Prudential Regulation Authority Rulebook

1.1

This Part applies to:

1. (1) a CRR firm; and
2. (2) a CRR consolidation entity;

for the purpose of its obligations under Parts Two and Three of the CRR.

1.1A

1. (1) A firm must comply with this Part on an individual basis.
2. (2) A CRR consolidation entity must comply with this Part on a consolidated basis, and for this purpose, references to a firm in this Part (other than in 1.1 and 1.1A) are to a CRR consolidation entity.

1.2

In this Part, the following definitions apply:

Non-performing exposure or NPE

means an exposure that meets any of the conditions set out in Article 47a(3) of the CRR.

non-refundable purchase price discount

means the amount arrived at by subtracting the amount referred to in point (b) from the amount referred to in point (a), where:

1. (a) is the outstanding amount of the underlying exposures of the NPE securitisation at the time those exposures were transferred to the SSPE; and
2. (b) is the sum of the following:
1. (i) the initial sale price of the tranches or, where applicable, parts of the tranches of the NPE securitisation sold to third party investors; and
2. (ii) the outstanding amount, at the time the underlying exposures were transferred to the SSPE, of the tranches or, where applicable, parts of tranches of that securitisation held by the originator.

Where a discount is structured in such a way that it can be refunded in whole or in part to the originator or the original lender, such discount shall not count as a non-refundable purchase price discount.

NPE securitisation

means a securitisation backed by a pool of non-performing exposures the nominal value of which makes up not less than 90% of the entire pool’s nominal value at the time of origination and at any later time where assets are added to or removed from the underlying pool due to replenishment or restructuring.

Qualifying NPE securitisation

means an NPE securitisation that is a traditional securitisation as defined in point (9) of Article 2 of Regulation (EU) 2017/2402 where the non-refundable purchase price discount is at least 50% of the outstanding amount of the underlying exposures at the time they were transferred to the SSPE.

SSPE

has the meaning given by point (2) of Article 2 of Regulation (EU) 2017/2402.