PD-1.3.28
All
(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, and including the type of risks assumed and retained with re-securitisation activity. For example, where a bank is particularly active in the market of a senior tranche of re-securitisations of mezzanine tranches related to securitisations of residential mortgages, it should describe the structure of re-securitisations (e.g. senior tranche of mezzanine tranche of residential mortgage); this description should be provided for the main categories of re-securitisation products in which the bank is active;
• The nature of other risks (e.g. liquidity risk) inherent in securitised assets;
• 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
• A description of the processes in place to monitor changes in the credit and the market risk of securitisation exposures (for example how the behaviour of the underlying assets impacts securitisation exposures) including how these processes differ for re-securitisation exposures;
• A description of the bank s policy governing the use of credit risk mitigation to mitigate the risks retained through securitisation and re-securitisation exposures; 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, including the types of securitisation exposures to which each approach applies;
(b) A list of:
• The types of SPVs that the bank, as a sponsor, uses to securitise third-party exposures. The bank must indicate whether it has exposure to these SPVs, either on or off-balance sheet;
• Affiliated entities that the bank manages or advises and that invest in the securitisation exposures that the bank has securitised or in SPVs that the bank sponsors.
(c) 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;
• Methods and key assumptions (including inputs) applied in valuing retained interests, including any changes since the last report and the impact of such changes differentiating between securitisation and re-securitisation exposures; and
• Changes in methods and key assumptions from the previous period and the impact of the changes;
• Treatment of synthetic securitisations if not covered by other accounting policies (e.g. derivatives);
• How exposures intended to be securitised (e.g. in subsidiary, associate or SPV or on balance sheet) are valued and whether they are recorded in the banking book or the trading book; and
• Policies for recognising liabilities on the balance sheet for arrangements that could require the bank to provide financial support for securitised assets;
(d) In the banking book, the names of ECAIs used for securitisations and the type of securitisation exposure for which each agency is used.
(e) Description of the IAA process. The description should include:
• Structure of the internal assessment process and relation between internal assessment and external ratings, including information on ECAIs referenced in PD-1.3.28(d) above;
• Use of internal assessments other than for IAA capital purposes;
• Control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review;
• The exposure type (such as credit cards, home equity , auto and securitisation exposures detailed by underlying type and security type (e.g. RMBS, CMBS, ABS, CDOs) to which the internal assessment process is applied; and
• Stress factors used for determining credit enhancement levels, by exposure type (see above for description of "exposure type").
(f) An explanation of significant changes to any of the quantitative information (e.g. amounts of assets intended to be securitised, movement of assets between banking book and trading book) since the last reporting date.
Amended: July 2015
Amended: January 2012
Amended: April 2011
Amended October 2010
April 2008
Amended: January 2012
Amended: April 2011
Amended October 2010
April 2008