PD-1.3.29A
(a) The total amount of outstanding exposures securitised by the bank and defined under the securitisation framework (broken down into traditional/synthetic) by exposure type, separately for securitisations of third-party exposures for which the bank acts only as sponsor;
(b) The total amount of outstanding exposures intended to be securitised broken down by exposure type;
(c) Summary of current period's securitisation activity, including the total amount of exposures securitised (by exposure type), and recognised gain or loss on sale by exposure type;
(d) Aggregate amount of exposures securitised by the bank for which the bank has retained some exposures and which is subject to the market risk approach (broken down into traditional/synthetic), by exposure type;
(e) Aggregate amount of:
• On-balance sheet securitisation exposures retained or purchased broken down by exposure type; and
• Off-balance sheet securitisation exposures broken down by exposure type;
(f) Aggregate amount of securitisation exposures retained or purchased separately for:
• Securitisation exposures retained or purchased subject to Comprehensive Risk Measure for specific risk; and
• Securitisation exposures subject to the securitisation framework for specific risk broken down into a meaningful number of risk weight bands for each regulatory capital approach (e.g. SA, RBA, SFA and concentration ratio approach).
(g) Aggregate amount of:
• The capital requirements for the securitisation exposures subject to Comprehensive Risk Measure, broken down into appropriate risk classifications (e.g. default risk, migration risk and correlation risk).
• The capital requirements for the securitisation exposures (re-securitisation or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands for each regulatory capital approach (e.g. SA, RBA, SFA and concentration ratio approach).
• Securitisation exposures that are deducted entirely from Tier 1 capital, credit enhancing I/Os deducted from total capital, and other exposures deducted from total capital should be disclosed separately by exposure type.
(h) For securitisations subject to the early amortisation treatment, the following items by exposure type for securitised facilities:
• The aggregate drawn exposures attributed to the seller's and investors' interests;
• The aggregate capital charges incurred by the bank against its retained (i.e. the seller's) shares of the drawn balances and undrawn lines; and
• The aggregate capital charges incurred by the bank against the investor's shares of drawn balances and undrawn lines.
(i) Aggregate amount of re-securitisation exposures retained or purchased broken down according to:
• Exposures to which credit risk mitigation is applied and those not applied; and
• Exposures to guarantors broken down according to guarantor credit worthiness categories or guarantor name.
Amended: July 2015
Added: January 2012
