New securitisation rules weigh on UK banks

An overhaul of prudential requirements hiked capital charges for securitisations by an average of 30% at top UK banks, Risk Quantum analysis shows.

HSBC was the hardest hit, disclosing a $3.4 billion increase to securitisation risk-weighted assets (RWAs) over the first quarter. Capital requirements are calculated as 8% of RWAs, meaning its securitisation charge increased $272 million, 41% up on its end-2019 amount of $664 million.

Lloyds came in a close second. Its securitisation RWAs

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