations of non-performing loans.

Version effective as of 01 Jan 2023

First version in the format of the consolidated framework, introduced to give effect to the treatment of exposures to securitisations of non-performing loans published on 26 November 2020.

45.1 A non-performing loan securitisation (NPL securitisation) means a securitisation where the underlying pool's variable W, as defined in CRE41.6, is equal to or higher than 90% at the origination cut-off date and at any subsequent date on which assets are added to or removed from the underlying pool due to replenishment, restructuring or any other relevant reason. The underlying pool of exposures of an NPL securitisation may only comprise loans, loan-equivalent financial instruments or tradable instruments used for the sole purpose of loan subparticipation as referred to in CRE40.24(2). Loan-equivalent financial instruments include, for example, bonds not listed on a trading venue. For the avoidance of doubt, an NPL securitisation may not be backed by exposures to other securitisations.

45.2 National supervisors may provide for a stricter definition of NPL securitisations than that laid out in CRE45.1. For these purposes, national supervisors may:

(1) raise the minimum level of W to a level higher than 90%; or