Chapter:	155M	Title:	Banking (Disclosure) Rules	Gazette Number:	E.R. 1 of 2012
Section:	69	Heading:	Asset securitization	Version Date:	09/02/2012

(1) Subject to subsection (1A), an authorized institution must disclose, in respect of securitization transactions to which it is a party and in respect of securitization exposures assumed by it¡X

(a) the roles played by the institution in the securitization transactions (including as investor, servicer, provider of credit enhancement, sponsor, liquidity provider, swap provider or protection provider) and the extent of the institution¡¦s involvement in each of them;
(b) a summary of the institution¡¦s accounting policies for securitization transactions, including the methods and key assumptions applied for valuing the securitization exposures assumed by the institution (including the methods and key assumptions applied for valuing the re-securitization exposures assumed by the institution if these differ from those applied for valuing the securitization exposures assumed by the institution, and any significant changes since the immediately preceding annual reporting period and the impact of those changes);
(c) a description of the processes in place to monitor changes in the credit risk and market risk for securitization exposures assumed by the institution (including a description of the processes to monitor how the behaviour of the underlying exposures in the securitization transactions impacts the institution¡¦s securitization exposures and, if those processes differ for re-securitization exposures assumed by the institution, a description of how they differ);
(d) the names of the ECAIs the institution used in relation to the securitization exposures in respect of which the institution uses the STC(S) approach during the annual reporting period and the types of securitization exposures for which each such ECAI was so used;
(e) an explanation of significant changes to any of the quantitative disclosures (including an explanation of those related to the movements of exposures between the institution¡¦s banking book and trading book) since the last reporting period;
(f) the total outstanding amount of the institution¡¦s on-balance sheet securitization exposures, broken down by exposure type, and shown separately for the exposures booked in the institution¡¦s banking book and trading book;
(g) the total outstanding amount of the institution¡¦s off-balance sheet securitization exposures, broken down by exposure type, and shown separately for the exposures booked in the institution¡¦s banking book and trading book;
(h) the total amount of securitization exposures (excluding re-securitization exposures) in respect of which the institution uses the STC(S) approach and the capital requirements for those exposures, broken down into the respective risk-weight bands of those exposures determined by reference to the capital requirements calculation for those exposures;
(i) the total amount of re-securitization exposures in respect of which the institution uses the STC(S) approach and the capital requirements for those exposures, broken down into the respective risk-weight bands of those exposures determined by reference to the capital requirements calculation for those exposures;
(j) the total amount of re-securitization exposures of the institution, broken down into¡X
(i) exposures to which credit risk mitigation is applied and those to which it is not applied; and
(ii) exposures to guarantors, broken down by credit-worthiness categories or names of the guarantors,
each shown separately for the exposures booked in the institution¡¦s banking book and trading book;
(k) the securitization exposures that the institution has deducted from its core capital and supplementary capital, broken down by exposure type, and shown separately for the exposures booked in the institution¡¦s banking book and trading book;
(l) the total amount of the institution¡¦s securitization exposures booked in the institution¡¦s trading book that are subject to the comprehensive risk charge, the amount of comprehensive risk charge for those exposures as calculated under Part 8 of the Capital Rules, and a breakdown of that amount of comprehensive risk charge into default risk, credit migration risk, correlation risk and other material risk factors;
(m) the total amount of the institution¡¦s securitization exposures that are subject to Part 8 of the Capital Rules for the calculation of the specific risk for the exposures (but excluding securitization positions booked in the institution¡¦s trading book that fall within a correlation trading portfolio and are subject to the comprehensive risk charge under the internal models approach for market risk), broken down into the respective market risk capital charge factors of those exposures for each regulatory capital approach; and
(n) the capital requirements for the securitization exposures of the institution that are subject to Part 8 of the Capital Rules (but excluding securitization positions booked in the institution¡¦s trading book that fall within a correlation trading portfolio and are subject to the comprehensive risk charge under the internal models approach for market risk), broken down into the respective market risk capital charge factors of those exposures for each regulatory capital approach. (L.N. 138 of 2011)