MOSCOW (Realist English). From October 15, the Bank of Russia is introducing add-ons to risk coefficients for banks’ investments in bonds backed by cash receipts from consumer loans, including auto loans. The corresponding decision was published in the regulator’s press release.
The macroprudential add-ons are set at 250% and will apply to both originating banks and investor banks. They do not apply to mortgage bonds.
Reasons: Securitization Boom and Cross-Schemes
According to the CBR, between the beginning of 2023 and July 2026, 64 issues of consumer loan securitization bonds were issued worth RUB 1.5 trillion. For comparison, in 2019–2022 there were only 8 issues worth RUB 51 billion.
The key problem identified by the regulator: as of August 1, 2026, 58% of bonds issued since the beginning of 2023 still remain within the banking system. Originating banks hold a junior tranche of at least 20%, while investor banks hold 43% of the volume of issued securities. In some cases, the share of bonds held by other banks reaches 100%.
“Macroprudential add-ons on securitized loans were released by the originator and not formed by the investor, while the risk still remained inside the banking sector,” the CBR statement says.
According to the regulator, this may reflect cross-deals aimed at mutual capital relief: banks buy each other’s issues, formally reducing the burden on capital but in fact not transferring risks outside the sector.
Mechanics: How the Add-Ons Work
For originating banks using the standardized approach, the risk coefficient including the macroprudential add-on will be 315%. However, since originators retain the junior tranche (at least 20%), capital consumption for them will be 4 times lower compared to loans — this preserves incentives for asset securitization.
For investor banks, the final risk coefficient including the add-on will be 52% — investors, as a rule, purchase the senior tranche with lower risk.
An important exception: when securities are sold to non-banking investors (non-credit financial organizations, retail investors), the add-ons do not apply, which preserves the general incentives for securitization of consumer loans.
Market Is Recovering, Loan Quality Is Balanced
The decision was made amid a recovery in the consumer lending market: in January–July 2026, the portfolio grew by 4.1%, compared with a decline of 3.2% in the same period of 2025.
At the same time, loan quality has balanced out: the share of cash loans with overdue payments of more than 30 days at the third month from issuance fell to 0.7% for April 2026 disbursements (versus 1.6% for April 2025 disbursements).
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 citizens’ income growth; however, amid the market recovery, it is important to maintain a capital reserve, the regulator believes.
The CBR does not rule out raising the add-ons if risks continue to grow. The regulator names unbalanced growth of the consumer loan portfolio, an increase in the share of banks among investors in such bonds, and a significant reduction of the macroprudential buffer due to securitization as signs of growing risks.
In 2027, the Bank of Russia plans to amend regulations for a more detailed accounting of securitization risks, after which the add-ons may be adjusted.
