Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 82

Asset securitization

(1) An authorized institution which is an originating institution in
securitization transactions shall disclose, in respect of the securitization
transactions—

   (a)  the institution's objectives in relation to securitizing the
        underlying exposures in the securitization transactions and the extent
        to which the securitization transactions transfer credit risk in
        respect of the underlying exposures away from the institution to other
        parties to the transaction;

   (b)  a summary of the institution's accounting policies for the
        securitization transactions, including—

        (i)    whether the transactions are treated as sales or financings;

        (ii)   recognition of gain-on-sale;

        (iii)  key assumptions for valuing the securitization exposures
               retained (including any significant changes since the
               immediately preceding annual reporting period and the impact of
               such changes); and

        (iv)   the treatment of synthetic securitization transactions if this
               is not covered by other accounting policies;

   (c)  the total outstanding underlying exposures which have been securitized
        by the institution and which are subject to Part 7 of the Capital
        Rules, broken down into traditional securitization transactions and
        synthetic securitization transactions and then broken down by class of
        exposure;

   (d)  the total outstanding underlying exposures in the securitization
        transactions entered into by the institution in the annual 
        reporting period and in which the institution did not, during the
        annual  reporting period, retain any securitization exposure;

   (e)  the securitization exposures of the institution resulting from the
        securitization transactions in which the institution only acted as a
        sponsor;

   (f)  in the case of underlying exposures which have been securitized by the
        institution and which are subject to Part 7 of the Capital Rules—

        (i)    the amount of impaired or overdue exposures securitized, broken
               down by class of exposure; and

        (ii)   the losses recognized by the institution during the annual 
               reporting period, broken down by class of exposure;

   (g)  the total amount of securitization exposures retained and
        securitization exposures repurchased by the institution, broken down
        by class of exposure;

   (h)  the total amount of securitization exposures retained and
        securitization exposures repurchased by the institution, the
        risk-weighted amounts of those exposures and the capital requirements
        for those exposures, in respect of which the institution uses the
        STC(S) approach or IRB(S) approach, or both, broken down into the
        respective risk-weights of those exposures;

   (i)  the securitization exposures which have been fully deducted from the
        institution's core capital, broken down by class of exposure; and

   (j)  the credit-enhancing interest-only strips and other exposures which
        have been deducted from the institution's core capital and
        supplementary capital, broken down by class of exposure.

(2) An authorized institution which is the originating institution in
securitization transactions which are subject to an early amortization
provision shall disclose—

   (a)  the total principal amount of the drawn balances of the underlying
        exposures attributed to the originator's and investors' interests,
        broken down by class of exposure;

   (b)  the total capital requirements, in respect of which the institution
        uses the STC(S) approach or IRB(S) approach, or both, incurred by the
        institution against the originator's retained shares of the principal
        amount of the drawn balances and undrawn balances of the underlying
        exposures, broken down by class of exposure; and

   (c)  the total capital requirements, in respect of which the institution
        uses the STC(S) approach or IRB(S) approach, or both, incurred by the
        institution against the investors' shares of the principal amount of
        the drawn balances and undrawn balances of the underlying exposures,
        broken down by class of exposure.

(3) An authorized institution which is the originating institution in
securitization transactions shall disclose a summary of the securitization
transactions it has entered into during the annual  reporting period
including—

   (a)  the underlying exposures which have been securitized, broken down by
        class of exposure; and

   (b)  the amount of recognized gain or loss on sale, broken down by class of
        exposure.

(4) An authorized institution shall disclose, in respect of its securitization
transactions and the securitization exposures assumed by it

(whether it is the originating institution or an investing institution)—

   (a)  the roles played by the institution in the securitization transactions
        including a description of its involvement in each class of exposures
        into which the underlying exposures in the securitization transactions
        would fall; and

   (b)  the names of the ECAIs the institution used in relation to the
        securitization exposures during the annual reporting period and the
        class of securitization exposure for which each such ECAI was so used.

(5) An authorized institution which is an investing institution in
securitization transactions shall disclose, in respect of the related
securitization exposures assumed by it—

   (a)  the total amount of the securitization exposures, broken down by class
        of exposure;

   (b)  the total amount of the securitization exposures, the risk-weighted
        amount of the securitization exposures, and the capital  requirements
        for the securitization exposures, in respect of which the institution
        uses the STC(S) approach or IRB(S) approach, or both, broken down into
        the respective risk-weights of the securitization exposures; and

   (c)  the securitization exposures which the institution has deducted from
        its core capital and supplementary capital, broken down by class of
        exposure.

(6) Section 227(1) of the Capital Rules applies to the interpretation of this
section as that section applies to the interpretation of Part 7 of the Capital
Rules.