(a)

a description of the institution's objectives in relation to securitisation activity;

(b)

the nature of other risks including liquidity risk inherent in securitised assets;

(c)

the type of risks in terms of seniority of underlying securitisation positions and in terms of assets underlying those latter securitisation positions assumed and retained with re-securitisation activity;

(d)

the different roles played by the institution in the securitisation process;

(e)

an indication of the extent of the institution's involvement in each of the roles referred to in point (d);

(f)

a description of the processes in place to monitor changes in the credit and market risk of securitisation exposures including, how the behaviour of the underlying assets impacts securitisation exposures and a description of how those processes differ for re-securitisation exposures;

(g)

a description of the institution's policy governing the use of hedging and unfunded protection to mitigate the risks of retained securitisation and re-securitisation exposures, including identification of material hedge counterparties by relevant type of risk exposure;

(h)

the approaches to calculating risk weighted exposure amounts that the institution follows for its securitisation activities including the types of securitisation exposures to which each approach applies;

(i)

the types of SSPE that the institution, as sponsor, uses to securitise third-party exposures including whether and in what form and to what extent the institution has exposures to those SSPEs, separately for on- and off-balance sheet exposures, as well as a list of the entities that the institution manages or advises and that invest in either the securitisation positions that the institution has securitised or in SSPEs that the institution sponsors;

(j)

a summary of the institution's accounting policies for securitisation activities, including:

(k)

the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;

(l)

where applicable, a description of the Internal Assessment Approach as set out in Part Three, Title II, Chapter 5, Section 3, including the structure of the internal assessment process and relation between internal assessment and external ratings, the use of internal assessment other than for Internal Assessment Approach capital purposes, the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, by exposure type;

(m)

an explanation of significant changes to any of the quantitative disclosures in points (n) to (q) since the last reporting period;

(n)

separately for the trading and the non-trading book, the following information broken down by exposure type:

(o)

separately for the trading and the non-trading book, the following information:

(p)

for the non-trading book and regarding exposures securitised by the institution, the amount of impaired/past due assets securitised and the losses recognised by the institution during the current period, both broken down by exposure type;

(q)

for the trading book, the total outstanding exposures securitised by the institution and subject to a capital requirement for market risk, broken down into traditional/synthetic and by exposure type;

(r)

where applicable, whether the institution has provided support within the terms of Article 248(1) and the impact on own funds.