ANNEX XII U.K. TECHNICAL CRITERIA ON DISCLOSURE

PART 2 U.K. General requirements

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.