PD-1.3.28
Past version: Effective from 01 Apr 2008 to 30 Sep 2010
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All locally incorporated banks must disclose the following with respect to securitisation activities:
a) The general qualitative disclosure requirement (PD-1.3.21) with respect to securitisation (including synthetics), including a discussion of:
• The bank'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 bank to other parties;
• The roles played by the bank in the securitisation process (for example, is the bank 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 bank's involvement in each of them; and
• The regulatory capital approaches (e.g. Ratings Based Approach, Internal Assessment Approach or Supervisory Formula Approach) that the bank follows in its securitisation activities.
b) A summary of the bank's accounting policies for securitisation activities, including:
• Whether transactions are treated as sales or financings;
• Recognition of gain on sale;
• Key assumptions for valuing retained interests, including any changes since the last report and the impact of such changes; and
• Treatment of synthetic securitisations if not covered by other accounting policies (e.g. derivatives).
c) The names of ECAIs used for securitisations and the type of securitisation exposure for which each agency is used.
April 2008