The Bank of Russia for the first time established macroprudential allowances for banks’ investments in bonds secured by consumer loan receipts
From October 15, 2026, the Bank of Russia establishes premiums to risk ratios for banks’ investments in bonds secured by cash flows from consumer loans, including from car loans, as well as credit requirements for specialized companies issuing such securities 1. The decision was made to limit systemic risks of consumer lending and minimize regulatory arbitrage. Macroprudential allowances are set at 250% and will be applied to both originating and investor banks. There are no allowances for mortgage bonds.
In recent years, banks have stepped up consumer loan securitization deals. For the period from the beginning of 2023 to July 2026, 64 issues of securitization bonds of consumer loans worth 1.5 trillion rubles were issued (for 2019-2022 – 8 issues worth 51 billion rubles).
As of August 1, 2026, 58% of bonds issued since the beginning of 2023 still remain in the contour of the banking system. First of all, the original banks hold a junior tranche of at least 20%2, which absorbs the main losses on the loan pool. In addition, investment banks hold 43% of the volume of issued bonds. In some cases, the vast majority of bonds issued by the bank are held by other banks (for some issues, the share as of August 1, 2026 reaches 100%). This may reflect cross-transactions aimed at reciprocal offloading of capital. Macroprudential surcharges on securitized loans were dissolved by the originator and not formed by the investor, while risk remained within the banking sector.
At present, the quality of consumer loans has been balanced – the share of cash loans with arrears of more than 30 days in the third month from the date of issue decreased to 0.7% on issues of April 2026 (1.6% on issues of April 2025). The accumulated macroprudential buffer of 7.4% as of August 1, 2026 is sufficient to cover possible risks in the event of a slowdown in income growth. However, against the backdrop of the recovery of the consumer lending market (in January-July 2026, the portfolio grew by 4.1% compared to a decrease of 3.2% for the same period in 2025), it is important to maintain a capital reserve.
The macroprudential allowance for the originator’s investments is established taking into account the risk assumed by the originator holding the junior tranche. For banks on a standardized approach,3 the risk ratio taking into account the macroprudential surcharge will be 315%. Taking into account the fact that the originating banks mainly hold the junior tranche at least 20%, the capital consumption for the originator, taking into account the surcharge, will be 4 times lower (compared to loans), which retains incentives for securitization of assets.
Investor banks also have a macroprudential premium (250%) to discourage cross-investment of banks in bonds issued in the securitization of consumer loans. The total risk ratio, taking into account the macroprudential premium for investor banks, will be 52% (investors, as a rule, purchase a senior tranche, characterized by much lower risk). When selling securities to non-bank investors (non-credit financial institutions, retail investors, etc.), premiums are not applied by investors, which will preserve incentives for securitization of consumer loans in general.
In case of increasing risks, the Bank of Russia may increase the value of allowances. This may be indicated by the following signs:
In 2027, the Bank of Russia plans to amend Bank of Russia Regulation No. 647-P4 dated July 4, 2018 and Bank of Russia Regulation No. 824-P5 dated September 18, 2023 to take into account the risks of securitization in more detail. The macroprudential allowances can then be adjusted if necessary.
1 The possibility of establishing allowances to this asset class is established by Bank of Russia Ordinance No. 7375-U of July 23, 2026 “On Amendments to Bank of Russia Ordinance No. 6960-U of December 16, 2024”, which entered into force on September 4, 2026.
2 The junior tranche for such transactions can be presented not only in the form of investments in bonds, but also in the form of a SFO loan issuing bonds.
3 A standardized approach to determining the amount of credit risk for calculating capital adequacy ratios.
4 Regulation of the Bank of Russia of July 4, 2018 No. 647-P “On the determination by banks of the amount of credit risk on transactions, the result of which is the raising of funds through the issuance of debt securities, the fulfillment of obligations for each of which is provided in full or in part by cash receipts from assets transferred to security”.
5 Regulation of the Bank of Russia of September 18, 2023 No. 824-P "On the procedure for calculating the amount of credit risk by banks using banking risk management methods and models for quantitative risk assessment for transactions, the result of which is to raise funds through the issuance of debt securities, the fulfillment of obligations for each of which is provided in full or in part by cash receipts from assets transferred to security.".
