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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 XIV

Inside information or significant event template – Non-asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Securitisation information section

SESS1

Unique Identifier

{ALPHANUM-28}

SESS2

Data Cut-Off Date

{DATEFORMAT}

SESS3

No Longer STS

{Y/N}

SESS4

Remedial Actions

{Y/N}

SESS5

Administrative Actions

{Y/N}

SESS6

Material Amendment to Transaction Documents

{ALPHANUM-1000000}

SESS7

Perfection Of Sale

{Y/N}

SESS8

Current Waterfall Type

{LIST}

SESS9

Master Trust Type

{LIST}

SESS10

SSPE Value

{MONETARY}

SESS11

SSPE Principal Value

{MONETARY}

SESS12

SSPE Number Of Accounts

{INTEGER-999999999}

SESS13

Note Principal Balance

{MONETARY}

SESS14

Seller Share

{PERCENTAGE}

SESS15

Funding Share

{PERCENTAGE}

SESS16

Revenue Allocated To This Series

{MONETARY}

SESS17

Interest Rate Swap Benchmark

{LIST}

SESS18

Interest Rate Swap Maturity Date

{DATEFORMAT}

SESS19

Interest Rate Swap Notional

{MONETARY}

SESS20

Currency Swap Payer Currency

{CURRENCYCODE_3}

SESS21

Currency Swap Receiver Currency

{CURRENCYCODE_3}

SESS22

Exchange Rate For Currency Swap

{PERCENTAGE}

SESS23

Currency Swap Maturity Date

{DATEFORMAT}

SESS24

Currency Swap Notional

{MONETARY}

Tranche/bond-level information section

SEST1

Unique Identifier

{ALPHANUM-28}

SEST2

Original Tranche Identifier

{ALPHANUM-1000}

SEST3

New Tranche Identifier

{ALPHANUM-1000}

SEST4

International Securities Identification Number

{ISIN}

SEST5

Tranche Name

{ALPHANUM-100}

SEST6

Tranche/Bond Type

{LIST}

SEST7

Currency

{CURRENCYCODE_3}

SEST8

Original Principal Balance

{MONETARY}

SEST9

Current Principal Balance

{MONETARY}

SEST10

Interest Payment Frequency

{LIST}

SEST11

Interest Payment Date

{DATEFORMAT}

SEST12

Principal Payment Date

{DATEFORMAT}

SEST13

Current Coupon

{PERCENTAGE}

SEST14

Current Interest Rate Margin/Spread

{PERCENTAGE}

SEST15

Coupon Floor

{PERCENTAGE}

SEST16

Coupon Cap

{PERCENTAGE}

SEST17

Step-Up/Step-Down Coupon Value

{PERCENTAGE}

SEST18

Step-Up/Step-Down Coupon Date

{DATEFORMAT}

SEST19

Business Day Convention

{LIST}

SEST20

Current Interest Rate Index

{LIST}

SEST21

Current Interest Rate Index Tenor

{LIST}

SEST22

Issue Date

{DATEFORMAT}

SEST23

Disbursement Date

{DATEFORMAT}

SEST24

Legal Maturity

{DATEFORMAT}

SEST25

Extension Clause

{LIST}

SEST26

Next Call Date

{DATEFORMAT}

SEST27

Clean-Up Call Threshold

{ALPHANUM-1000}

SEST28

Next Put date

{DATEFORMAT}

SEST29

Day Count Convention

{LIST}

SEST30

Settlement Convention

{LIST}

SEST31

Current Attachment Point

{PERCENTAGE}

SEST32

Original Attachment Point

{PERCENTAGE}

SEST33

Current Credit Enhancement

{PERCENTAGE}

SEST34

Original Credit Enhancement

{PERCENTAGE}

SEST35

Credit Enhancement Formula

{ALPHANUM-1000}

SEST36

Pari-Passu Tranches

{ISIN}

SEST37

Senior Tranches

{ISIN}

SEST38

Outstanding Principal Deficiency Ledger Balance

{MONETARY}

SEST39

Guarantor Legal Entity Identifier

{LEI}

SEST40

Guarantor Name

{ALPHANUM-1000}

SEST41

Guarantor SA Subsector

{SA}

SEST42

Protection Type

{LIST}

Account-level information section

SESA1

Unique Identifier

{ALPHANUM-28}

SESA2

Original Account Identifier

{ALPHANUM-1000}

SESA3

New Account Identifier

{ALPHANUM-1000}

SESA4

Account Type

{LIST}

SESA5

Account Target Balance

{MONETARY}

SESA6

Account Actual Balance

{MONETARY}

SESA7

Amortising Account

{Y/N}

Counterparty-level information section

SESP1

Unique Identifier

{ALPHANUM-28}

SESP2

Counterparty Legal Entity Identifier

{LEI}

SESP3

Counterparty Name

{ALPHANUM-100}

SESP4

Counterparty Type

{LIST}

SESP5

Counterparty Country Of Establishment

{COUNTRYCODE_2}

SESP6

Counterparty Rating Threshold

{ALPHANUM-100000}

SESP7

Counterparty Rating

{ALPHANUM-100000}

SESP8

Counterparty Rating Source Legal Entity Identifier

{LEI}

SESP9

Counterparty Rating Source Name

{ALPHANUM-100}

CLO Securitisation information section

SESC1

Unique Identifier

{ALPHANUM-28}

SESC2

Non-Call Period End-Date

{DATEFORMAT}

SESC3

CLO Type

{LIST}

SESC4

Current Period

{LIST}

SESC5

Current Period Start Date

{DATEFORMAT}

SESC6

Current Period End Date

{DATEFORMAT}

SESC7

Concentration Limit

{PERCENTAGE}

SESC8

Restrictions — Legal Maturity

{PERCENTAGE}

SESC9

Restrictions — Subordinated Exposures

{PERCENTAGE}

SESC10

Restrictions — Non-Performing Exposures

{PERCENTAGE}

SESC11

Restrictions — PIK Exposures

{PERCENTAGE}

SESC12

Restrictions — Zero-Coupon Exposures

{PERCENTAGE}

SESC13

Restrictions — Equity Exposures

{PERCENTAGE}

SESC14

Restrictions — Participation Exposures

{PERCENTAGE}

SESC15

Restrictions — Discretionary Sales

{PERCENTAGE}

SESC16

Discretionary Sales

{MONETARY}

SESC17

Reinvestments

{MONETARY}

SESC18

Restrictions — Credit Enhancement

{Y/N}

SESC19

Restrictions — Quotes

{Y/N}

SESC20

Restrictions — Trades

{Y/N}

SESC21

Restrictions — Issuances

{Y/N}

SESC22

Restrictions — Redemptions

{Y/N}

SESC23

Restrictions — Refinancing

{Y/N}

SESC24

Restrictions — Note Remuneration

{Y/N}

SESC25

Restrictions — Credit Protection

{Y/N}

SESC26

Collateral Liquidation Period

{INTEGER-9999}

SESC27

Collateral Liquidation — Waiver

{Y/N}

CLO Manager information section

SESL1

Unique Identifier

{ALPHANUM-28}

SESL2

CLO Manager Legal Entity Identifier

{LEI}

SESL3

Manager Name

{ALPHANUM-1000}

SESL4

Establishment Date

{DATEFORMAT}

SESL5

Registration Date

{DATEFORMAT}

SESL6

Employees

{INTEGER-9999}

SESL7

Employees - CLOs

{INTEGER-9999}

SESL8

Employees - Workout

{INTEGER-9999}

SESL9

AUM

{MONETARY}

SESL10

AUM - Leveraged Loans

{MONETARY}

SESL11

AUM - CLOs

{MONETARY}

SESL12

AUM - UK

{MONETARY}

SESL13

AUM - UK CLOs

{MONETARY}

SESL14

Number UK CLOs

{INTEGER-9999}

SESL15

Capital

{MONETARY}

SESL16

Capital - Risk Retention

{MONETARY}

SESL17

Settlement Time

{INTEGER-9999}

SESL18

Pricing Frequency

{INTEGER-9999}

SESL19

Default Rate - 1 year

{PERCENTAGE}

SESL20

Default Rate - 5 years

{PERCENTAGE}

SESL21

Default Rate - 10 years

{PERCENTAGE}

Synthetic coverage information section

SESV1

Unique Identifier

{ALPHANUM-28}

SESV2

Protection Instrument Identifier

{ALPHANUM-1000}

SESV3

Protection Type

{LIST}

SESV4

Protection Instrument International Securities Identification Number

{ISIN}

SESV5

Protection Provider Name

{ALPHANUM-100}

SESV6

Protection Provider Legal Entity Identifier

{LEI}

SESV7

Public Entity With Zero Risk Weight

{Y/N}

SESV8

Governing Law

{COUNTRYCODE_2}

SESV9

ISDA Master Agreement

{LIST}

SESV10

Default And Termination Events

{LIST}

SESV11

Synthetic Securitisation Type

{Y/N}

SESV12

Protection Currency

{CURRENCYCODE_3}

SESV13

Current Protection Notional

{MONETARY}

SESV14

Maximum Protection Notional

{MONETARY}

SESV15

Protection Attachment Point

{PERCENTAGE}

SESV16

Protection Detachment Point

{PERCENTAGE}

SESV17

International Securities Identification Number Of Notes Covered

{ISIN}

SESV18

Protection Coverage

{LIST}

SESV19

Protection Termination Date

{DATEFORMAT}

SESV20

Materiality Thresholds

{Y/N}

SESV21

Payment Release Conditions

{LIST}

SESV22

Adjustment Payments Possible

{Y/N}

SESV23

Length Of Workout Period

{INTEGER-9999}

SESV24

Obligation To Repay

{Y/N}

SESV25

Collateral Substitutable

{Y/N}

SESV26

Collateral Coverage Requirements

{PERCENTAGE}

SESV27

Collateral Initial Margin

{MONETARY}

SESV28

Collateral Delivery Deadline

{INTEGER-9999}

SESV29

Settlement

{LIST}

SESV30

Maximum Maturity Date Permitted

{DATEFORMAT}

SESV31

Current Index For Payments To Protection Buyer

{LIST}

SESV32

Current Index For Payments To Protection Buyer Tenor

{LIST}

SESV33

Payment Reset Frequency — To Protection Buyer

{LIST}

SESV34

Current Interest Rate Margin For Payments To Protection Buyer

{PERCENTAGE}

SESV35

Current Interest Rate For Payments To Protection Buyer

{PERCENTAGE}

SESV36

Current Index For Payments To Protection Seller

{LIST}

SESV37

Current Index For Payments To Protection Seller Tenor

{LIST}

SESV38

Payment Reset Frequency — To Protection Seller

{LIST}

SESV39

Current Interest Rate Margin For Payments To Protection Seller

{PERCENTAGE}

SESV40

Current Interest Rate For Payments To Protection Seller

{PERCENTAGE}

SESV41

Excess Spread Support

{Y/N}

SESV42

Excess Spread Definition

{Y/N}

SESV43

Current Protection Status

{LIST}

SESV44

Bankruptcy Is Credit Event

{Y/N}

SESV45

Failure To Pay Is Credit Event

{Y/N}

SESV46

Restructuring Is Credit Event

{Y/N}

SESV47

Credit Event

{Y/N}

SESV48

Cumulative Payments To Protection Buyer

{MONETARY}

SESV49

Cumulative Adjustment Payments To Protection Buyer

{MONETARY}

SESV50

Cumulative Payments To Protection Seller

{MONETARY}

SESV51

Cumulative Adjustment Payments To Protection Seller

{MONETARY}

SESV52

Synthetic Excess Spread Ledger Amount

{MONETARY}

Issuer collateral information section

SESI1

Unique Identifier

{ALPHANUM-28}

SESI2

Protection Instrument Identifier

{ALPHANUM-1000}

SESI3

Original Collateral Instrument Identifier

{ALPHANUM-1000}

SESI4

New Collateral Identifier

{ALPHANUM-1000}

SESI5

Collateral Instrument International Securities Identification Number

{ISIN}

SESI6

Collateral Instrument Type

{LIST}

SESI7

Collateral Issuer SA Subsector

{SA}

SESI8

Collateral Issuer Legal Entity Identifier

{LEI}

SESI9

Collateral Issuer Affiliated With Originator?

{Y/N}

SESI10

Current Outstanding Balance

{MONETARY}

SESI11

Instrument Currency

{CURRENCYCODE_3}

SESI12

Maturity Date

{DATEFORMAT}

SESI13

Haircut

{PERCENTAGE}

SESI14

Current Interest Rate Index

{LIST}

SESI15

Current Interest Rate Index Tenor

{LIST}

SESI16

Current Interest Rate on Cash Deposits

{PERCENTAGE}

SESI17

Repo Counterparty Name

{ALPHANUM-100}

SESI18

Repo Counterparty Legal Entity Identifier

{LEI}

SESI19

Repo Maturity Date

{DATEFORMAT}

Any other information section

SESO1

Unique Identifier

{ALPHANUM-28}

SESO2

Any Other Information Line Number

{INTEGER-9999}

SESO3

Any Other Information

{ALPHANUM-1000}