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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 XIV

INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION – NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Securitisation information section

SESS1

Unique Identifier

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

NO

NO

SESS2

Data Cut-Off Date

The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.

NO

NO

SESS3

No Longer STS

Has the securitisation ceased to meet STS requirements? If the securitisation has never had STS status, then enter ND5.

NO

YES

SESS4

Remedial Actions

Has the competent authority taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.

NO

YES

SESS5

Administrative Actions

Has the competent authority taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.

NO

YES

SESS6

Material Amendment to Transaction Documents

Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments.

NO

YES

SESS7

Perfection Of Sale

Pursuant to Article 20(5) of Regulation (EU) 2017/2402, is the transfer of underlying exposures to the SSPE (i.e. perfection of sale) being performed after the securitisation closing date?

NO

YES

SESS8

Current Waterfall Type

Choose, from the list below, the closest waterfall arrangement currently applicable to the securitisation:

Turbo Waterfall (TRWT)

Sequential Waterfall (SQWT)

Pro-rata Waterfall (PRWT)

Currently Sequential, with Possibility to Switch to Pro-rata in the Future (SQPR)

Currently Pro-rata, with Possibility to Switch to Sequential in the Future (PRSQ)

Other (OTHR)

NO

NO

SESS9

Master Trust Type

If the securitisation has a master trust structure, select the most appropriate description of the structure:

Each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution (a.k.a. "capitalist structure") (CSTR)

Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes (a.k.a. "socialist structure" or "de-linked master trust") (SSTR)

Other (OTHR)

NO

YES

SESS10

SSPE Value

If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date.

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

NO

YES

SESS11

SSPE Principal Value

If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date.

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

NO

YES

SESS12

SSPE Number Of Accounts

If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date.

NO

YES

SESS13

Note Principal Balance

If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust.

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

NO

YES

SESS14

Seller Share

If the securitisation has a master trust structure, enter the originator's interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators.

NO

YES

SESS15

Funding Share

If the securitisation has a master trust structure, enter the SSPE's interest of this series in the trust at the data cut-off date, expressed as a percentage.

NO

YES

SESS16

Revenue Allocated To This Series

If the securitisation has a master trust structure, enter the revenue amounts allocated to this series from the trust.

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

NO

YES

SESS17

Interest Rate Swap Benchmark

Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to:

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

SESS18

Interest Rate Swap Maturity Date

Date of maturity for the interest rate swap.

NO

YES

SESS19

Interest Rate Swap Notional

Interest rate swap notional amount as at the data cut-off date.

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

NO

YES

SESS20

Currency Swap Payer Currency

Enter the currency that the payer leg of the swap is paying.

NO

YES

SESS21

Currency Swap Receiver Currency

Enter the currency that the receiver leg of the swap is paying.

NO

YES

SESS22

Exchange Rate For Currency Swap

The exchange rate that has been set for a currency swap.

NO

YES

SESS23

Currency Swap Maturity Date

Date of maturity for the currency swap.

NO

YES

SESS24

Currency Swap Notional

Currency swap notional amount as at the data cut-off date.

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

NO

YES

Tranche/bond-level information section

SEST1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SEST2

Original Tranche Identifier

The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.

NO

NO

SEST3

New Tranche Identifier

If the original identifier in field SEST2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEST2. The reporting entity must not amend this unique identifier.

NO

NO

SEST4

International Securities Identification Number

The ISIN code assigned to this tranche, where applicable.

NO

YES

SEST5

Tranche Name

The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc.

NO

YES

SEST6

Tranche/Bond Type

Select the most appropriate option to describe the repayment profile of the instrument:

Hard bullet (i.e. fixed maturity date) (HBUL)

Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL)

Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO)

Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)

Other (OTHR)

NO

NO

SEST7

Currency

The currency denomination of this instrument.

NO

NO

SEST8

Original Principal Balance

The Original Principal Balance of this tranche at issuance

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

NO

NO

SEST9

Current Principal Balance

The par, or notional, balance of this tranche after the current Principal Payment Date

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

NO

NO

SEST10

Interest Payment Frequency

The frequency with which interest is due to be paid on this instrument:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

NO

SEST11

Interest Payment Date

The first occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.

NO

YES

SEST12

Principal Payment Date

The first occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.

NO

YES

SEST13

Current Coupon

The coupon on the instrument in basis points.

NO

NO

SEST14

Current Interest Rate Margin/Spread

The coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points.

NO

YES

SEST15

Coupon Floor

The coupon floor of the instrument.

NO

YES

SEST16

Coupon Cap

The coupon cap of the instrument.

NO

YES

SEST17

Step-Up/Step-Down Coupon Value

If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme?

NO

YES

SEST18

Step-Up/Step-Down Coupon Date

If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme?

NO

YES

SEST19

Business Day Convention

Business day convention used for the calculation of interest due:

Following (FWNG)

Modified Following (MODF)

Nearest (NEAR)

Preceding (PREC)

Other (OTHR)

NO

YES

SEST20

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

SEST21

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

SEST22

Issue Date

Date on which this instrument was issued.

NO

NO

SEST23

Disbursement Date

First date starting on which the amount of interest payable on the instrument is calculated.

NO

YES

SEST24

Legal Maturity

The date before which this instrument must be repaid in order not to be in default.

NO

YES

SEST25

Extension Clause

Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme:

SSPE only (ISUR)

Noteholder (NHLD)

Either SSPE or noteholder (ISNH)

No option (NOPT)

NO

YES

SEST26

Next Call Date

What is the next date on which the instrument can be called as per the terms and conditions of the securitisation/programme? This excludes clean-up arrangements.

NO

YES

SEST27

Clean-Up Call Threshold

What is the clean-up call threshold as per the terms and conditions of the securitisation/programme?

NO

YES

SEST28

Next Put date

What is the next put date as per the terms and conditions of the securitisation/programme?

NO

YES

SEST29

Day Count Convention

The "days" convention used to calculate interest:

30/360 (A011)

Actual/365 (A005)

Actual/360 (A004)

Actual/Actual ICMA (A006)

Actual/Actual ISDA (A008)

Actual/Actual AFB (A010)

Actual/366 (A009)

Other (OTHR)

NO

YES

SEST30

Settlement Convention

Usual settlement convention for the tranche:

T Plus One (TONE)

T Plus Two (TTWO)

T Plus Three (TTRE)

As soon as possible (ASAP)

At the end of the Contract (ENDC)

End of Month (MONT)

Future (FUTU)

Next Day (NXTD)

Regular (REGU)

T Plus Five (TFIV)

T Plus Four (TFOR)

When and if issued (WHIF)

When Distributed (WDIS)

When Issued (WISS)

When Issued or Distributed (WHID)

Other (OTHR)

NO

YES

SEST31

Current Attachment Point

The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.

NO

NO

SEST32

Original Attachment Point

The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.

NO

YES

SEST33

Current Credit Enhancement

The current tranche credit enhancement, calculated as per the originator/sponsor/SSPE's definition

NO

NO

SEST34

Original Credit Enhancement

The tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE's definition

NO

YES

SEST35

Credit Enhancement Formula

Describe/Enter the formula used to calculate the tranche credit enhancement.

NO

NO

SEST36

Pari-Passu Tranches

Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.

NO

YES

SEST37

Senior Tranches

Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.

NO

YES

SEST38

Outstanding Principal Deficiency Ledger Balance

The unpaid Principal Deficiency Ledger balance of the tranche in question.

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

NO

YES

SEST39

Guarantor Legal Entity Identifier

If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5.

NO

YES

SEST40

Guarantor Name

Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5.

NO

YES

SEST41

Guarantor SA Subsector

The SA classification of the guarantor. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5.

NO

YES

SEST42

Protection Type

List the type of protection instrument used:

Credit Default Swap (CDSX)

Credit-Linked Note (CLKN)

Total Return Swap (TRES)

Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)

Credit Insurance (CINS)

Other (OTHR)

NO

YES

Account-level information section

SESA1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESA2

Original Account Identifier

The original unique account identifier. The reporting entity must not amend this unique identifier.

NO

NO

SESA3

New Account Identifier

If the original identifier in field SESA2 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 SESA2. The reporting entity must not amend this unique identifier.

NO

NO

SESA4

Account Type

The type of account:

Cash Reserve Account (CARE)

Commingling Reserve Account (CORE)

Set-off Reserve Account (SORE)

Liquidity Facility (LQDF)

Margin Account (MGAC)

Other Account (OTHR)

NO

NO

SESA5

Account Target Balance

The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation.

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

NO

YES

SESA6

Account Actual Balance

The balance of funds on deposit in the account in question at the Accrual End Date.

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

NO

NO

SESA7

Amortising Account

Is the account amortising over the lifetime of the securitisation?

NO

NO

Counterparty-level information section

SESP1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESP2

Counterparty Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty.

NO

NO

SESP3

Counterparty Name

Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

SESP4

Counterparty Type

The type of counterparty:

Account Bank (ABNK)

Backup Account Bank (BABN)

Account Bank Facilitator (ABFC)

Account Bank Guarantor (ABGR)

Collateral Agent (CAGT)

Paying Agent (PAYA)

Calculation Agent (CALC)

Administration Agent (ADMI)

Administration Sub-Agent (ADSA)

Transfer Agent (RANA)

Verification agent (VERI)

Security agent (SECU)

Cash Advance Provider (CAPR)

Collateral Provider (COLL)

Guaranteed Investment Contract Provider (GICP)

Insurance Policy Credit Provider (IPCP)

Liquidity Facility Provider (LQFP)

Backup Liquidity Facility Provider (BLQP)

Savings Mortgage Participant (SVMP)

Issuer (ISSR)

Originator (ORIG)

Seller (SELL)

Sponsor of the Securitisation Special Purpose Entity (SSSP)

Servicer (SERV)

Backup Servicer (BSER)

Backup Servicer Facilitator (BSRF)

Special Servicer (SSRV)

Subscriber (SUBS)

Interest Rate Swap Provider (IRSP)

Backup Interest Rate Swap Provider (BIPR)

Currency Swap Provider (CSPR)

Backup Currency Swap Provider (BCSP)

Auditor (AUDT)

Counsel (CNSL)

Trustee (TRUS)

Representative of Noteholders (REPN)

Underwriter (UNDR)

Arranger (ARRG)

Dealer (DEAL)

Manager (MNGR)

Letter of Credit Provider (LCPR)

Multi-Seller Conduit (MSCD)

Securitisation Special Purpose Entity (SSPE)

Liquidity or Liquidation Agent (LQAG)

Equity owner of conduit/SSPE (EQOC)

Swingline Facility Provider (SWNG)

Start-up Loan or Lease Provider (SULP)

Repurchase Agreement Counterparty (RAGC)

Cash Manager (CASM)

Collection Account Bank (CACB)

Collateral Account Bank (COLA)

Subordinated Loan Provider (SBLP)

Collateralised Loan Obligation Manager (CLOM)

Portfolio Advisor (PRTA)

Substitution Agent (SUBA)

Other (OTHR)

NO

NO

SESP5

Counterparty Country Of Establishment

Country where the counterparty is established.

NO

NO

SESP6

Counterparty Rating Threshold

If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date.

In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.

NO

YES

SESP7

Counterparty Rating

If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date.

In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.

NO

YES

SESP8

Counterparty Rating Source Legal Entity Identifier

If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date.

In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.

NO

YES

SESP9

Counterparty Rating Source Name

If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.

NO

YES

CLO Securitisation information section

SESC1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESC2

Non-Call Period End-Date

Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.).

NO

YES

SESC3

CLO Type

The CLO type that best describes this transaction:

Balance Sheet Collateralized Loan Obligation (BCLO)

Arbitrage Collateralized Loan Obligation (ACLO)

Other (OTHR)

NO

YES

SESC4

Current Period

The current period status of the CLO:

Warehouse (WRHS)

Ramp-up (RMUP)

Reinvestment (RINV)

Post-reinvestment (PORI)

Other (OTHR)

NO

NO

SESC5

Current Period Start Date

Enter the date in which the current period was entered into.

NO

YES

SESC6

Current Period End Date

Enter the date in which the current period will/is expected to cease.

NO

YES

SESC7

Concentration Limit

Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10 % and 20 %, then enter 20 %).

NO

YES

SESC8

Restrictions - Legal Maturity

Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches? (assuming clean-up option is exercised)

NO

YES

SESC9

Restrictions - Subordinated Exposures

Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased?

NO

YES

SESC10

Restrictions - Non-Performing Exposures

Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased?

NO

YES

SESC11

Restrictions - PIK Exposures

Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time?

NO

YES

SESC12

Restrictions - Zero-Coupon Exposures

Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time?

NO

YES

SESC13

Restrictions - Equity Exposures

Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased?

NO

YES

SESC14

Restrictions - Participation Exposures

Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased?

NO

YES

SESC15

Restrictions - Discretionary Sales

Allowed percentage (vs. portfolio par balance) of discretionary sales per year?

NO

YES

SESC16

Discretionary Sales

Actual discretionary sales, year to date.

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

NO

NO

SESC17

Reinvestments

Amount reinvested, year to date.

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

NO

NO

SESC18

Restrictions - Credit Enhancement

Can the CLO manager withdraw or monetise any surplus credit enhancement?

NO

NO

SESC19

Restrictions - Quotes

Can the CLO manager obtain quotes with dealers other than the arranger?

NO

NO

SESC20

Restrictions - Trades

Can the CLO manager obtain trade with dealers other than the arranger?

NO

NO

SESC21

Restrictions - Issuances

Are there restrictions on the additional issuance of notes?

NO

NO

SESC22

Restrictions - Redemptions

Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes' payment priority; must maintain or improve OC test ratios after purchase)

NO

NO

SESC23

Restrictions - Refinancing

Are there restrictions when notes can be refinanced?

NO

NO

SESC24

Restrictions - Note Remuneration

Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return?

NO

NO

SESC25

Restrictions - Credit Protection

Is the CLO manager able to buy or sell credit protection on underlying assets?

NO

NO

SESC26

Collateral Liquidation Period

Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days.

NO

YES

SESC27

Collateral Liquidation - Waiver

Can some or all noteholders choose to waive the collateral liquidation period?

NO

NO

CLO Manager information section

SESL1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESL2

CLO Manager Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager.

NO

NO

SESL3

Manager Name

Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

SESL4

Establishment Date

Date of CLO manager incorporation/establishment

NO

YES

SESL5

Registration Date

Date of registration within the EU as an investment adviser

NO

YES

SESL6

Employees

Total number of employees

NO

NO

SESL7

Employees - CLOs

Total number of employees dedicated to loan trading and management of CLO portfolios

NO

NO

SESL8

Employees - Workout

Total employees dedicated to working out distressed credits

NO

NO

SESL9

AUM

Assets under management

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

NO

NO

SESL10

AUM - Leveraged Loans

Total leveraged loan assets under management

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

NO

NO

SESL11

AUM - CLOs

Total CLO assets under management

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

NO

NO

SESL12

AUM - UK

Total UK assets under management

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

NO

NO

SESL13

AUM - UK CLOs

Total UK CLOs under management [Note: References to UK CLOs are defined as any CLO with the asset manager located in the UK.]

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

NO

NO

SESL14

Number UK CLOs

Number UK CLOs under management

NO

NO

SESL15

Capital

Total capital

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

NO

NO

SESL16

Capital - Risk Retention

Capital for funding risk retention

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

NO

NO

SESL17

Settlement Time

Average time needed, in calendar days, for trade settlement

NO

NO

SESL18

Pricing Frequency

Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day.

NO

NO

SESL19

Default Rate - 1 year

Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year.

NO

NO

SESL20

Default Rate - 5 years

Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years.

NO

NO

SESL21

Default Rate - 10 years

Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years.

NO

NO

Synthetic coverage information section

SESV1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESV2

Protection Instrument Identifier

The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier.

NO

NO

SESV3

Protection Type

List the type of protection instrument used:

Credit Default Swap (CDSX)

Credit-Linked Note (CLKN)

Total Return Swap (TRES)

Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)

Credit Insurance (CINS)

Other (OTHR)

NO

NO

SESV4

Protection Instrument International Securities Identification Number

Enter the ISIN code of the protection instrument, where applicable.

NO

YES

SESV5

Protection Provider Name

Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

SESV6

Protection Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider.

NO

NO

SESV7

Public Entity With Zero Risk Weight

Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) No 575/2013?

NO

NO

SESV8

Governing Law

Jurisdiction governing the protection agreement.

NO

NO

SESV9

ISDA Master Agreement

Basis for protection documentation:

ISDA Agreement 2002 (ISDA)

ISDA Agreement 2014 (IS14)

ISDA Agreement Other (ISOT)

Rhamenvertrag (DERV)

Other (OTHR)

NO

NO

SESV10

Default And Termination Events

Where are the protection arrangement events of default and termination events listed?

Schedule to the ISDA 2002 (ISDA)

Schedule to the ISDA 2014 (IS14)

Other - Bespoke (OTHR)

NO

YES

SESV11

Synthetic Securitisation Type

Is this a "balance sheet synthetic securitisation"?

NO

NO

SESV12

Protection Currency

Protection currency denomination.

NO

NO

SESV13

Current Protection Notional

Total amount of coverage under the protection agreement, as at the data cut-off date.

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

NO

NO

SESV14

Maximum Protection Notional

Maximum amount of coverage under the protection agreement.

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

NO

NO

SESV15

Protection Attachment Point

In terms of the pool principal, enter the percentage attachment point at which protection coverage begins.

NO

YES

SESV16

Protection Detachment Point

In terms of the pool principal, enter the percentage detachment point at which protection coverage ends.

NO

YES

SESV17

International Securities Identification Number Of Notes Covered

If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.

NO

YES

SESV18

Protection Coverage

Report the option that best describes the coverage of the protection amount:

Covers loss of principal only (PRNC)

Covers loss of principal, loss of accrued interest (PACC)

Covers loss of principal, loss of accrued interest, interest penalties (PAPE)

Covers loss of principal, loss of accrued interest, cost of foreclosure (PINF)

Covers loss of principal, loss of accrued interest, interest penalties, cost of foreclosure (PIPF)

Other (OTHR)

NO

YES

SESV19

Protection Termination Date

Enter the contractual date at which the protection is scheduled to expire/be terminated.

NO

YES

SESV20

Materiality Thresholds

Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made?

NO

NO

SESV21

Payment Release Conditions

The conditions relating to the release of payments made by the protection seller:

Immediately after a credit event for the full amount of defaulted asset (IFAM)

Immediately after a credit event for the full amount of defaulted assets net of expected recovery (IFAR)

After a predetermined period allowed for collection activity (ACOL)

After a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery (APCR)

After full workout of loss, for the actual loss (AWRK)

Other (OTHR)

NO

YES

SESV22

Adjustment Payments Possible

Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)?

NO

NO

SESV23

Length Of Workout Period

If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last.

NO

YES

SESV24

Obligation To Repay

Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)?

NO

NO

SESV25

Collateral Substitutable

Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).

NO

NO

SESV26

Collateral Coverage Requirements

Where collateral is held, enter the % (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).

NO

YES

SESV27

Collateral Initial Margin

If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).

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

NO

YES

SESV28

Collateral Delivery Deadline

If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).

NO

YES

SESV29

Settlement

Compensation to be delivered:

Cash (CASH)

Physical settlement (PHYS)

NO

YES

SESV30

Maximum Maturity Date Permitted

If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered.

NO

YES

SESV31

Current Index For Payments To Protection Buyer

Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap:

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

SESV32

Current Index For Payments To Protection Buyer Tenor

Tenor of the interest rate index used for payments to the protection buyer:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

SESV33

Payment Reset Frequency - To Protection Buyer

Frequency with which payments to the protection buyer are reset according to the credit protection agreement:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

SESV34

Current Interest Rate Margin For Payments To Protection Buyer

Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.

NO

YES

SESV35

Current Interest Rate For Payments To Protection Buyer

Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.

NO

YES

SESV36

Current Index For Payments To Protection Seller

Current interest rate index (the reference rate off of which payments to the protection seller are set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

SESV37

Current Index For Payments To Protection Seller Tenor

Tenor of the interest rate index used for payments to the protection seller:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

SESV38

Payment Reset Frequency - To Protection Seller

Frequency with which payments to the protection seller are reset according to the credit protection agreement:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

SESV39

Current Interest Rate Margin For Payments To Protection Seller

Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.

NO

YES

SESV40

Current Interest Rate For Payments To Protection Seller

Current interest rate applied on payments to the protection seller.

NO

YES

SESV41

Excess Spread Support

Is excess spread used as a credit enhancement to the most junior class of notes?

NO

NO

SESV42

Excess Spread Definition

According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage)

NO

NO

SESV43

Current Protection Status

The current status of the protection, as at the data cut-off date?

Active (ACTI)

Cancelled (CANC)

Deactivated (DEAC)

Expired (EXPI)

Inactive (INAC)

Withdrawn (WITH)

Other (OTHR)

NO

NO

SESV44

Bankruptcy Is Credit Event

Is bankruptcy of the reference credit/obligor included in the protection agreement's definition of credit events?

NO

NO

SESV45

Failure To Pay Is Credit Event

Is obligor failure to pay after 90 days included in the protection agreement's definition of credit events?

NO

NO

SESV46

Restructuring Is Credit Event

Is restructuring of the reference credit/obligor included in the protection agreement's definition of credit events?

NO

NO

SESV47

Credit Event

Has a credit event notice been given?

NO

NO

SESV48

Cumulative Payments To Protection Buyer

Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date.

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

NO

NO

SESV49

Cumulative Adjustment Payments To Protection Buyer

Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).

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

NO

NO

SESV50

Cumulative Payments To Protection Seller

Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date.

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

NO

NO

SESV51

Cumulative Adjustment Payments To Protection Seller

Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).

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

NO

NO

SESV52

Synthetic Excess Spread Ledger Amount

Total amount of the synthetic excess spread ledger, as at the data cut-off date.

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

NO

YES

Issuer collateral information section

SESI1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SESI2

Protection Instrument Identifier

Report the same unique identifier here as the one entered into field SESV2.

NO

NO

SESI3

Original Collateral Instrument Identifier

The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier.

NO

NO

SESI4

New Collateral Identifier

If the original identifier in field SESI3 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 SESI3. The reporting entity must not amend this unique identifier.

NO

NO

SESI5

Collateral Instrument International Securities Identification Number

Enter the ISIN code of the collateral instrument, where applicable.

NO

YES

SESI6

Collateral Instrument Type

Type of collateral instrument:

Cash (CASH)

Government Bond (GBND)

Commercial Paper (CPAP)

Unsecured Bank Debt (UBDT)

Senior Unsecured Corporate Debt (SUCD)

Junior Unsecured Corporate Debt (JUCD)

Covered Bond (CBND)

Asset-Backed Security (ABSE)

Other (OTHR)

NO

NO

SESI7

Collateral Issuer SA Subsector

The SA classification of the collateral. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.

NO

YES

SESI8

Collateral Issuer Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer.

NO

NO

SESI9

Collateral Issuer Affiliated With Originator?

Do the collateral issuer and main securitisation originator share the same ultimate parent?

NO

NO

SESI10

Current Outstanding Balance

Total outstanding principal balance of the collateral item, as at the data cut-off date.

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

NO

NO

SESI11

Instrument Currency

Currency denomination of the instrument.

NO

NO

SESI12

Maturity Date

Maturity date of the collateral item.

NO

YES

SESI13

Haircut

Enter the % haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation.

NO

YES

SESI14

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

SESI15

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

SESI16

Current Interest Rate on Cash Deposits

Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights.

NO

YES

SESI17

Repo Counterparty Name

If the collateral item forms part of a repurchase agreement ("repo"), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SESI18

Repo Counterparty Legal Entity Identifier

If the collateral item forms part of a repurchase agreement ("repo"), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited.

NO

YES

SESI19

Repo Maturity Date

If the collateral item forms part of a repurchase agreement ("repo"), provide the maturity date of the securitisation.

NO

YES

Any other information section

SESO1

Unique Identifier

The unique identifier entered into field SESS1.

NO

NO

SESO2

Any Other Information Line Number

Enter the line number of the other information

NO

NO

SESO3

Any Other Information

The other information, line by line

NO

NO