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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.

You are viewing the version of the document as on 2021-01-01.

ANNEX XV

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

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Programme information section

SEAS1

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

SEAS2

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

SEAS3

No Longer STS

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

NO

YES

SEAS4

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

SEAS5

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

SEAS6

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

SEAS7

Governing Law

Jurisdiction governing the programme.

NO

NO

SEAS8

Length Of The Liquidity Facility

Period during which the programme-level liquidity facility provides coverage to the programme (in days).

NO

YES

SEAS9

Liquidity Facility Coverage

Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility.

NO

YES

SEAS10

Liquidity Facility Coverage Interval

The maximum number of days' interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.

NO

YES

SEAS11

Liquidity Facility Maturity Date

Date at which the programme-level liquidity facility will expire.

NO

YES

SEAS12

Drawings Under Liquidity Facility

If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.

NO

YES

SEAS13

Total Issuance

Total programme issuance outstanding, converted into GBP.

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

NO

NO

SEAS14

Maximum Issuance

If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here.

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

NO

YES

Transaction information section

SEAR1

Unique Identifier - ABCP Programme

Report the same unique ABCP programme identifier here as the one entered into field SEAS1.

NO

NO

SEAR2

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

SEAR3

Number Of Programmes Funding The Transaction

Number of ABCP programmes that are funding this transaction.

NO

NO

SEAR4

No Longer STS

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

NO

YES

SEAR5

Originator A Client Of The Programme Sponsor

Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship?

NO

NO

SEAR6

Security Interest Granted

Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)?

NO

NO

SEAR7

Revenue

Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months).

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

NO

YES

SEAR8

Operating Expenses

Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months).

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

NO

YES

SEAR9

Current Assets

Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.

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

NO

YES

SEAR10

Cash

Originator cash holdings, as of the most recent financial operating statement.

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

NO

YES

SEAR11

Marketable Securities

Originator marketable securities, as of the most recent financial operating statement.

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

NO

YES

SEAR12

Accounts Receivable

Originator accounts receivable, as of the most recent financial operating statement.

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

NO

YES

SEAR13

Current Liabilities

Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.

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

NO

YES

SEAR14

Total Debt

Originator total debt, as of the most recent financial operating statement.

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

NO

YES

SEAR15

Total Equity

Originator total equity, as of the most recent financial operating statement.

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

NO

YES

SEAR16

Financial Statement Currency

The currency used in the financial reporting of fields SEAR7 - SEAR15.

NO

YES

SEAR17

Sponsor Supports Transaction

At what level is the sponsor providing support:

Transaction Level (TRXN)

Programme Level (PRGM)

Other (OTHR)

NO

YES

SEAR18

Sponsor Support Type

Is the sponsor providing full support to this transaction?

NO

YES

SEAR19

Length Of The Liquidity Facility

Period during which the transaction-level liquidity facility provides coverage to the transaction (in days).

NO

YES

SEAR20

Liquidity Facility Drawn Amount

Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission.

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

NO

YES

SEAR21

Liquidity Facility Coverage

Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility.

NO

YES

SEAR22

Liquidity Facility Coverage Interval

The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.

NO

YES

SEAR23

Liquidity Facility Type

Type of transaction-level liquidity facility:

Asset Purchase (ASPR)

Repurchase Agreement (RPAG)

Loan Facility (LOFA)

Participation Agreement (PAGR)

Other (OTHR)

NO

YES

SEAR24

Liquidity Facility Repurchase Agreement Maturity Date

If the transaction-level liquidity facility uses repurchase agreements, enter the date at which the repurchase agreement will expire.

NO

YES

SEAR25

Liquidity Facility Currency

The currency in which funds from the transaction-level liquidity facility can be drawn.

NO

YES

SEAR26

Liquidity Facility Maturity Date

Date at which the transaction-level liquidity facility will expire.

NO

YES

SEAR27

Liquidity Facility Provider Name

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

NO

YES

SEAR28

Liquidity Facility Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider.

NO

YES

SEAR29

Overcollateralisation/Subordinated Interest

The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures). Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided.

NO

NO

SEAR30

Transaction Excess Spread

The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as "excess spread".

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

NO

NO

SEAR31

Letter Of Credit Provider Name

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

NO

YES

SEAR32

Letter Of Credit Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction.

NO

YES

SEAR33

Letter Of Credit Currency

Letter of credit currency denomination.

NO

YES

SEAR34

Maximum Letter Of Credit Protection

Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement.

NO

YES

SEAR35

Guarantor Name

Enter the full legal name of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SEAR36

Guarantor Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller.

NO

YES

SEAR37

Maximum Guarantee Coverage

Maximum amount of coverage under the guarantee/purchasing agreement.

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

NO

YES

SEAR38

Guarantee Currency

The currency in which funds from the guarantee are provided.

NO

YES

SEAR39

Guarantee Maturity Date

Date at which the guarantee will expire.

NO

YES

SEAR40

Receivables Transfer Type

How has the transfer of underlying exposures to the purchaser been achieved?

True sale (1)

Secured loan (2)

Other (3)

NO

NO

SEAR41

Repurchase Agreement Maturity Date

Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire.

NO

YES

SEAR42

Purchased Amount

Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission.

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

NO

NO

SEAR43

Maximum Funding Limit

Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date.

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

NO

YES

SEAR44

Interest Rate Swap Benchmark

Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted interest rate 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

SEAR45

Interest Rate Swap Maturity Date

Date of maturity for the transaction-level interest rate swap.

In the event of multiple swaps in this transaction, enter the maturity date of the most recent swap.

NO

YES

SEAR46

Interest Rate Swap Notional

Transaction-level interest rate swap notional amount.

In the event of multiple swaps in this transaction, enter the notional of the most recent interest rate swap.

NO

YES

SEAR47

Currency Swap Payer Currency

Enter the currency that the payer leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.

NO

YES

SEAR48

Currency Swap Receiver Currency

Enter the currency that the receiver leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.

NO

YES

SEAR49

Exchange Rate For Currency Swap

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

In the event of multiple swaps in this transaction, enter the exchange rate set for the most recent swap.

NO

YES

SEAR50

Currency Swap Maturity Date

Date of maturity for the transaction-level currency swap.

In the event of multiple swaps in this transaction, enter the maturity date of the most recently-concluded swap.

NO

YES

SEAR51

Currency Swap Notional

Transaction-level currency swap notional amount.

In the event of multiple swaps in this transaction, enter the amount covered by the most recently-contracted swap.

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

NO

YES

Tranche/bond-level information section

SEAT1

Unique Identifier - ABCP Programme

Report the same unique ABCP programme identifier here as the one entered into field SEAS1.

NO

NO

SEAT2

Original Bond Identifier

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

NO

NO

SEAT3

New Bond Identifier

If the original identifier in field SEAT2 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 SEAT2. The reporting entity must not amend this unique identifier.

NO

NO

SEAT4

International Securities Identification Number

The ISIN code assigned to this instrument, where applicable.

NO

YES

SEAT5

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

SEAT6

Issue Date

Date on which this instrument was issued.

NO

NO

SEAT7

Legal Maturity

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

NO

YES

SEAT8

Currency

The currency denomination of this instrument.

NO

NO

SEAT9

Current Principal Balance

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

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

NO

NO

SEAT10

Current Coupon

The coupon on the instrument in basis points.

NO

NO

SEAT11

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

SEAT12

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

SEAT13

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

SEAT14

Current Credit Enhancement

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

NO

NO

SEAT15

Credit Enhancement Formula

Describe/Enter the formula used to calculate the bond-level credit enhancement.

NO

YES

Account-level information section

SEAA1

Unique Identifier - ABCP Transaction

Report the same unique ABCP transaction identifier here as the one entered into field SEAR2.

NO

NO

SEAA2

Original Account Identifier

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

NO

NO

SEAA3

New Account Identifier

If the original identifier in field SEAA2 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 SEAA2. The reporting entity must not amend this unique identifier.

NO

NO

SEAA4

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

SEAA5

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

SEAA6

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

SEAA7

Amortising Account

Is the account amortising over the lifetime of the securitisation?

NO

NO

Counterparty-level information section

SEAP1

Unique Identifier - ABCP Transaction

Report the same unique ABCP transaction identifier here as the one entered into field SEAR2.

NO

NO

SEAP2

Counterparty Legal Entity Identifier

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

NO

NO

SEAP3

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

SEAP4

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

SEAP5

Counterparty Country Of Establishment

Country where the counterparty is established.

NO

NO

SEAP6

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

SEAP7

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

SEAP8

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

SEAP9

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

Any other information section

SEAO1

Unique Identifier

The unique identifier entered into field SEAS1.

NO

NO

SEAO2

Any Other Information Line Number

Enter the line number of the other information

NO

NO

SEAO3

Any Other Information

The other information, line by line

NO

NO