For those who, seeing the European Commission's consultation deadline of 4th December, were fearful that they may for once have no excuse this Christmas to slip away from burdensome family commitments, the United Kingdom's Prudential Regulation Authority has ridden to the rescue. They published yesterday their own consultation on CRR amendments: deadline, January 15.
A few things to note. First, the consultation is on capital requirements generally and so goes beyond only securitisation issues. Secondly, securitisation does feature prominently and with some meaningful proposals including a new "formula" based p factor and a proposed nod to unfunded SRT synthetics - but not synthetic STS though. Thirdly, this consultation is a consultation on the PRA's specific proposals for rule changes. In other words, this is not an invitation to market participants and stakeholders to muse on what could be done but a request for probably final comments on actual policy.
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