PD-1.3.29
Past version: Effective from 01 Apr 2008 to 30 Sep 2010
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a) The total outstanding exposures securitised by the bank and subject to the securitisation framework (broken down into traditional and synthetic), by exposure type. These should be categorised under bands such as credit cards, home equity, etc. Also banks must separately report any securitisation transactions for the year of inception where they do not retain any exposure. Banks should also clearly identify securitisations where they are acting purely as sponsors.
b) Securitisations broken down by exposure type showing:
• The amount of impaired or past due assets securitised; and
• Losses recognised by the bank during the current period.
c) The aggregate amount of securitisation exposures retained or purchased, broken down by exposure type.
d) The aggregate amount of securitisation exposures retained or purchased broken down into a meaningful number of risk weight bands along with the associated (IRB or standardised) capital charges (where applicable). Exposures that have been entirely deducted from capital should be disclosed separately by the type of underlying asset.
e) For securitisations subject to the early amortisation treatment, the following items should be disclosed by underlying asset type:
• The aggregate drawn exposures attributed to the seller's and investors' interests;
• The aggregate (IRB or standardised) capital charges incurred by the bank against its retained shares of the drawn balances and undrawn lines;
• The aggregate (IRB or standardised) capital charges incurred by the bank against the investors' shares of drawn balances and undrawn lines.
f) Summary of current year's securitisation activity, including the amount of exposures securitised (by exposure type) and recognised gain or loss on sale by asset type.
April 2008