14.

The credit institutions calculating risk weighted exposure amounts in accordance with Articles 94 to 101 shall disclose the following information: a description of the credit institution's objectives in relation to securitisation activity; the roles played by the credit institution in the securitisation process; an indication of the extent of the credit institution's involvement in each of them; the approaches to calculating risk weighted exposure amounts that the credit institution follows for its securitisation activities; a summary of the credit institution's accounting policies for securitisation activities, including: whether the transactions are treated as sales or financings; the recognition of gains on sales; the key assumptions for valuing retained interests; and the treatment of synthetic securitisations if this is not covered by other accounting policies; the names of the ECAIs used for securitisations and the types of exposure for which each agency is used; 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; 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; the aggregate amount of securitisation positions retained or purchased, broken down by exposure type; 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 1250 % or deducted shall be disclosed separately; the aggregate outstanding amount of securitised revolving exposures segregated by the originator's interest and the investors' interest; and 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.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.