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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 III

Information to be provided the FCA pursuant to Articles 25 and 26 of the Regulation (EU) 2017/2402 regarding ABCP programmes

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

STSAP0

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.

STSAP1

N/A

Instrument identification code

Where applicable, the international security identification codes (ISIN) assigned to the ABCP programmes.

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

STSAP2

N/A

Legal Entity Identifier (LEI)

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

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

STSAP3

N/A

Notification identifier

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

N/A

STSAP4

N/A

Unique identifier

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

N/A

STSAP5

N/A

Prospectus identifier

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

N/A

STSAP6

N/A

Securitisation Repository

Where available, the name of the registered securitisation repository.

N/A

STSAP7

N/A

Securitisation name

The name of the ABCP programme

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

STSAP8

Article 18 and 27(3)

Country of establishment

Confirmation that the sponsor is established in the United Kingdom.

Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980

STSAP9

N/A

Securitisation classification

The type of securitisation (non-ABCP, ABCP, ABCP programme)

N/A

STSAP10

N/A

Issuance date

The date of the first issuance of the ABCP programme

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

STSAP11

N/A

Notification date

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

N/A

STSAP12

Article 27(2)

Authorised Third party

Where 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

STSAP13

Article 27(2)

Authorised Third party

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

N/A

[deleted]

STSAP15

Article 27(5)

STS status

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

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

STSAP16

Article 25(1)

Sponsor to be a supervised credit institution

Confirmation that the sponsor of the programme is a CRR firm as defined by Article 4(1)(2A) of Regulation (EU) No 575/2013, but is not an investment firm as defined by Article 4(1)(2) of that Regulation and link to a document attesting to such status.

N/A

STSAP17

Article 25(2)

Sponsor support as liquidity facility provider

√ˆš

Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision.

N/A

STSAP18

Article 25(3)

Demonstration to the PRA

Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to the PRA.

N/A

STSAP19

Article 25(4)

Compliance with sponsor'€™s due diligence requirements

√ˆš

Confirmation the sponsor'€™s compliance with the due diligence requirements set out in Article 5(1) and (3) of Regulation (EU) 2017/2402, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of Regulation (EU) No 575/2013 or equivalent requirements in third countries.

N/A

STSAP20

Article 25(5)

The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy with the risk retention requirements as provided under Article 6

A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under Article 6 of Regulation (EU) 2017/2402 specifying the option used for retaining the risk including:

(1) vertical slice -€” i.e. Article 6(3)(a) of Regulation (EU) 2017/2402;

(2) seller'€™s share — i.e. Article 6(3)(b) of Regulation (EU) 2017/2402;

(3) randomly-selected exposures kept on balance sheet -€” i.e. Article 6(3)(c) of Regulation (EU) 2017/2402;

(4) first loss tranche -€” i.e. Article 6(3)(d) of Regulation (EU) 2017/2402;

(5) first loss exposure in each asset — i.e. Article 6(3)(e) of Regulation (EU) 2017/2402;

(6) no compliance with risk retention requirements of Regulation (EU) 2017/2402;

(7) other.

Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

STSAP21

Article 25(6)

Compliance at ABCP programme level with Article 7 (transparency requirements)

Confirmation that:- the sponsor is responsible for compliance with Article 7 of Regulation (EU) 2017/2402;- the sponsor is complying with Article 7 at the ABCP programme level;- the sponsor has made available to potential investors before pricing and upon their request: the aggregate information required by point (a) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, and the information required by points (b) to (e) of the first subparagraph of Article 7(1) of Regulation (EU) 2017/2402, at least in draft or initial form.

N/A

STSAP22

Article 25(7)

Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor

A concise explanation from the sponsor as to whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry.

N/A

STSAP23

Article 26(1)

Compliance of ABCP securitisations within an ABCP programme with Article 24(1) to (8) and (12) to (20)

√ˆš

Confirmation whether all ABCP securitisations within the programme meet the following requirements:- Article 24(1) to (8) of Regulation (EU) 2017/2402.- Article 24(12) to (20) of Regulation (EU) 2017/2402.

N/A

STSAP24

Article 26(1) second and third paragraphs

Maximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporally be non-compliant with certain requirements

A detailed explanation as to which, if any, of the requirements of Articles 24(9), (10) or (11) of Regulation (EU) 2017/2402 are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP securitisations it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party.

N/A

STSAP25

Article 26(2)

Remaining weighted average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years

Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years.

N/A

STSAP26

Article 26(3)

Fully supported ABCP programme (sponsor support)

√ˆš

A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with Article 25(2) of Regulation (EU) 2017/2402.

N/A

STSAP27

Article 26(4)

No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level

Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level.

N/A

STSAP28

Article 26(5)

No call options

√ˆš

Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities'€™ final maturity at the discretion of the seller, sponsor or SSPE.

N/A

STSAP29

Article 26(6)

Interest rate and currency risks at ABCP programme appropriately mitigated and documented.

√ˆš

A detailed explanation whether and how the interest rates and currency risks arising at ABCP programme level are appropriately mitigated as well as the measures used to mitigate such risks, including whether the SSPE enters into derivative contracts other than for the reasons set out by Article 26(6) of Regulation (EU) 2017/2402 and a description how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance.

N/A

STSAP30

Article 26(7)(a)

Requirements for the ABCP programme documentation (responsibilities of the trustee to investors)

Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme'€™s documentation.

N/A

STSAP31

Article 26(7)(b)

Requirements for the ABCP programme documentation (contractual obligations of the sponsor)

√ˆš

Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme'€™s documentation.

N/A

STSAP32

Article 26(7)(c)

Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer)

√ˆš

Confirmation that the ABCP programme'€™s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity.

N/A

STSAP33

Article 26(7)(d)

Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank)

√ˆš

Confirmation that the requirements under Article 26(7)(d) of the Regulation (EU) 2017/2402 are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events.

N/A

STSAP34

Article 26(7)(e)

Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment)

Confirmation that the ABCP programme'€™s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider.

A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(e) of Regulation (EU) 2017/2402.

N/A

STSAP35

Article 26(7)(f)

Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry)

Confirmation that the ABCP programme'€™s documentation contains provisions ensuring that the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry.

A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(f) of Regulation (EU) 2017/2402.

N/A

STSAP36

Article 26(8)

Servicer expertise

A detailed explanation of how the requirements of Article 26(8) of Regulation (EU) 2017/2402 are met, including the policies and procedures ensuring compliance with these requirements

A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in Article 26(8) of Regulation (EU) 2017/2402 (as applicable) ("servicer expertise, policies, procedures, and risk management").

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