Table 7 – Securitisation Exposures
Qualitative Disclosures
(a)
A description of the following items with respect to securitisation (including Synthetic Securitisation):
(i)objectives of the Bank in relation to its securitisation, including the extent to which the securitisation transfers Credit Risk of the underlying securitised Exposures away from the Bank to other entities and including the types of risks assumed and retained with Re-securitisation activity;
(ii)the natureof other risks(e.g. Liquidity Risk)inherent in securitised assets
(iii)the various roles played by the Bank in the securitisation process and an indication of the extent of the involvement of the firm in each of them;
(iv)the processes in place to monitor changes in the Credit Risk and Market Risk of securitisation Exposures (e.g., how thebehaviour of the underlying assets impacts securitisation Exposures) including how those processes differ for Re-securitisation exposures.
(v)the Bank’s policy governing the use of Credit Risk mitigation to mitigate the risksretained through securitisation and Re- securitisation Exposures;
(vi)the regulatory capital approaches applied to the securitisation activities of the Bank, including the type of securitisation Exposures to which each approach applies; and
(vii)where a Bank provides Implicit Support to a securitisation, a statement that it has provided non- contractual support and a description of the capital impact of doing so.
(b)
A list of:
(i)the types of SPEs that the Bank, as a Sponsor, uses to securitise third party Exposures, indicating whether thefirm has Exposure to these SPEs, either on or off-balance sheet; and
(ii)entities that the firm manages or advises that invest either in the securitisation Exposures that the firm has securitised or in SPEs that the
(c)
A summary of the accounting policies of the Bank for securitisation, including:
(i)whether the securitisation is treated as sales or financings;
(ii)recognition of gain–on-sale;
(iii)methods and key assumptions (including inputs) for valuingpositions
(iv)changes in methods and key assumptions from the previous period and the impact of such changes;
(v)treatment of Synthetic Securitisation if this is not covered by other accounting policies (e.g. on Derivatives);
(vi)how Exposures intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the B a n k i n g Book or the Trading Book; and
(vii)policies for recognising liabilities on the balancesheet for arrangements
(d)
For Banking Book,the names of recognised external credit rating agencies used for securitisations and the types of securitisation Exposure for which each
(e)
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 period.
(f)
The total amount of outstanding Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor.
(g)
For Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR:
(i)the amount of securitised assets that are classified or past due under the BBR Rules, broken down by exposure type; and
(ii)losses recognised by the firm during the current period broken down by
(h)
The total amount of outstanding exposures intended to be securitised broken down by Exposure type.
(i)
Summary of securitisation of the current period, including the total amount of Exposures securitised by exposure type,and the recognised gain or losson sale
by Exposure type.
(j)
Aggregate amount of:
(i) on-balance sheet securitisation exposures retained or purchased broken down by Exposure type; and
(k)
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. Exposures included as deductions from T1 Capital, credit-enhancing interest only strips and other Exposures included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by Exposure type.
Capital and deductions from T2 Capital must be disclosed separately by Exposure type.
(l)
For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
(i)the aggregate drawn exposures attributed to the interests of the seller and the investor;
(ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and
(iii)the aggregate capital charges incurred by the firm against the shares of
(m)
Aggregate amount of Re-securitisation exposures retained or purchased broken down according to:
(i)Exposures to which CRM is applied and those not applied;and
(ii)Exposures to guarantors broken down according to guarantor credit
Quantitative disclosures: Trading Book
(n)
The total amount of outstanding exposures securitised by the Bank and defined under the securitisation framework set out in chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of
third-party Exposures for which the firm acts only as Sponsor.
(o)
The total amount of outstanding exposures intended to be securitised broken down by exposure type.
(p)
Summary of securitisation of the current period, including the total amount of
exposures securitised by exposure type,and the recognised gain or losson sale by exposure type.
(q)
Aggregate amount of exposures securitised by the Bank for which the firm has retained some exposures and which is subject to the Market Risk approach, broken down in terms of traditional and Synthetic, by Exposure type.
(r)
Aggregate amount of:
(i) on-balance sheet securitisation exposures retained or purchased broken down by exposure type; and
(s)
Aggregate amount of securitisation exposures retained or purchased separately for:
(i)securitisation exposures retained or purchased subject to the comprehensive risk measure for specific Risk; and
(ii)securitisation exposures subject to the securitisation framework for specific Risk broken down into a meaningful number of risk weightbands
(t)
Aggregate amount of:
(i)the RWAs for the securitisation Exposures (Re- securitisation or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands; and
(ii)securitisation exposures that are included as deductions from CET1 Capital, creditenhancing interest-only stripsand other Exposures included as deductions fromAT1 Capital and deductions fromT2 Capital disclosed
separately by Exposure type.
(u)
For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities:
(i)the aggregate drawn Exposures attributed to the interests of the seller and the investor;
(ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and
(iii)the aggregate capital charges incurred by the firm against the shares of
(v)
Aggregate amount of Re-securitisation Exposures retained or purchased broken down according to:
(i)Exposures to which CRM is applied and those not applied;and
(ii)Exposures to guarantors broken down according to guarantor
Qualitative Disclosures | (a) | A description of the following items with respect to securitisation (including Synthetic Securitisation): (i)objectives of the Bank in relation to its securitisation, including the extent to which the securitisation transfers Credit Risk of the underlying securitised Exposures away from the Bank to other entities and including the types of risks assumed and retained with Re-securitisation activity; (ii)the natureof other risks(e.g. Liquidity Risk)inherent in securitised assets (iii)the various roles played by the Bank in the securitisation process and an indication of the extent of the involvement of the firm in each of them; (iv)the processes in place to monitor changes in the Credit Risk and Market Risk of securitisation Exposures (e.g., how thebehaviour of the underlying assets impacts securitisation Exposures) including how those processes differ for Re-securitisation exposures. (v)the Bank’s policy governing the use of Credit Risk mitigation to mitigate the risksretained through securitisation and Re- securitisation Exposures; (vi)the regulatory capital approaches applied to the securitisation activities of the Bank, including the type of securitisation Exposures to which each approach applies; and (vii)where a Bank provides Implicit Support to a securitisation, a statement that it has provided non- contractual support and a description of the capital impact of doing so. |
(b) | A list of: (i)the types of SPEs that the Bank, as a Sponsor, uses to securitise third party Exposures, indicating whether thefirm has Exposure to these SPEs, either on or off-balance sheet; and (ii)entities that the firm manages or advises that invest either in the securitisation Exposures that the firm has securitised or in SPEs that the | |
(c) | A summary of the accounting policies of the Bank for securitisation, including: (i)whether the securitisation is treated as sales or financings; (ii)recognition of gain–on-sale; (iii)methods and key assumptions (including inputs) for valuingpositions | |
(iv)changes in methods and key assumptions from the previous period and the impact of such changes; (v)treatment of Synthetic Securitisation if this is not covered by other accounting policies (e.g. on Derivatives); (vi)how Exposures intended to be securitised (e.g. in the pipeline or warehouse) are valued and whether they are recorded in the B a n k i n g Book or the Trading Book; and (vii)policies for recognising liabilities on the balancesheet for arrangements | ||
(d) | For Banking Book,the names of recognised external credit rating agencies used for securitisations and the types of securitisation Exposure for which each | |
(e) | 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 period. | |
(f) | The total amount of outstanding Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor. | |
(g) | For Exposures securitised by the Bank and defined under the securitisation framework set out in chapter 5 of BBR: (i)the amount of securitised assets that are classified or past due under the BBR Rules, broken down by exposure type; and (ii)losses recognised by the firm during the current period broken down by | |
(h) | The total amount of outstanding exposures intended to be securitised broken down by Exposure type. | |
(i) | Summary of securitisation of the current period, including the total amount of Exposures securitised by exposure type,and the recognised gain or losson sale by Exposure type. | |
(j) | Aggregate amount of: (i) on-balance sheet securitisation exposures retained or purchased broken down by Exposure type; and | |
(k) | 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. Exposures included as deductions from T1 Capital, credit-enhancing interest only strips and other Exposures included as deductions from T1 Capital and deductions from T2 Capital must be disclosed separately by Exposure type. | |
Capital and deductions from T2 Capital must be disclosed separately by Exposure type. | ||
(l) | For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities: (i)the aggregate drawn exposures attributed to the interests of the seller and the investor; (ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and (iii)the aggregate capital charges incurred by the firm against the shares of | |
(m) | Aggregate amount of Re-securitisation exposures retained or purchased broken down according to: (i)Exposures to which CRM is applied and those not applied;and (ii)Exposures to guarantors broken down according to guarantor credit | |
Quantitative disclosures: Trading Book | (n) | The total amount of outstanding exposures securitised by the Bank and defined under the securitisation framework set out in chapter 4, broken down in terms of traditional and Synthetic, and by Exposure type, separately for securitisations of third-party Exposures for which the firm acts only as Sponsor. |
(o) | The total amount of outstanding exposures intended to be securitised broken down by exposure type. | |
(p) | Summary of securitisation of the current period, including the total amount of exposures securitised by exposure type,and the recognised gain or losson sale by exposure type. | |
(q) | Aggregate amount of exposures securitised by the Bank for which the firm has retained some exposures and which is subject to the Market Risk approach, broken down in terms of traditional and Synthetic, by Exposure type. | |
(r) | Aggregate amount of: (i) on-balance sheet securitisation exposures retained or purchased broken down by exposure type; and | |
(s) | Aggregate amount of securitisation exposures retained or purchased separately for: (i)securitisation exposures retained or purchased subject to the comprehensive risk measure for specific Risk; and (ii)securitisation exposures subject to the securitisation framework for specific Risk broken down into a meaningful number of risk weightbands | |
(t) | Aggregate amount of: (i)the RWAs for the securitisation Exposures (Re- securitisation or securitisation), subject to the securitisation framework broken down into a meaningful number of risk weight bands; and (ii)securitisation exposures that are included as deductions from CET1 Capital, creditenhancing interest-only stripsand other Exposures included as deductions fromAT1 Capital and deductions fromT2 Capital disclosed separately by Exposure type. | |
(u) | For securitisation subject to the Early Amortisation treatment, the following items by Exposure type for securitised facilities: (i)the aggregate drawn Exposures attributed to the interests of the seller and the investor; (ii)the aggregate capital charges incurred by the Bank against its retained (i.e. the seller’s) shares of the drawn balances and undrawn lines; and (iii)the aggregate capital charges incurred by the firm against the shares of | |
(v) | Aggregate amount of Re-securitisation Exposures retained or purchased broken down according to: (i)Exposures to which CRM is applied and those not applied;and (ii)Exposures to guarantors broken down according to guarantor |