This chapter describes the disclosure requirements applying to securitisation exposures.

Version effective as of 15 Dec 2019

First version in the format of the consolidated framework.

Introduction

43.1 The scope of DIS43: [Unless stated otherwise, all terms used in DIS43 are used consistently with the definitions in CRE40.]

(1) covers all securitisation exposures [Securitisation refers to the definition of what constitutes a securitisation under the Basel framework. Securitisation exposures correspond to securitisation exposures as defined in the Basel framework. According to this framework, securitisation exposures can include, but are not restricted to, the following: asset-backed securities, mortgage-backed securities, credit enhancements, liquidity facilities, interest rate or currency swaps, credit derivatives and tranched cover as described in CRE22. Reserve accounts, such as cash collateral accounts, recorded as an asset by the originating bank must also be treated as securitisation exposures. Securitisation exposures refer to retained or purchased exposures and not to underlying pools.] in Table SECA and in templates SEC1 and SEC2;

(2) focuses on banking book securitisation exposures subject to capital charges according to the securitisation framework in templates SEC3 and SEC4; and

(3) excludes capital charges related to securitisation positions in the trading book that are reported in DIS50.