Add-on of 250 percent set for consumer loan-backed bonds
The Bank of Russia will introduce a 250 percent macroprudential add-on for bank investments in consumer loan-backed bonds starting October 15, 2026. The measure targets mutual regulatory arbitrage and systemic credit risks in cross-bank securitisation deals.
Curbing circular risk transfers
From October 15, 2026, the central bank applies risk-weight add-ons of 250 percent to bank holdings of bonds backed by consumer loans, including auto loans, and related SPV claims.
Mortgage-backed bonds remain exempt.
Under the standardised approach, the total risk weight reaches 315 percent for originator banks holding the minimum 20 percent junior tranche, and 52 percent for investor banks holding senior tranches.
Securitisation volume expanded to 64 issues worth 1.5 trillion rubles between early 2023 and July 2026, up from eight issues totaling 51 billion rubles in 2019 to 2022.
Domestic banks hold 58 percent of these post-2023 issues, with investor banks accounting for 43 percent.
Rebounding credit and shifting tranches
Cross-bank deals have reached 100 percent in individual bond series, creating mutual capital relief while leaving risks inside the banking system.
Meanwhile, the underlying portfolio grew 4.1 percent between January and July 2026, rebounding from a 3.2 percent contraction in early 2025.
Early delinquency rates for cash loans past due over 30 days dropped to 0.7 percent for April 2026 vintages, down from 1.6 percent a year earlier.
An accumulated macroprudential buffer of 7.4 percent supports the sector ahead of broader regulatory amendments planned for 2027.
Closing an artificial escape hatch
The Bank of Russia decisively plugs a loophole that allowed lenders to cycle retail credit risk across balance sheets.
By exempting non-bank buyers, the measure steers securitisation toward genuine external risk transfer.
This adjustment effectively halts regulatory arbitrage before consumer debt rebounds further.