21. Securitisation

Template SEC4 - Securitisation exposures in the banking book and associated capital requirements - bank acting as investor Table SECA: Qualitative disclosure requirements related to securitisation exposures Purpose: Provide qualitative information on a bank's strategy and risk management with respect to its securitisation activities. Scope of application: The table is mandatory for all banks with securitisation exposures. Content: Qualitative information. Frequency: Annually. Format: Flexible. Qualitative disclosures (A) Banks must describe their risk management objectives and policies for securitisation activities and main features of these activities according to the framework below. If a bank holds securitisation positions reflected both in the regulatory banking book and in the regulatory trading book, the bank must describe each of the following points by distinguishing activities in each of the regulatory books. (a) The bank's objectives in relation to securitisation and re-securitisation activity, including the extent to which these activities transfer credit risk of the underlying securitised exposures away from the bank to other entities, the type of risks assumed and the types of risks retained. (b) The bank must provide a list of: ● special purpose entities (SPEs) where the bank acts as sponsor (but not as an originator such as an Asset Backed Commercial Paper (ABCP) conduit), indicating whether the bank consolidates the SPEs into its scope of regulatory consolidation. A bank would generally be considered a "sponsor" if it, in fact or in substance, manages or advises the programme, places securities into the market, or provides liquidity and/or credit enhancements. The programme may include, for example, ABCP conduit programmes and structured investment vehicles. ● affiliated entities (i) that the bank manages or advises and (ii) that invest either in the securitisation exposures that the bank has securitised or in SPEs that the bank sponsors. ● a list of entities to which the bank provides implicit support and the associated capital impact for each of them (as required in SCRE18.14 and SCRE18.49 . (c) Summary of the bank's accounting policies for securitisation activities. Where relevant, banks are expected to distinguish securitisation exposures from re-securitisation exposures. (d) If applicable, the names of external credit assessment institution (ECAIs) used for securitisations and the types of securitisation exposure for which each agency is used. (e) If applicable, describe the process for implementing the Basel internal assessment approach (IAA). The description should include: ● structure of the internal assessment process and relation between internal assessment and external ratings, including information on ECAIs as referenced in item (d) of this table. ● control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review. ● the exposure type to which the internal assessment process is applied; and stress factors used for determining credit enhancement levels, by exposure type. For example, credit cards, home equity, auto, and securitisation exposures detailed by underlying exposure type and security type (eg residential mortgage-backed securities, commercial mortgage-backed securities, asset-backed securities, collateralised debt obligations) etc. (f) Banks must describe the use of internal assessment other than for SEC-IAA capital purposes. Template SEC1: Securitisation exposures in the banking book Purpose : Present a bank's securitisation exposures in its banking book. Scope of application: The template is mandatory for all banks with securitisation exposures in the banking book. Content: Carrying values. In this template, securitisation exposures include securitisation exposures even where criteria for recognition of risk transference are not met. Refer to SAMA circular No.371000112753 date 28/10/1437H on Simple, Transpar