| (vi) | securitisation or resecuritisation; |
A bank that adopted the standardised approach or IRB approach for the measurement of the bank's exposure to risk arising from a traditional or synthetic securitisation scheme or resecuritisation exposure shall disclose to the public the qualitative and quantitative information specified below, provided that, where relevant or specified below or directed in writing by the Registrar, the bank shall separately disclosure qualitative and quantitative information related to the securitisation and resecuritisation positions held in the bank's banking book and its trading book.
| (A) | Qualitative information |
A bank—
| (i) | shall in addition to the information specified in paragraph (d) above, disclose to the public sufficiently detailed information in respect of— |
| (aa) | the bank's objectives in respect of securitisation schemes or resecuritisation exposure, including the extent to which the bank successfully achieves a transfer of credit risk to external entities or persons; |
| (bb) | the types of risk assumed or retained by the bank in respect of securitisation or resecuritisation exposure. |
For example, when a bank actively participates in the market of the senior tranche of resecuritisation exposures of mezzanine tranches related to securitisations of residential mortgages, the bank shall describe the structure of the relevant resecuritisations, such as senior tranche of mezzanine tranche of residential mortgages, which information shall be provided for the main categories of resecuritisation products in which the bank is active.
| (cc) | the nature of other risks inherent in the bank's securitised or resecuritised assets or exposure, such as liquidity risk or reputational risk; |
| (dd) | the various role(s) played by the bank in respect of a securitisation scheme or resecuritisation exposure, with an indication of the extent of the bank's involvement in each of the said roles played. For example, the role of— |
| (iv) | a provider of credit enhancement; |
| (v) | a sponsor of an asset-backed commercial paper facility; |
| (vi) | a liquidity provider; |
| (ee) | the processes in place to monitor changes in the credit and market risk exposures related to or arising from the bank's relevant securitisation or resecuritisation exposures, including how the aforesaid processes differ for resecuritisation exposures. |
This includes, for example, how the behaviour of the underlying assets impacts the bank's securitisation exposures.
| (ff) | the bank's policy governing the use of credit risk mitigation to mitigate the risks retained through securitisation or resecuritisation exposures; |
| (gg) | the approach adopted by the bank in respect of its exposures arising from securitisation or resecuritisation activities, including the type of securitisation or resecuritisation exposures to which the said approach applies, that is, whether the bank, for example, adopted the standardised approach, the ratings-based approach, the internal assessment approach or the standard formula approach. |
| (ii) | shall provide a list of— |
| (aa) | the names and types of special-purpose institutions in respect of which the bank acts as a sponsor to securitise third-party exposures, and indicate whether the bank has exposure to the said special-purpose institutions, either on-balance sheet or off-balance sheet; |
| (i) | that the bank manages or advises; and |
| (ii) | that invest either in the securitisation exposures securitised by the bank or in special-purpose institutions in respect of which the bank acts as a sponsor; |
| (iii) | shall provide summary information in respect of the bank's accounting policies relating to its securitisation or resecuritisation activities, including— |
| (aa) | whether the said securitisation or resecuritisation transactions are treated as sales or financing; |
| (bb) | information relating to the recognition of gains in respect of sales; |
| (cc) | key assumptions made and methods used by the bank when the bank values retained or purchased interests or positions, including any significant changes to the aforesaid, made by the bank since the previous reporting period, and the impact of the said changes, provided that, when relevant, the bank shall duly distinguish between the valuation of securitised exposures and resecuritised exposures; |
| (dd) | the manner in which the bank treats exposures that arise from a synthetic securitisation scheme or resecuritisation structure, unless such information is disclosed as part of other accounting policies, such as policies in respect of derivative instruments; |
| (ee) | the manner in which the bank values exposures intended to be securitised or resecuritised, such as exposures related to the bank's pipeline or warehouse activities, and whether the said exposures are included in the bank's banking book or trading book; |
| (ff) | the bank's policies for recognising on-balance-sheet liabilities related to or arising from arrangements, contracts or agreements that could require the bank to provide financial support for securitised or resecuritised assets or exposures. |
| (iv) | shall disclose the names of external credit assessment institutions used by the bank in respect of securitisation or resecuritisation transactions, and the types of securitisation or resecuritisation exposure for which a particular agency is used; |
| (v) | shall in relevant cases provide a description of its process related to the internal assessment approach, including— |
| (aa) | the structure of the internal assessment process and the relation between internal assessment and external ratings, including the information specified in sub-item (iv) above related to the use of external credit assessment institutions; |
| (bb) | the use of the bank's internal assessment approach, other than for the purpose of calculating the bank's required capital and reserve funds relating to securitisation or resecuritisation exposure; |
| (cc) | the control mechanisms in place for the internal assessment process, including matters related to independence, accountability and internal assessment process review; |
| (dd) | the exposure type to which the internal assessment process is applied, such as, for example, credit cards, mortgage loans and instalment sales and leasing; |
| (ee) | the stress factors used for determining credit enhancement levels, which information shall be disclosed by exposure type. |
Provided that the bank shall disclose to the public sufficiently detailed explanatory information when significant changes to any of the aforesaid qualitative or quantitative information occurred since the previous reporting period.
| (B) | Quantitative information |
A bank—
| (i) | shall in respect of exposures securitised or resecuritised, which exposures are held in the bank's banking book and are subject to the exemption notice relating to securitisation schemes, based on the exposure or asset type, that is, for example, exposures relating to credit cards, residential mortgage loans or vehicle finance, disclose to the public— |
| (aa) | the total outstanding amount in respect of the exposures securitised or resecuritised by the bank, provided that the bank— |
| (i) | shall duly distinguish between exposures relating to a traditional securitisation scheme and exposures related to a synthetic securitisation scheme; |
| (ii) | shall separately disclose the required information related to the securitisation of third-party exposures in respect of which the bank acts only as a sponsor; |
| (bb) | the aggregate amount in respect of— |
| (i) | impaired or past due assets securitised; |
| (ii) | losses recognised by the bank during the current reporting period, including, for example, amounts written off or provisions raised for potential loss in respect of exposures that remained on the bank's balance sheet or credit-enhancing interest-only strips, that is, an on-balance sheet asset that is based on the valuation of future cash flows related to margin income, which asset is subordinated, and other residual interests; |
| (iii) | exposures retained or purchased, including, for example, commercial paper issued by the relevant special-purpose institution, liquidity facilities, credit enhancement such as interest-only strips, cash collateral accounts and other subordinated instruments; |
| (iv) | on-balance-sheet securitisation or resecuritisation exposure retained or purchased; |
| (v) | off-balance-sheet securitisation or resecuritisation exposure; |
| (vi) | exposures intended to be securitised or resecuritised within the six-month period following the disclosure date; |
| (cc) | summary information in respect of securitisation or resecuritisation transactions concluded during the current reporting period, including the relevant aggregate amount of exposures securitised or resecuritised, and any related recognised gains or losses on sale; |
| (ii) | shall in respect of exposures held in the bank's banking book separately disclose information relating to— |
| (aa) | a securitisation or resecuritisation transaction in respect of which the bank acted as an originator but in respect of which the bank did not retain any exposure, provided that the said information shall be reported only in respect of the reporting period during which the securitisation or resecuritisation transaction was concluded; |
| (bb) | transactions in respect of which the bank acts only as a sponsor; |
| (iii) | that adopted the IRB approach for the measurement of the bank's exposure to risk relating to assets or exposures securitised or resecuritised, held in the bank's banking book— |
| (aa) | shall in addition to the aggregate amount of exposures retained or purchased disclose to the public the associated IRB capital requirement in respect of the said exposure(s), provided that the bank— |
| (i) | shall break the required information down into a meaningful number of risk categories in respect of each relevant approach, that is, for example, the ratings-based approach, internal assessment approach or the standard formula approach; |
| (ii) | shall, based on the underlying asset or exposure type, separately disclose information relating to exposures deducted from tier 1 capital and reserve funds and from tier 2 capital and reserve funds. |
| (bb) | based on the underlying asset or exposure type, shall in the case of securitisation or resecuritisation exposures that are subject to an early amortisation mechanism, disclose to the public the aggregate amount relating to— |
| (i) | drawn exposures attributed to the seller's and the investors' interests; |
| (ii) | the capital and reserve funds required to be maintained by the bank in respect of the bank's retained share of the drawn balances and undrawn commitments, that is, the seller's interest; |
| (iii) | the capital and reserve funds required to be maintained by the bank in respect of the investor's shares of drawn amounts and undrawn commitments. |
Provided that the bank shall duly distinguish between assets or exposures securitised and assets or exposures resecuritised.
| (iv) | that adopted the standardised approach for the measurement of the bank's exposure to risk relating to assets or exposures securitised or resecuritised, held in the bank's banking book— |
| (aa) | shall in addition to the aggregate amount of exposures retained or purchased disclose to the public the associated capital requirement relating to the said exposure(s), provided that the bank— |
| (i) | shall break the required information down into a meaningful number of risk categories; |
| (ii) | shall, based on the underlying asset or exposure type, separately disclose information relating to exposures deducted from tier 1 capital and reserve funds and from tier 2 capital and reserve funds. |
| (bb) | based on the underlying asset or exposure type, shall in the case of securitisation or resecuritisation exposures that are subject to an early amortisation mechanism, disclose to the public the aggregate amount relating to— |
| (i) | drawn exposures attributed to the seller's and the investors' interests; |
| (ii) | the capital and reserve funds required to be maintained by the bank in respect of the bank's retained share of the drawn balances and undrawn commitments, that is, the seller's interest; |
| (iii) | the capital and reserve funds required to be maintained by the bank in respect of the investor's shares of drawn amounts and undrawn commitments. |
Provided that the bank shall duly distinguish between assets or exposures securitised and assets or exposures resecuritised.
| (v) | shall in respect of exposures securitised or resecuritised, which exposures are held in the bank's trading book and are subject to the exemption notice relating to securitisation schemes, based on the exposure or asset type, that is, for example, exposures relating to credit cards, residential mortgage loans or vehicle finance, disclose to the public— |
| (aa) | the total outstanding amount in respect of the exposures securitised or resecuritised by the bank, provided that the bank— |
| (i) | shall duly distinguish between exposures relating to a traditional securitisation scheme and a synthetic securitisation scheme; |
| (ii) | shall separately disclose the relevant required information related to the securitisation of third-party exposures in respect of which the bank acts only as a sponsor; |
| (bb) | the aggregate amount in respect of— |
| (i) | exposures securitised or resecuritised and in respect of which the bank retained some exposures and which exposures are subject to the relevant requirements specified in regulation 28; |
| (ii) | on-balance-sheet securitisation or resecuritisation exposure retained or purchased; |
| (iii) | off-balance-sheet securitisation or resecuritisation exposure; |
| (iv) | exposures intended to be securitised or resecuritised within the six-month period following the disclosure date. |
Provided that in respect of exposures retained or purchased, the bank shall separately disclose the relevant required information in respect of exposures subject to the comprehensive risk measurement approach for specific risk;
| (cc) | summary information in respect of securitisation or resecuritisation transactions concluded during the current reporting period, including the relevant aggregate amount of exposures securitised or resecuritised, and any related recognised gains or losses on sale; |
| (vi) | shall in respect of securitisation or resecuritisation exposures held in the bank's trading book, which exposures are subject to the comprehensive risk measurement approach, disclose to the public the relevant required amount of capital and reserve funds, broken down into the relevant risk classifications, that is, for example, default risk, migration risk and correlation risk; |
| (vii) | shall in respect of securitisation or resecuritisation exposures retained or purchased, which exposures are held in the bank's trading book, disclose to the public the relevant aggregate amount of exposures held and the relevant required amount of capital and reserve funds, broken down into a meaningful number of risk categories for each relevant approach, that is, for example, the standardised approach, the ratings-based approach or the standard formula approach; |
| (viii) | shall in respect of securitisation or resecuritisation exposures held in the bank's trading book, based on the exposure or asset type, separately disclose to the public the relevant aggregate amounts of exposures deducted from tier 1 capital and reserve funds and from tier 2 capital and reserve funds; |
| (ix) | shall in the case of securitisation or resecuritisation exposures held in the bank's trading book, which exposures are subject to an early amortisation mechanism, based on the relevant asset or exposure type, disclose to the public the aggregate amount relating to— |
| (aa) | drawn exposures attributed to the seller's and the investors' interests; |
| (bb) | the capital and reserve funds required to be maintained by the bank in respect of the bank's retained share of the drawn balances and undrawn commitments, that is, the seller's interest; |
| (cc) | the capital and reserve funds required to be maintained by the bank in respect of the investor's shares of drawn amounts and undrawn commitments; |
| (x) | shall in the case of resecuritisation exposures retained or purchased, irrespective whether the position is held in the bank's banking book or trading book, separately disclose to the public the relevant aggregate amount of— |
| (aa) | exposures in respect of which the bank obtained credit protection to mitigate its exposure to risk; |
| (bb) | exposures in respect of which the bank did not obtain any credit protection to mitigate its exposure to risk; |
| (cc) | exposure to guarantors, broken down according to the relevant types of guarantors. |
Provided that the bank shall duly distinguish between exposures held in the bank's banking book and its trading book.
