Regulation (EU) No 575/2013 of the European Parliament and of the CouncilDangos y teitl llawn

Article 449 Exposure to securitisation positions

Institutions calculating risk weighted exposure amounts in accordance with Part Three, Title II, Chapter 5 or own funds requirements in accordance with Article 337 or 338 shall disclose the following information, where relevant, separately for their trading and non-trading book:

(a)

a description of the institution's objectives in relation to securitisation activity;

(b)

the nature of other risks including liquidity risk inherent in securitised assets;

(c)

the type of risks in terms of seniority of underlying securitisation positions and in terms of assets underlying those latter securitisation positions assumed and retained with re-securitisation activity;

(d)

the different roles played by the institution in the securitisation process;

(e)

an indication of the extent of the institution's involvement in each of the roles referred to in point (d);

(f)

a description of the processes in place to monitor changes in the credit and market risk of securitisation exposures including, how the behaviour of the underlying assets impacts securitisation exposures and a description of how those processes differ for re-securitisation exposures;

(g)

a description of the institution's policy governing the use of hedging and unfunded protection to mitigate the risks of retained securitisation and re-securitisation exposures, including identification of material hedge counterparties by relevant type of risk exposure;

(h)

the approaches to calculating risk weighted exposure amounts that the institution follows for its securitisation activities including the types of securitisation exposures to which each approach applies;

(i)

the types of SSPE that the institution, as sponsor, uses to securitise third-party exposures including whether and in what form and to what extent the institution has exposures to those SSPEs, separately for on- and off-balance sheet exposures, as well as a list of the entities that the institution manages or advises and that invest in either the securitisation positions that the institution has securitised or in SSPEs that the institution sponsors;

(j)

a summary of the institution's accounting policies for securitisation activities, including:

(i)

whether the transactions are treated as sales or financings;

(ii)

the recognition of gains on sales;

(iii)

the methods, key assumptions, inputs and changes from the previous period for valuing securitisation positions;

(iv)

the treatment of synthetic securitisations if not covered by other accounting policies;

(v)

how assets awaiting securitisation are valued and whether they are recorded in the institution's non-trading book or the trading book;

(vi)

policies for recognising liabilities on the balance sheet for arrangements that could require the institution to provide financial support for securitised assets;

(k)

the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;

(l)

where applicable, a description of the Internal Assessment Approach as set out in Part Three, Title II, Chapter 5, Section 3, including the structure of the internal assessment process and relation between internal assessment and external ratings, the use of internal assessment other than for Internal Assessment Approach capital purposes, the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, by exposure type;

(m)

an explanation of significant changes to any of the quantitative disclosures in points (n) to (q) since the last reporting period;

(n)

separately for the trading and the non-trading book, the following information broken down by exposure type:

(i)

the total amount of outstanding exposures securitised by the institution, separately for traditional and synthetic securitisations and securitisations for which the institution acts only as sponsor;

(ii)

the aggregate amount of on-balance sheet securitisation positions retained or purchased and off-balance sheet securitisation exposures;

(iii)

the aggregate amount of assets awaiting securitisation;

(iv)

for securitised facilities subject to the early amortisation treatment, the aggregate drawn exposures attributed to the originator's and investors' interests respectively, the aggregate capital requirements incurred by the institution against the originator's interest and the aggregate capital requirements incurred by the institution against the investor's shares of drawn balances and undrawn lines;

(v)

the amount of securitisation positions that are deducted from own funds or risk-weighted at 1 250 %;

(vi)

a summary of the securitisation activity of the current period, including the amount of exposures securitised and recognised gain or loss on sale;

(o)

separately for the trading and the non-trading book, the following information:

(i)

the aggregate amount of securitisation positions retained or purchased and the associated capital requirements, broken down between securitisation and re-securitisation exposures and further broken down into a meaningful number of risk-weight or capital requirement bands, for each capital requirements approach used;

(ii)

the aggregate amount of re-securitisation exposures retained or purchased broken down according to the exposure before and after hedging/insurance and the exposure to financial guarantors, broken down according to guarantor credit worthiness categories or guarantor name;

(p)

for the non-trading book and regarding exposures securitised by the institution, the amount of impaired/past due assets securitised and the losses recognised by the institution during the current period, both broken down by exposure type;

(q)

for the trading book, the total outstanding exposures securitised by the institution and subject to a capital requirement for market risk, broken down into traditional/synthetic and by exposure type;

(r)

where applicable, whether the institution has provided support within the terms of Article 248(1) and the impact on own funds.