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  • Securitisation — Qualitative Disclosure Requirements

    • PD-1.3.13

      All licensees must disclose the following with respect to securitisation activities:

      (a) The general qualitative disclosure requirement (PD-1.3.9) with respect to securitisation, including a summary of:
      (i) The licensee's objectives in relation to its securitisation activities, including the extent to which these activities transfer credit risk of the underlying securitised exposures away from the licensee to other parties; and
      (ii) The roles played by the licensee in the securitisation process (for example, is the licensee the originator of the underlying risks, is it an investor, is it a servicer, is it a provider of credit enhancement, is it a sponsor of an asset-backed commercial paper facility, is it a liquidity provider, or is it a swap provider?) and an indication of the licensee's involvement in each of them;
      (b) A summary of the licensee's accounting policies for securitisation activities, including:
      (i) Whether transactions are treated as sales or financing;
      (ii) Recognition of gain on sale;
      (iii) Key assumptions for valuing retained interests, including any changes since the last report and the impact of such changes; and
      (iv) Treatment of synthetic securitisations if not covered by other accounting policies (e.g. derivatives); and
      (c) The names of External Credit Assessment Institutions (ECAIs) used for securitisations and the type of securitisation exposure for which each agency is used.
      January 2014