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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.

SECTION 1 Information to be made available for all securitisations

Article 2 Information on underlying exposures

  1. (1)

    The information to be made available for a non-ABCP securitisation pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 is specified in:

    1. (a)

      Annex II for loans to private households secured by residential real estate, regardless of the purpose of those loans;

    2. (b)

      Annex III for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;

    3. (c)

      Annex IV for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises;

    4. (d)

      Annex V for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;

    5. (e)

      Annex VI for consumer underlying exposures;

    6. (f)

      Annex VII for credit card underlying exposures;

    7. (g)

      Annex VIII for leasing underlying exposures;

    8. (h)

      Annex IX for underlying exposures that do not fall within any of the categories set out in points (a) to (g).

    For the purposes of point (a), residential real estate means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate.

    For the purposes of point (b), commercial real estate means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users.

  2. (2)

    Where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation shall make available the information specified in the applicable Annex for each underlying exposure type.

  3. (3)

    The reporting entity for a non-performing exposure securitisation shall make available the information specified in:

    1. (a)

      the Annexes referred to in points (a) to (h) of paragraph 1, as relevant to the underlying exposure type;

    2. (b)

      Annex X.

    For the purposes of this paragraph, a "non-performing exposure securitisation" shall be considered to be a non-ABCP securitisation the majority of whose active underlying exposures, measured in terms of outstanding principal balance as at the data cut-off date, are one of the following:

    1. (a)

      non-performing exposures as referred to in paragraphs 213 to 239 of Annex V, Part 2, to Commission Implementing Regulation (EU) No 680/2014;

    2. (b)
      1. (i)

        credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 in Commission Regulation (EC) No 1126/2008;

      2. (ii)

        credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 as contained in UK-adopted IFRS;

      3. (iii)

        financial assets accounted for as credit impaired under national rules applying the Generally Accepted Accounting Principles (GAAP) based on Council Directive 86/635/EEC; or

      4. (iv)

        financial assets accounted for as credit-impaired under UK generally accepted accounting principles.

  4. (4)

    The reporting entity for an ABCP transaction shall make available the information specified in Annex XI.

  5. (5)

    For the purposes of this Article, the information to be made available pursuant to paragraphs 1 to 4 shall be on:

    1. (a)

      active underlying exposures as at the data cut-off date;

    2. (b)

      inactive underlying exposures that were active underlying exposures at the immediately-preceding data cut-off date.

Article 3 Information on investor reports

  1. (1)

    The reporting entity for a non-ABCP securitisation shall make available the information on investor reports specified in Annex XII.

  2. (2)

    The reporting entity for an ABCP securitisation shall make available the information on investor reports specified in Annex XIII.

Article 4 Information granularity

  1. (1)

    The reporting entity shall make available the information specified in Annexes II to X and XII on the following:

    1. (a)

      underlying exposures, in relation to each individual underlying exposure;

    2. (b)

      collaterals, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:

      1. (i)

        the underlying exposure is secured by a guarantee;

      2. (ii)

        the underlying exposure is secured by physical or financial collateral;

      3. (iii)

        the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor;

    3. (c)

      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;

    4. (d)

      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;

    5. (e)

      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;

    6. (f)

      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.

  2. (2)

    The reporting entity shall make available the information specified in Annexes XI and XIII on the following:

    1. (a)

      ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;

    2. (b)

      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;

    3. (c)

      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;

    4. (d)

      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.