Directive 2006/48/EC of the European Parliament and of the council (repealed)Show full title

14. The credit institutions calculating risk weighted exposure amounts in accordance with Articles 94 to 101 shall disclose the following information: U.K.

(a)

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

(b)

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

(c)

an indication of the extent of the credit institution's involvement in each of them;

(d)

the approaches to calculating risk weighted exposure amounts that the credit institution follows for its securitisation activities;

(e)

a summary of the credit 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 key assumptions for valuing retained interests; and

(iv)

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

(f)

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

(g)

the total outstanding amount of exposures securitised by the credit institution and subject to the securitisation framework (broken down into traditional and synthetic), by exposure type;

(h)

for exposures securitised by the credit institution and subject to the securitisation framework, a breakdown by exposure type of the amount of impaired and past due exposures securitised, and the losses recognised by the credit institution during the period;

(i)

the aggregate amount of securitisation positions retained or purchased, broken down by exposure type;

(j)

the aggregate amount of securitisation positions retained or purchased, broken down into a meaningful number of risk weight bands. Positions that have been risk weighted at 1 250 % or deducted shall be disclosed separately;

(k)

the aggregate outstanding amount of securitised revolving exposures segregated by the originator's interest and the investors' interest; and

(l)

a summary of the securitisation activity in the period, including the amount of exposures securitised (by exposure type), and recognised gain or loss on sale by exposure type.