Content Options

Content Options

View Options

Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX XIII

INVESTOR REPORT INFORMATION – ASSET BACKED COMMERCIAL PAPER SECURITISATION

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Programme information section

IVAS1

Unique Identifier - ABCP Programme

The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

IVAS2

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

IVAS3

Reporting Entity Name

The full Legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SEAP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

IVAS4

Reporting Entity Contact Person

First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVAS5

Reporting Entity Contact Telephone

Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVAS6

Reporting Entity Contact Emails

Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVAS7

Trigger Measurements/Ratios

Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any Principal Deficiency Ledger or an asset deficiency.

NO

YES

IVAS8

Non-Compliant Exposures

Pursuant to Article 26(1) of Regulation (EU) 2017/2402, enter the total value of exposures, using the current balance as at the data cut-off date, not compliant with Article 24(9), 24(10), and 24(11) of Regulation (EU) 2017/2402.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

IVAS9

Weighted Average Life

Enter the remaining weighted average life of the pool of exposures underlying this ABCP programme, expressed in years.

YES

YES

IVAS10

Risk Retention Method

Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):

Vertical slice - i.e. Article 6(3)(a) (VSLC)

Seller's share - i.e. Article 6(3)(b) (SLLS)

Randomly-selected exposures kept on balance sheet - i.e. Article 6(3)(c) (RSEX)

First loss tranche - i.e. Article 6(3)(d) (FLTR)

First loss exposure in each asset - i.e. Article 6(3)(e) (FLEX)

No compliance with risk retention requirements (NCOM)

Other (OTHR)

NO

YES

IVAS11

Risk Retention Holder

Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):

Originator (ORIG)

Sponsor (SPON)

Original Lender (OLND)

Seller (SELL)

No Compliance with Risk Retention Requirement (NCOM)

Other (OTHR)

NO

YES

Transaction information section

IVAN1

Unique Identifier - ABCP Programme

Report the same unique ABCP programme identifier here as the one entered into field IVAS1.

NO

NO

IVAN2

Unique Identifier - ABCP Transaction

The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.

NO

NO

IVAN3

Data Cut-Off Date

The data cut-off date for this data submission. This must match the data cut-off date in the underlying exposure templates submitted under Annex XI.

NO

NO

IVAN4

SIC Industry Code

Originator industry SIC Code, as set out in the condensed SIC Code List used by UK Companies House.

NO

YES

IVAN5

Risk Retention Method

Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):

Vertical slice - i.e. Article 6(3)(a) (VSLC)

Seller's share - i.e. Article 6(3)(b) (SLLS)

Randomly-selected exposures kept on balance sheet - i.e. Article 6(3)(c) (RSEX)

First loss tranche - i.e. Article 6(3)(d) (FLTR)

First loss exposure in each asset - i.e. Article 6(3)(e) (FLEX)

No compliance with risk retention requirements (NCOM)

Other (OTHR)

NO

YES

IVAN6

Risk Retention Holder

Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):

Originator (ORIG)

Sponsor (SPON)

Original Lender (OLND)

Seller (SELL)

No Compliance with Risk Retention Requirement (NCOM)

Other (OTHR)

NO

YES

IVAN7

Weighted Average Life

Enter the remaining weighted average life of the pool of exposures underlying this transaction, expressed in years.

YES

YES

Tests/Events/Triggers information section

IVAR1

Unique Identifier - ABCP Transaction

Report the same unique ABCP transaction identifier here as the one entered into field IVAN2.

NO

NO

IVAR2

Original Test/Event/Trigger Identifier

The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.

NO

NO

IVAR3

New Test/Event/Trigger Identifier

If the original identifier in field IVAR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAR2. The reporting entity must not amend this unique identifier.

NO

NO

IVAR4

Description

Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.

NO

NO

IVAR5

Status

Has the test been met as at the data cut-off date? In the event of a trigger, is the trigger not being breached?

NO

NO

IVAR6

Consequence for Breach

Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):

Change in the priority of payments (CHPP)

Replacement of a counterparty (CHCP)

Both change in the priority of payments and replacement of a counterparty (BOTH)

Other consequence (OTHR)

NO

NO