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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 XI

Underlying exposures template – Asset-backed commercial paper

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

IVAL1

Unique Identifier -€” ABCP Programme

{ALPHANUM-28}

IVAL2

Unique Identifier -€” ABCP Transaction

{ALPHANUM-36}

IVAL3

Original Underlying Exposure Identifier

{ALPHANUM-1000}

IVAL4

New Underlying Exposure Identifier

{ALPHANUM-1000}

IVAL5

Underlying Exposure Type

{LIST}

IVAL6

Data Cut-Off Date

{DATEFORMAT}

IVAL7

Geographic Region -€” Largest Exposure Concentration 1

{NUTS}

IVAL8

Geographic Region -€” Largest Exposure Concentration 2

{NUTS}

IVAL9

Geographic Region -€” Largest Exposure Concentration 3

{NUTS}

IVAL10

Geographic Region Classification

{YEAR}

IVAL11

Current Principal Balance

{MONETARY}

IVAL12

Number Of Underlying Exposures

{INTEGER-999999999}

IVAL13

EUR Exposures

{MONETARY}

IVAL14

GBP Exposures

{MONETARY}

IVAL15

USD Exposures

{MONETARY}

IVAL16

Other Exposures

{MONETARY}

IVAL17

Maximum Residual Maturity

{INTEGER-9999}

IVAL18

Average Residual Maturity

{INTEGER-9999}

IVAL19

Current Loan-To-Value

{PERCENTAGE}

IVAL20

Debt To Income Ratio

{PERCENTAGE}

IVAL21

Amortisation Type

{MONETARY}

IVAL22

Scheduled Principal Payment Frequency Above One Month

{MONETARY}

IVAL23

Scheduled Interest Payment Frequency Above One Month

{MONETARY}

IVAL24

Floating Rate Receivables

{MONETARY}

IVAL25

Financed Amount

{MONETARY}

IVAL26

Dilutions

{MONETARY}

IVAL27

Repurchased Exposures

{MONETARY}

IVAL28

Defaulted Or Credit-Impaired Exposures At Securitisation

{MONETARY}

IVAL29

Defaulted Exposures

{MONETARY}

IVAL30

Defaulted Exposures CRR

{MONETARY}

IVAL31

Gross Charge Offs In The Period

{MONETARY}

IVAL32

Arrears 1-29 Days

{PERCENTAGE}

IVAL33

Arrears 30-59 Days

{PERCENTAGE}

IVAL34

Arrears 60-89 Days

{PERCENTAGE}

IVAL35

Arrears 90-119 Days

{PERCENTAGE}

IVAL36

Arrears 120-149 Days

{PERCENTAGE}

IVAL37

Arrears 150-179 Days

{PERCENTAGE}

IVAL38

Arrears 180+ Days

{PERCENTAGE}

IVAL39

Restructured Exposures

{PERCENTAGE}

IVAL40

Restructured Exposures (0-1 years before transfer)

{MONETARY}

IVAL41

Restructured Exposures (1-3 years before transfer)

{MONETARY}

IVAL42

Restructured Exposures (> 3 years before transfer)

{MONETARY}

IVAL43

Restructured Exposures (Interest Rate)

{MONETARY}

IVAL44

Restructured Exposures (Repayment Schedule)

{MONETARY}

IVAL45

Restructured Exposures (Maturity)

{MONETARY}

IVAL46

Restructured Exposures (0-1 years before transfer and No New Arrears)

{MONETARY}

IVAL47

Restructured Exposures (No New Arrears)

{MONETARY}

IVAL48

Restructured Exposures (New Arrears)

{MONETARY}

IVAL49

Restructured Exposures (Other)

{MONETARY}