Bank of Russia sets for the first time macroprudential add-ons for banks’ investments in consumer loan-backed bonds
From 15 October 2026, the Bank of Russia introduces risk-weight add-ons for banks’ investments in bonds collateralised by consumer loans, including car loans, and for credit claims on special-purpose vehicles issuing such securities.1 The Bank of Russia made this decision to limit systemic risks in consumer lending and minimise regulatory arbitrage. The macroprudential add-ons are set at 250% and apply to both originator banks and investor banks. The add-ons will not apply to mortgage-backed bonds.
Banks have increased the number of consumer loan securitisation transactions in recent years. Over the period from early 2023 to July 2026, there were 64 bond issues to securitise consumer loans, which amounted to ₽1.5 trillion (vs eight issues worth ₽51 billion in 2019–2022).
As of 1 August 2026, 58% of bonds issued since the beginning of 2023 were held within the banking system. First, originator banks hold the junior tranche of at least 20%2 that absorbs the primary losses on the pool of loans. Second, investor banks hold 43% of the amount of issued bonds. In certain cases, the vast majority of bonds issued by a bank are held by other banks (the proportion for individual bond issues reached 100% as of 1 August 2026). This may indicate that the cross-bank transactions are structured to provide mutual regulatory capital relief. As the macroprudential add-ons for securitised loans are released by the originator and the investor is not subject to the add-ons, the risk remains within the banking sector.
Currently, the risk profile in consumer lending has become more balanced, with the share of cash loans 30+ days past due within the first three months after their issue decreasing to 0.7% for loans granted in April 2026 (vs 1.6% for loans granted in April 2025). The accumulated macroprudential buffer amounts to 7.4% of the portfolio, which is sufficient to cover potential risks in case household income growth slows. It is nonetheless critical to maintain a capital cushion amid the rebound in consumer lending (the portfolio expanded by 4.1% over January–July 2026 compared to its 3.2% reduction in the same period of 2025).
The macroprudential add-on for an originator’s investment is set given the risk accepted by the originator holding the junior tranche. For banks adhering to the standardised approach,3 the risk weight, including the macroprudential add-on, will be 315%. Since originator banks mostly hold the junior tranche in the amount of at least 20%, capital consumption for the originator given the add-on will be four times lower (compared to loans), which preserves incentives for banks to securitise assets.
As for investor banks’ investments, the macroprudential add-on for them is set at 250% in order to discourage cross-bank investments in bonds issued as part of consumer loan securitisations. The total risk weight taking into account the macroprudential add-on for investor banks will equal 52% (investors normally purchase the senior tranche, which carries substantially lower risk). When securities are sold to non-bank investors (non-bank financial institutions, retail investors, etc.), investors are not subject to the add-ons, which will preserve incentives for banks to securitise consumer loans in general.
If risks increase, the Bank of Russia may raise the add-ons. Possible signs of heightened risks are as follows:
- an unbalanced expansion of the consumer loan portfolio, accompanied by a rise in the amount of securitisation of such assets;
- an increase in banks’ share among investors in bonds issued as part of consumer loan securitisations (cross-bank investments); and
- a significant decline in the macroprudential capital buffer for consumer loans due to loan securitisation.
In 2027, the Bank of Russia plans to amend Bank of Russia Regulation No.
1 The possibility of establishing add-ons for this asset type is provided for by Bank of Russia Ordinance No.
2 The junior tranche in such transactions may be not only in the form of investment in bonds, but also in the form of a loan granted to the special-purpose financial vehicle issuing the bonds.
3 The standardised approach to measuring credit risk for the purpose of calculating capital adequacy ratios.
4 Bank of Russia Regulation No.
5 Bank of Russia Regulation No.
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14.09.2026 14.03.00