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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 II

Information to be submitted to the FCA pursuant to Article 24 of Regulation (EU) 2017/2402 regarding ABCP securitisations

General information

Field number

Article of Regulation (EU) 2017/2402

FIELD NAME

CONTENT TO BE REPORTED

[Note: Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.]

ADDITIONAL INFORMATION

STSAT0

Article 27(1)

First contact point

Legal Entity Identifier (LEI) of the entity designated as the first contact point.

Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.

STSAT1

N/A

Instrument identification code

Where available, the international security identification code (ISIN) or codes. Where no ISIN, then any other unique securities code, assigned to the ABCP securitisation.

Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT2

N/A

Legal Entity Identifier (LEI)

Where available, the LEI of the originator (s) and/or sponsor(s).

Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980

STSAT3

N/A

Notification identifier

Where reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification.

N/A

STSAT4

N/A

Unique identifier

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

N/A

STSAT5

N/A

Prospectus identifier

Where available, the prospectus identifier as provided by the relevant national regulator(s).

N/A

STSAT6

N/A

Securitisation Repository

Where available, the name of the registered securitisation repository.

N/A

STSAT7

N/A

Securitisation name

Where available, the securitisation name or in the absence thereof, the code name and used name.

Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980.

STSAT8

Article 18 and 27(3)

Country of establishment

Where available, the country of establishment of the originator (s), sponsor(s) and SSPE(s).

N/A

STSAT9

N/A

Securitisation classification

The type of securitisation:- non-ABCP;- ABCP;- ABCP programme.

N/A

STSAT10

N/A

Underlying exposures classification

The type of underlying exposures including:

(1) residential loans that are either secured by one or more mortgages on residential immovable property or that are fully guaranteed by an eligible protection provider among those referred to in Article 201(1) of Regulation (EU) No 575/2013 and qualifying for the credit quality step 2 or above as set out in Part Three, Title II, Chapter 2 of that Regulation;

(2) commercial loans that are secured by one or more mortgages on commercial immovable property, including offices or other commercial premises;

(3) credit facilities provided to individuals for personal, family or household consumption purposes;

(4) credit facilities, including loans and leases, provided to any type of enterprise or corporation;

(5) auto loans/leases;

(6) credit card receivables;

(7) trade receivables;

(8) other underlying exposures that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters..

N/A

STSAT11

N/A

Issue date

Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, and / or corresponding legislation applicable in a third country, the date on which the prospectus was approved.

If not, the issuance date of the ABCP securitisation.

N/A

STSAT12

N/A

Notification date

The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA.

N/A

STSAT13

Article 27(2)

Authorised Third party

If an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm.

N/A

STSAT14

Article 27(2)

Authorised Third party

If an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Regulation (EU) 2017/2402, the third party's name.

[deleted]

STSAT16

Article 27(5)

STS status

A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS, or that a STS notification should be revised.

N/A

STSAT17

Article 27(3)

Originator (or original lender) not a UK credit institution or a UK investment firm

A ‘Yes’ or ‘No’ statement as to whether the originator or original lender is a credit institution or investment firm, as defined by article 4(1)(1) and 4(1)(2) of Regulation (EU) No 575/2013, that is established in the UK.

N/A

STSAT18

Article 27(3)

Confirmation of credit-granting criteria

Where the answer to field STSS17 is "No", confirmation that the originator's or original lender's credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402.

N/A

STSAT19

Article 27(3)

Declaration that the credit granting is subject to supervision

Where the answer to field STSS17 is "No", declaration that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision.

N/A

Specific information

Field number

Article of Regulation (EU) 2017/2402

FIELD NAME

Confirmation

Concise explanation

Detailed explanation

CONTENT TO BE REPORTED

[Note: Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.]

ADDITIONAL INFORMATION

STSAT20

Article 24(1)

Underlying exposures acquired by true sale

A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT21

Article 24(2)

No severe clawback

√ˆš

A concise explanation on whether any of the severe clawback provisions referred to in points (a) or (b) of Article 24(2) of Regulation (EU) 2017/2402 are found in the securitisation, and whether the provisions in Article 24(3) of Regulation (EU) 2017/2402 apply.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT22

Article 24(3)

Exemption for clawback provisions in national insolvency laws

In conjunction with STSS21, where appropriate, confirmation that there are no circumstances that could give rise to clawback provisions in accordance with Article 24(1) and (2) of Regulation (EU) 2017/2402.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT23

Article 24(4)

Transfer where the seller is not the original lender

Where the seller is not the original lender, a statement confirming that the securitisation complies with Articles 24(1) to 24(3) of Regulation (EU) 2017/2402.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT24

Article 24(5)

Transfer performed by means of an assignment and perfected at a later stage.

Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, provide a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 24(5) of Regulation (EU) 2017/2402.

Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT25

Article 24(6)

Representations and warranties

A concise explanation on whether there are representations and warranties provided by the seller that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect.

Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT26

Article 24(7)

Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis

√ˆš

A concise explanation whether:- the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis;- the selection and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active portfolio management on a discretionary basis..

Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT27

Article 24(8)

No re-securitisation

Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation.

Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT28

Article 24(9)

Transferred underlying exposures without defaulted exposures

A detailed explanation how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in Article 24(9) of the Regulation (EU) 2017/2402, as applicable. Where appropriate, a clear statement whether the securitisation contains any credit-impairedness at the time of securitisation as specified in Article 24(9)(a)(i) of Regulation (EU) 2017/2402.

Confirmation that:- at the time of origination, the requirements referred to in Article 24(9)(b) of Regulation (EU) 2017/2402 are met;- at the time of selection, the requirements referred to in Article 24(9)(c) of Regulation (EU) 2017/2402 are met.

Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT29

Article 24(10)

At least one payment at the time of transfer

Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment.

Where no payment has been made, an explanation why this is the case, including a statement as to whether the reason is one of the exceptions permitted under Article 20(12) of Regulation (EU) 2017/2402 applies.

Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT30

Article 24(11)

Repayment of the holders shall not have been structured to depend predominantly on the sale of assets.

A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. Where appropriate, a detailed explanation as to whether repayments of the investors are not considered to depend on the sale of assets, as specified under the second subparagraph of Article 24(11) of Regulation (EU) 2017/2402.

Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT31

Article 24(12)

Mitigation of interest rates (IR) and currency (FX) risks

√ˆš

A concise explanation whether and how the interest rates and currency risks are appropriately mitigated and confirm that the measures to that effect are disclosed.

A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted standards.

Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT32

Article 24(12)

Derivatives purchased/sold by SSPE

Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contracts

Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU2019/980

STSAT33

Article 24(12)

Derivatives in underlying exposures

√ˆš

A concise explanation on the presence of any derivatives in the pool of underlying exposures.

Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT34

Article 24(12)

Derivatives using common standards

√ˆš

A concise explanation whether any derivatives permissible under Article 24(12) are underwritten and documented according to common standards in international finance.

Items 3.4.7 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT35

Article 24(13)

Clear and consistent definitions relating to the treatment of problem loans

Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 24(13) of Regulation (EU) 2017/2402.

Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT36

Article 24(13)

Priorities of payment and triggers events

√ˆš

Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to Article 24(13) of Regulation (EU) 2017/2402.

Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT37

Article 24(14)

Historical default and loss performance data

√ˆš

Confirmation that the data required to be made available under Article 24(14) of Regulation (EU) 2017/2402 is available and a clear statement where the information is available to potential investors before pricing.

Where the sponsor does not have access to such data, confirmation that the seller has provided access to data as specified under Article 24(14) of Regulation (EU) 2017/2402.

Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years.

Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT38

Article 24(15)

Homogeneity of assets

√ˆš

A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT39

Article 24(15)

Underlying exposure obligations

Confirmation that the pool of underlying exposures has a remaining weighted average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years.

Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with the third paragraph of Article 24(15) of Regulation (EU) 2017/2402.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT40

Article 24(15)

Underlying exposure obligations

Confirmation, where appropriate, that the underlying exposures:- do not include loans secured by residential or commercial mortgages or fully guaranteed residential loans, as referred to in point (e) of the first subparagraph of Article 129(1) of Regulation (EU) No 575/2013, as that Regulation had effect immediately before IP completion day;- contain obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or related to any other right to receive income from assets warranting such payments;- does not include transferable securities as defined in point (24) of article 2(1) of Regulation (EU) No 600/2014 other than corporate bonds, that are not listed on a trading venue.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT41

Article 24(16)

Referenced interest payments based on generally used interest rates

A concise explanation whether and how any referenced interest payments under the ABCP securitisation'€™s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds.

Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT42

Article 24(17)

No trapping of cash following enforcement or acceleration notice

√ˆš

A concise explanation on whether each of the requirements of Article 24(17) of Regulation (EU) 2017/2402 are met, including a concise explanation of cases where cash may be trapped.

Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT43

Article 24(17)

(a) No trapping of cash following enforcement or acceleration

√ˆš

Confirmation that no cash would be trapped following an enforcement or an acceleration notice.

Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT44

Article 24(17)

(b) Principal receipts shall be passed to investors

√ˆš

Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position.

Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT45

Article 24(17)

(c) No provisions shall require automatic liquidation of the underlying exposures at market value

Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value.

Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT46

Article 24(18)

Soundness of the underwriting standards

A detailed explanation as to whether the underlying exposures were originated in the seller’s ordinary course of business, specifying whether the underwriting standard are no less stringent that those applied to exposures that were not securitised.

A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP securitisation.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT47

Article 24(18)

Seller expertise

√ˆš

A detailed explanation as to whether the seller has the required expertise in originating exposures of a similar nature to those securitised.

Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT48

Article 24(19)

Revolving ABCP securitisation/credit quality trigger.

A detailed explanation how the provisions or triggers in Art 24(19) of Regulation (EU) 2017/2402 are included in the securitisation documentation.

Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT49

Article 24(20)

Securitisation participant duties

Confirmation that the securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider.

Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT50

Article 24(20)

Servicing continuity provisions

Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a termination of servicing.

Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT51

Article 24(20)

Derivative counterparty and account bank continuity provisions

Confirmation that the securitisation documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and other specified events, where applicable.

Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAT52

Article 24(20)

Sponsor robustness

√ˆš

Confirmation that the securitisation documentation includes provisions on how the sponsor meets the requirements Article 25(3) of Regulation (EU) 2017/2402.

Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980