PD-1.3.29

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Past version: Effective from 01 Jan 2012 to 30 Jun 2015
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All locally incorporated banks must disclose the following quantitative information with respect to securitisation activities:

(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 by exposure type;

(c) The total amount of outstanding exposures intended to be securitised, by exposure type. The aggregate amount of securitisation exposures retained or purchased, broken down by exposure type;

(d) 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;

(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 and the associated capital charges, broken down between securitisation and re-securitisation exposures and further broken down into a meaningful number of risk weight bands for each regulatory capital approach used (e.g. SA, RBA, IAA and SFA);

• Exposures that have been 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;

(g) 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; and

• The aggregate (IRB or standardised) capital charges incurred by the bank against the investors. shares of drawn balances and undrawn lines; and

(h) 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: January 2012
Amended: April 2011
Amended October 2010
April 2008