The reporting entity shall make available the information specified in Annexes II to X and XII on the following:
underlying exposures, in relation to each individual underlying exposure;
collaterals, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:
the underlying exposure is secured by a guarantee;
the underlying exposure is secured by physical or financial collateral;
the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor;
tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property;
historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months prior to that date;
cashflows, for each inflow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date;
tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties.
For the purposes of points (a) and (d), securitised loan parts shall be treated as individual underlying exposures.
For the purposes of point (b), each property acting as security for loans referred to in points (a) and (b) of Article 2(1) shall be treated as a single item of collateral.
The reporting entity shall make available the information specified in Annexes XI and XIII on the following:
ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;
each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to point (a), as at the data cut-off date;
tests/events/triggers, for each test/event/trigger in the ABCP securitisation that triggers changes in the priority of payments or the replacement of any counterparties;
underlying exposures, for each ABCP transaction on which information is made available pursuant to point (a) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in Annex XI.
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.
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