{
  "url": "https://openlegislation.uk/securitisation-regulations-2024/regulation-32C",
  "json_url": "https://openlegislation.uk/securitisation-regulations-2024/regulation-32C.json",
  "legislation": "uksi/2024/102",
  "legislation_title": "The Securitisation Regulations 2024",
  "legislation_url": "https://openlegislation.uk/securitisation-regulations-2024",
  "path": "regulation/32C",
  "kind": "regulation",
  "number": "32C",
  "heading": "Due-diligence requirements for occupational pension schemes: ongoing requirements",
  "text": "(1) Where the trustees or managers of an occupational pension scheme hold a securitisation position in relation to which they are not the originator, sponsor or original lender, the trustees or managers must at least establish appropriate written procedures that are proportionate to the risk profile of the securitisation position and, where relevant, to their trading and non-trading book, in order to monitor on an ongoing basis—\n(a) compliance with regulation 32B in relation to matters arising while the securitisation position is held, and\n(b) the performance of the securitisation position and of the underlying exposures.\n(2) The written procedures referred to in paragraph (1) must, where relevant to the securitisation and the underlying exposures, include—\n(a) monitoring of the exposure type,\n(b) the percentage of loans more than 30, 60 and 90 days past due,\n(c) default rates,\n(d) prepayment rates,\n(e) loans in foreclosure,\n(f) recovery rates,\n(g) repurchases,\n(h) loan modifications,\n(i) payment holidays,\n(j) collateral type and occupancy, and\n(k) frequency distribution of credit scores or other measures of credit worthiness across underlying exposures, industry and geographical diversification, frequency distribution of loan to value ratios with band widths that facilitate adequate sensitivity analysis.\n(3) Where the underlying exposures are themselves securitisation positions, in a case where this is not prohibited in relation to the originator, sponsor or original lender by applicable FCA or PRA rules, the trustees or managers must also monitor the exposures underlying those positions.\n(4) The trustees or managers of an occupational pension scheme who are not the originator, sponsor or original lender holding a securitisation position must at least—\n(a) in the case of a securitisation other than a fully-supported ABCP programme, regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures or, in the absence of sufficient data on cash flows and collateral values, stress tests on loss assumptions, having regard to the nature, scale and complexity of the risk of the securitisation position;\n(b) in the case of a fully-supported ABCP programme, regularly perform stress tests on the solvency and liquidity of the sponsor;\n(c) ensure internal reporting to the trustees or managers so that they are aware of the material risks arising from the securitisation position and so that those risks are adequately managed;\n(d) be able to demonstrate to the Pensions Regulator, upon request, that they have a comprehensive and thorough understanding of the securitisation position and its underlying exposures and that they have implemented written policies and procedures for the risk management of the securitisation position and for maintaining records of the verifications and due diligence in accordance with regulation 32B and of any other relevant information; and\n(e) in the case of exposures to a fully-supported ABCP programme, be able to demonstrate to the Pensions Regulator, upon request, that they have a comprehensive and thorough understanding of the credit quality of the sponsor and of the terms of the liquidity facility provided.",
  "extent": null,
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "Regs. 32A-32D inserted (1.11.2024) by The Securitisation (Amendment) Regulations 2024 (S.I. 2024/705), regs. 1(3), 2(7)"
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/uksi/2024/102/regulation/32C",
    "retrieved_at": "2026-10-28T21:35:26.902265+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}