LegalizeCommission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
|---|---|---|---|---|
| Securitisation information section | Securitisation information section | Securitisation information section | Securitisation information section | Securitisation information section |
| SESS1 | Unique Identifier | The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| SESS2 | Data Cut-Off Date | The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted. | NO | NO |
| SESS3 | No Longer STS | Has the securitisation ceased to meet STS requirements? If the securitisation has never had STS status, then enter ND5. | NO | YES |
| SESS4 | Remedial Actions | Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. | NO | YES |
| SESS5 | Administrative Actions | Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. | NO | YES |
| SESS6 | Material Amendment to Transaction Documents | Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments. | NO | YES |
| SESS7 | Perfection Of Sale | Pursuant to Article 20(5) of Regulation (EU) 2017/2402, is the transfer of underlying exposures to the SSPE (i.e. perfection of sale) being performed after the securitisation closing date? | NO | YES |
| SESS8 | Current Waterfall Type | Choose, from the list below, the closest waterfall arrangement currently applicable to the securitisation: Turbo Waterfall (TRWT) Sequential Waterfall (SQWT) Pro-rata Waterfall (PRWT) Currently Sequential, with Possibility to Switch to Pro-rata in the Future (SQPR) Currently Pro-rata, with Possibility to Switch to Sequential in the Future (PRSQ) Other (OTHR) | NO | NO |
| SESS9 | Master Trust Type | If the securitisation has a master trust structure, select the most appropriate description of the structure: Each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution (a.k.a. ‘capitalist structure’) (CSTR) Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes (a.k.a. ‘socialist structure’ or ‘de-linked master trust’) (SSTR) Other (OTHR) | NO | YES |
| SESS10 | SSPE Value | If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESS11 | SSPE Principal Value | If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESS12 | SSPE Number Of Accounts | If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date. | NO | YES |
| SESS13 | Note Principal Balance | If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESS14 | Seller Share | If the securitisation has a master trust structure, enter the originator’s interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators. | NO | YES |
| SESS15 | Funding Share | If the securitisation has a master trust structure, enter the SSPE’s interest of this series in the trust at the data cut-off date, expressed as a percentage. | NO | YES |
| SESS16 | Revenue Allocated To This Series | If the securitisation has a master trust structure, enter the revenue amounts allocated to this series from the trust. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESS17 | Interest Rate Swap Benchmark | Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to: MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) | NO | YES |
| SESS18 | Interest Rate Swap Maturity Date | Date of maturity for the interest rate swap. | NO | YES |
| SESS19 | Interest Rate Swap Notional | Interest rate swap notional amount as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESS20 | Currency Swap Payer Currency | Enter the currency that the payer leg of the swap is paying. | NO | YES |
| SESS21 | Currency Swap Receiver Currency | Enter the currency that the receiver leg of the swap is paying. | NO | YES |
| SESS22 | Exchange Rate For Currency Swap | The exchange rate that has been set for a currency swap. | NO | YES |
| SESS23 | Currency Swap Maturity Date | Date of maturity for the currency swap. | NO | YES |
| SESS24 | Currency Swap Notional | Currency swap notional amount as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| Tranche/bond-level information section | Tranche/bond-level information section | Tranche/bond-level information section | Tranche/bond-level information section | Tranche/bond-level information section |
| SEST1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SEST2 | Original Tranche Identifier | The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier. | NO | NO |
| SEST3 | New Tranche Identifier | If the original identifier in field SEST2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEST2. The reporting entity must not amend this unique identifier. | NO | NO |
| SEST4 | International Securities Identification Number | The ISIN code assigned to this tranche, where applicable. | NO | YES |
| SEST5 | Tranche Name | The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc. | NO | YES |
| SEST6 | Tranche/Bond Type | Select the most appropriate option to describe the repayment profile of the instrument: Hard bullet (i.e. fixed maturity date) (HBUL) Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL) Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO) Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM) Other (OTHR) | NO | NO |
| SEST7 | Currency | The currency denomination of this instrument. | NO | NO |
| SEST8 | Original Principal Balance | The Original Principal Balance of this tranche at issuance Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEST9 | Current Principal Balance | The par, or notional, balance of this tranche after the current Principal Payment Date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEST10 | Interest Payment Frequency | The frequency with which interest is due to be paid on this instrument: Monthly (MNTH) Quarterly (QUTR) Semi Annual (SEMI) Annual (YEAR) Other (OTHR) | NO | NO |
| SEST11 | Interest Payment Date | The first occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche. | NO | YES |
| SEST12 | Principal Payment Date | The first occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche. | NO | YES |
| SEST13 | Current Coupon | The coupon on the instrument in basis points. | NO | NO |
| SEST14 | Current Interest Rate Margin/Spread | The coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points. | NO | YES |
| SEST15 | Coupon Floor | The coupon floor of the instrument. | NO | YES |
| SEST16 | Coupon Cap | The coupon cap of the instrument. | NO | YES |
| SEST17 | Step-Up/Step-Down Coupon Value | If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme? | NO | YES |
| SEST18 | Step-Up/Step-Down Coupon Date | If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme? | NO | YES |
| SEST19 | Business Day Convention | Business day convention used for the calculation of interest due: Following (FWNG) Modified Following (MODF) Nearest (NEAR) Preceding (PREC) Other (OTHR) | NO | YES |
| SEST20 | Current Interest Rate Index | The base reference interest index currently applicable (the reference rate off which the interest rate is set): MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) | NO | YES |
| SEST21 | Current Interest Rate Index Tenor | Tenor of the current interest rate index: Overnight (OVNG) IntraDay (INDA) 1 day (DAIL) 1 week (WEEK) 2 week (TOWK) 1 month (MNTH) 2 month (TOMN) 3 month (QUTR) 4 month (FOMN) 6 month (SEMI) 12 month (YEAR) On Demand (ONDE) Other (OTHR) | NO | YES |
| SEST22 | Issue Date | Date on which this instrument was issued. | NO | NO |
| SEST23 | Disbursement Date | First date starting on which the amount of interest payable on the instrument is calculated. | NO | YES |
| SEST24 | Legal Maturity | The date before which this instrument must be repaid in order not to be in default. | NO | YES |
| SEST25 | Extension Clause | Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme: SSPE only (ISUR) Noteholder (NHLD) Either SSPE or noteholder (ISNH) No option (NOPT) | NO | YES |
| SEST26 | Next Call Date | What is the next date on which the instrument can be called as per the terms and conditions of the securitisation/programme? This excludes clean-up arrangements. | NO | YES |
| SEST27 | Clean-Up Call Threshold | What is the clean-up call threshold as per the terms and conditions of the securitisation/programme? | NO | YES |
| SEST28 | Next Put date | What is the next put date as per the terms and conditions of the securitisation/programme? | NO | YES |
| SEST29 | Day Count Convention | The ‘days’ convention used to calculate interest: 30/360 (A011) Actual/365 (A005) Actual/360 (A004) Actual/Actual ICMA (A006) Actual/Actual ISDA (A008) Actual/Actual AFB (A010) Actual/366 (A009) Other (OTHR) | NO | YES |
| SEST30 | Settlement Convention | Usual settlement convention for the tranche: T Plus One (TONE) T Plus Two (TTWO) T Plus Three (TTRE) As soon as possible (ASAP) At the end of the Contract (ENDC) End of Month (MONT) Future (FUTU) Next Day (NXTD) Regular (REGU) T Plus Five (TFIV) T Plus Four (TFOR) When and if issued (WHIF) When Distributed (WDIS) When Issued (WISS) When Issued or Distributed (WHID) Other (OTHR) | NO | YES |
| SEST31 | Current Attachment Point | The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. | NO | NO |
| SEST32 | Original Attachment Point | The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. | NO | YES |
| SEST33 | Current Credit Enhancement | The current tranche credit enhancement, calculated as per the originator/sponsor/SSPE’s definition | NO | NO |
| SEST34 | Original Credit Enhancement | The tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE’s definition | NO | YES |
| SEST35 | Credit Enhancement Formula | Describe/Enter the formula used to calculate the tranche credit enhancement. | NO | NO |
| SEST36 | Pari-Passu Tranches | Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. | NO | YES |
| SEST37 | Senior Tranches | Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. | NO | YES |
| SEST38 | Outstanding Principal Deficiency Ledger Balance | The unpaid Principal Deficiency Ledger balance of the tranche in question. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEST39 | Guarantor Legal Entity Identifier | If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5. | NO | YES |
| SEST40 | Guarantor Name | Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5. | NO | YES |
| SEST41 | Guarantor ESA Subsector | The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 ‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5. | NO | YES |
| SEST42 | Protection Type | List the type of protection instrument used: Credit Default Swap (CDSX) Credit-Linked Note (CLKN) Total Return Swap (TRES) Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA) Credit Insurance (CINS) Other (OTHR) | NO | YES |
| Account-level information section | Account-level information section | Account-level information section | Account-level information section | Account-level information section |
| SESA1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESA2 | Original Account Identifier | The original unique account identifier. The reporting entity must not amend this unique identifier. | NO | NO |
| SESA3 | New Account Identifier | If the original identifier in field SESA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESA2. The reporting entity must not amend this unique identifier. | NO | NO |
| SESA4 | Account Type | The type of account: Cash Reserve Account (CARE) Commingling Reserve Account (CORE) Set-off Reserve Account (SORE) Liquidity Facility (LQDF) Margin Account (MGAC) Other Account (OTHR) | NO | NO |
| SESA5 | Account Target Balance | The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESA6 | Account Actual Balance | The balance of funds on deposit in the account in question at the Accrual End Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESA7 | Amortising Account | Is the account amortising over the lifetime of the securitisation? | NO | NO |
| Counterparty-level information section | Counterparty-level information section | Counterparty-level information section | Counterparty-level information section | Counterparty-level information section |
| SESP1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESP2 | Counterparty Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty. | NO | NO |
| SESP3 | Counterparty Name | Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | NO |
| SESP4 | Counterparty Type | The type of counterparty: Account Bank (ABNK) Backup Account Bank (BABN) Account Bank Facilitator (ABFC) Account Bank Guarantor (ABGR) Collateral Agent (CAGT) Paying Agent (PAYA) Calculation Agent (CALC) Administration Agent (ADMI) Administration Sub-Agent (ADSA) Transfer Agent (RANA) Verification agent (VERI) Security agent (SECU) Cash Advance Provider (CAPR) Collateral Provider (COLL) Guaranteed Investment Contract Provider (GICP) Insurance Policy Credit Provider (IPCP) Liquidity Facility Provider (LQFP) Backup Liquidity Facility Provider (BLQP) Savings Mortgage Participant (SVMP) Issuer (ISSR) Originator (ORIG) Seller (SELL) Sponsor of the Securitisation Special Purpose Entity (SSSP) Servicer (SERV) Backup Servicer (BSER) Backup Servicer Facilitator (BSRF) Special Servicer (SSRV) Subscriber (SUBS) Interest Rate Swap Provider (IRSP) Backup Interest Rate Swap Provider (BIPR) Currency Swap Provider (CSPR) Backup Currency Swap Provider (BCSP) Auditor (AUDT) Counsel (CNSL) Trustee (TRUS) Representative of Noteholders (REPN) Underwriter (UNDR) Arranger (ARRG) Dealer (DEAL) Manager (MNGR) Letter of Credit Provider (LCPR) Multi-Seller Conduit (MSCD) Securitisation Special Purpose Entity (SSPE) Liquidity or Liquidation Agent (LQAG) Equity owner of conduit/SSPE (EQOC) Swingline Facility Provider (SWNG) Start-up Loan or Lease Provider (SULP) Repurchase Agreement Counterparty (RAGC) Cash Manager (CASM) Collection Account Bank (CACB) Collateral Account Bank (COLA) Subordinated Loan Provider (SBLP) Collateralised Loan Obligation Manager (CLOM) Portfolio Advisor (PRTA) Substitution Agent (SUBA) Other (OTHR) | NO | NO |
| SESP5 | Counterparty Country Of Establishment | Country where the counterparty is established. | NO | NO |
| SESP6 | Counterparty Rating Threshold | If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date. In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. | NO | YES |
| SESP7 | Counterparty Rating | If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date. In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. | NO | YES |
| SESP8 | Counterparty Rating Source Legal Entity Identifier | If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. | NO | YES |
| SESP9 | Counterparty Rating Source Name | If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. | NO | YES |
| CLO Securitisation information section | CLO Securitisation information section | CLO Securitisation information section | CLO Securitisation information section | CLO Securitisation information section |
| SESC1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESC2 | Non-Call Period End-Date | Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.). | NO | YES |
| SESC3 | CLO Type | The CLO type that best describes this transaction: Balance Sheet Collateralized Loan Obligation (BCLO) Arbitrage Collateralized Loan Obligation (ACLO) Other (OTHR) | NO | YES |
| SESC4 | Current Period | The current period status of the CLO: Warehouse (WRHS) Ramp-up (RMUP) Reinvestment (RINV) Post-reinvestment (PORI) Other (OTHR) | NO | NO |
| SESC5 | Current Period Start Date | Enter the date in which the current period was entered into. | NO | YES |
| SESC6 | Current Period End Date | Enter the date in which the current period will/is expected to cease. | NO | YES |
| SESC7 | Concentration Limit | Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10 % and 20 %, then enter 20 %). | NO | YES |
| SESC8 | Restrictions — Legal Maturity | Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches? (assuming clean-up option is exercised) | NO | YES |
| SESC9 | Restrictions —Subordinated Exposures | Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased? | NO | YES |
| SESC10 | Restrictions — Non-Performing Exposures | Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased? | NO | YES |
| SESC11 | Restrictions — PIK Exposures | Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time? | NO | YES |
| SESC12 | Restrictions — Zero-Coupon Exposures | Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time? | NO | YES |
| SESC13 | Restrictions — Equity Exposures | Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased? | NO | YES |
| SESC14 | Restrictions —Participation Exposures | Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased? | NO | YES |
| SESC15 | Restrictions —Discretionary Sales | Allowed percentage (vs. portfolio par balance) of discretionary sales per year? | NO | YES |
| SESC16 | Discretionary Sales | Actual discretionary sales, year to date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESC17 | Reinvestments | Amount reinvested, year to date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESC18 | Restrictions — Credit Enhancement | Can the CLO manager withdraw or monetise any surplus credit enhancement? | NO | NO |
| SESC19 | Restrictions — Quotes | Can the CLO manager obtain quotes with dealers other than the arranger? | NO | NO |
| SESC20 | Restrictions — Trades | Can the CLO manager obtain trade with dealers other than the arranger? | NO | NO |
| SESC21 | Restrictions —Issuances | Are there restrictions on the additional issuance of notes? | NO | NO |
| SESC22 | Restrictions —Redemptions | Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes’ payment priority; must maintain or improve OC test ratios after purchase) | NO | NO |
| SESC23 | Restrictions —Refinancing | Are there restrictions when notes can be refinanced? | NO | NO |
| SESC24 | Restrictions — Note Remuneration | Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return? | NO | NO |
| SESC25 | Restrictions — Credit Protection | Is the CLO manager able to buy or sell credit protection on underlying assets? | NO | NO |
| SESC26 | Collateral Liquidation Period | Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days. | NO | YES |
| SESC27 | Collateral Liquidation — Waiver | Can some or all noteholders choose to waive the collateral liquidation period? | NO | NO |
| CLO Manager information section | CLO Manager information section | CLO Manager information section | CLO Manager information section | CLO Manager information section |
| SESL1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESL2 | CLO Manager Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager. | NO | NO |
| SESL3 | Manager Name | Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | NO |
| SESL4 | Establishment Date | Date of CLO manager incorporation/establishment | NO | YES |
| SESL5 | Registration Date | Date of registration within the EU as an investment adviser | NO | YES |
| SESL6 | Employees | Total number of employees | NO | NO |
| SESL7 | Employees — CLOs | Total number of employees dedicated to loan trading and management of CLO portfolios | NO | NO |
| SESL8 | Employees —Workout | Total employees dedicated to working out distressed credits | NO | NO |
| SESL9 | AUM | Assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL10 | AUM — Leveraged Loans | Total leveraged loan assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL11 | AUM — CLOs | Total CLO assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL12 | AUM — EU | Total EU assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL13 | AUM — EU CLOs | Total EU CLOs under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL14 | Number EU CLOs | Number EU CLOs under management | NO | NO |
| SESL15 | Capital | Total capital Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL16 | Capital — Risk Retention | Capital for funding risk retention Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESL17 | Settlement Time | Average time needed, in calendar days, for trade settlement | NO | NO |
| SESL18 | Pricing Frequency | Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day. | NO | NO |
| SESL19 | Default Rate - 1 year | Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year. | NO | NO |
| SESL20 | Default Rate - 5 years | Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years. | NO | NO |
| SESL21 | Default Rate - 10 years | Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years. | NO | NO |
| Synthetic coverage information section | Synthetic coverage information section | Synthetic coverage information section | Synthetic coverage information section | Synthetic coverage information section |
| SESV1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESV2 | Protection Instrument Identifier | The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier. | NO | NO |
| SESV3 | Protection Type | List the type of protection instrument used: Credit Default Swap (CDSX) Credit-Linked Note (CLKN) Total Return Swap (TRES) Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA) Credit Insurance (CINS) Other (OTHR) | NO | NO |
| SESV4 | Protection Instrument International Securities Identification Number | Enter the ISIN code of the protection instrument, where applicable. | NO | YES |
| SESV5 | Protection Provider Name | Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | NO |
| SESV6 | Protection Provider Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider. | NO | NO |
| SESV7 | Public Entity With Zero Risk Weight | Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) No 575/2013 (or as otherwise amended)? | NO | NO |
| SESV8 | Governing Law | Jurisdiction governing the protection agreement. | NO | NO |
| SESV9 | ISDA Master Agreement | Basis for protection documentation: ISDA Agreement 2002 (ISDA) ISDA Agreement 2014 (IS14) ISDA Agreement Other (ISOT) Rhamenvertrag (DERV) Other (OTHR) | NO | NO |
| SESV10 | Default And Termination Events | Where are the protection arrangement events of default and termination events listed? Schedule to the ISDA 2002 (ISDA) Schedule to the ISDA 2014 (IS14) Other — Bespoke (OTHR) | NO | YES |
| SESV11 | Synthetic Securitisation Type | Is this a ‘balance sheet synthetic securitisation’? | NO | NO |
| SESV12 | Protection Currency | Protection currency denomination. | NO | NO |
| SESV13 | Current Protection Notional | Total amount of coverage under the protection agreement, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV14 | Maximum Protection Notional | Maximum amount of coverage under the protection agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV15 | Protection Attachment Point | In terms of the pool principal, enter the percentage attachment point at which protection coverage begins. | NO | YES |
| SESV16 | Protection Detachment Point | In terms of the pool principal, enter the percentage detachment point at which protection coverage ends. | NO | YES |
| SESV17 | International Securities Identification Number Of Notes Covered | If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. | NO | YES |
| SESV18 | Protection Coverage | Report the option that best describes the coverage of the protection amount: Covers loss of principal only (PRNC) Covers loss of principal, loss of accrued interest (PACC) Covers loss of principal, loss of accrued interest, interest penalties (PAPE) Covers loss of principal, loss of accrued interest, cost of foreclosure (PINF) Covers loss of principal, loss of accrued interest, interest penalties, cost of foreclosure (PIPF) Other (OTHR) | NO | YES |
| SESV19 | Protection Termination Date | Enter the contractual date at which the protection is scheduled to expire/be terminated. | NO | YES |
| SESV20 | Materiality Thresholds | Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made? | NO | NO |
| SESV21 | Payment Release Conditions | The conditions relating to the release of payments made by the protection seller: Immediately after a credit event for the full amount of defaulted asset (IFAM) Immediately after a credit event for the full amount of defaulted assets net of expected recovery (IFAR) After a predetermined period allowed for collection activity (ACOL) After a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery (APCR) After full workout of loss, for the actual loss (AWRK) Other (OTHR) | NO | YES |
| SESV22 | Adjustment Payments Possible | Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)? | NO | NO |
| SESV23 | Length Of Workout Period | If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last. | NO | YES |
| SESV24 | Obligation To Repay | Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)? | NO | NO |
| SESV25 | Collateral Substitutable | Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). | NO | NO |
| SESV26 | Collateral Coverage Requirements | Where collateral is held, enter the % (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). | NO | YES |
| SESV27 | Collateral Initial Margin | If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SESV28 | Collateral Delivery Deadline | If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). | NO | YES |
| SESV29 | Settlement | Compensation to be delivered: Cash (CASH) Physical settlement (PHYS) | NO | YES |
| SESV30 | Maximum Maturity Date Permitted | If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered. | NO | YES |
| SESV31 | Current Index For Payments To Protection Buyer | Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap: MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) | NO | YES |
| SESV32 | Current Index For Payments To Protection Buyer Tenor | Tenor of the interest rate index used for payments to the protection buyer: Overnight (OVNG) IntraDay (INDA) 1 day (DAIL) 1 week (WEEK) 2 week (TOWK) 1 month (MNTH) 2 month (TOMN) 3 month (QUTR) 4 month (FOMN) 6 month (SEMI) 12 month (YEAR) On Demand (ONDE) Other (OTHR) | NO | YES |
| SESV33 | Payment Reset Frequency — To Protection Buyer | Frequency with which payments to the protection buyer are reset according to the credit protection agreement: Monthly (MNTH) Quarterly (QUTR) Semi Annual (SEMI) Annual (YEAR) Other (OTHR) | NO | YES |
| SESV34 | Current Interest Rate Margin For Payments To Protection Buyer | Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. | NO | YES |
| SESV35 | Current Interest Rate For Payments To Protection Buyer | Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. | NO | YES |
| SESV36 | Current Index For Payments To Protection Seller | Current interest rate index (the reference rate off of which payments to the protection seller are set): MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) | NO | YES |
| SESV37 | Current Index For Payments To Protection Seller Tenor | Tenor of the interest rate index used for payments to the protection seller: Overnight (OVNG) IntraDay (INDA) 1 day (DAIL) 1 week (WEEK) 2 week (TOWK) 1 month (MNTH) 2 month (TOMN) 3 month (QUTR) 4 month (FOMN) 6 month (SEMI) 12 month (YEAR) On Demand (ONDE) Other (OTHR) | NO | YES |
| SESV38 | Payment Reset Frequency — To Protection Seller | Frequency with which payments to the protection seller are reset according to the credit protection agreement: Monthly (MNTH) Quarterly (QUTR) Semi Annual (SEMI) Annual (YEAR) Other (OTHR) | NO | YES |
| SESV39 | Current Interest Rate Margin For Payments To Protection Seller | Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. | NO | YES |
| SESV40 | Current Interest Rate For Payments To Protection Seller | Current interest rate applied on payments to the protection seller. | NO | YES |
| SESV41 | Excess Spread Support | Is excess spread used as a credit enhancement to the most junior class of notes? | NO | NO |
| SESV42 | Excess Spread Definition | According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage) | NO | NO |
| SESV43 | Current Protection Status | The current status of the protection, as at the data cut-off date? Active (ACTI) Cancelled (CANC) Deactivated (DEAC) Expired (EXPI) Inactive (INAC) Withdrawn (WITH) Other (OTHR) | NO | NO |
| SESV44 | Bankruptcy Is Credit Event | Is bankruptcy of the reference credit/obligor included in the protection agreement’s definition of credit events? | NO | NO |
| SESV45 | Failure To Pay Is Credit Event | Is obligor failure to pay after 90 days included in the protection agreement’s definition of credit events? | NO | NO |
| SESV46 | Restructuring Is Credit Event | Is restructuring of the reference credit/obligor included in the protection agreement’s definition of credit events? | NO | NO |
| SESV47 | Credit Event | Has a credit event notice been given? | NO | NO |
| SESV48 | Cumulative Payments To Protection Buyer | Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV49 | Cumulative Adjustment Payments To Protection Buyer | Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV50 | Cumulative Payments To Protection Seller | Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV51 | Cumulative Adjustment Payments To Protection Seller | Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESV52 | Synthetic Excess Spread Ledger Amount | Total amount of the synthetic excess spread ledger, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| Issuer collateral information section | Issuer collateral information section | Issuer collateral information section | Issuer collateral information section | Issuer collateral information section |
| SESI1 | Unique Identifier | Report the same unique identifier here as the one entered into field SESS1. | NO | NO |
| SESI2 | Protection Instrument Identifier | Report the same unique identifier here as the one entered into field SESV2. | NO | NO |
| SESI3 | Original Collateral Instrument Identifier | The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier. | NO | NO |
| SESI4 | New Collateral Identifier | If the original identifier in field SESI3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESI3. The reporting entity must not amend this unique identifier. | NO | NO |
| SESI5 | Collateral Instrument International Securities Identification Number | Enter the ISIN code of the collateral instrument, where applicable. | NO | YES |
| SESI6 | Collateral Instrument Type | Type of collateral instrument: Cash (CASH) Government Bond (GBND) Commercial Paper (CPAP) Unsecured Bank Debt (UBDT) Senior Unsecured Corporate Debt (SUCD) Junior Unsecured Corporate Debt (JUCD) Covered Bond (CBND) Asset-Backed Security (ABSE) Other (OTHR) | NO | NO |
| SESI7 | Collateral Issuer ESA Subsector | The ESA 2010 classification of the collateral according to Regulation (EU) No 549/2013 (‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. | NO | YES |
| SESI8 | Collateral Issuer Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer. | NO | NO |
| SESI9 | Collateral Issuer Affiliated With Originator? | Do the collateral issuer and main securitisation originator share the same ultimate parent? | NO | NO |
| SESI10 | Current Outstanding Balance | Total outstanding principal balance of the collateral item, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SESI11 | Instrument Currency | Currency denomination of the instrument. | NO | NO |
| SESI12 | Maturity Date | Maturity date of the collateral item. | NO | YES |
| SESI13 | Haircut | Enter the % haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation. | NO | YES |
| SESI14 | Current Interest Rate Index | The base reference interest index currently applicable (the reference rate off which the interest rate is set): MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) | NO | YES |
| SESI15 | Current Interest Rate Index Tenor | Tenor of the current interest rate index: Overnight (OVNG) IntraDay (INDA) 1 day (DAIL) 1 week (WEEK) 2 week (TOWK) 1 month (MNTH) 2 month (TOMN) 3 month (QUTR) 4 month (FOMN) 6 month (SEMI) 12 month (YEAR) On Demand (ONDE) Other (OTHR) | NO | YES |
| SESI16 | Current Interest Rate on Cash Deposits | Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights. | NO | YES |
| SESI17 | Repo Counterparty Name | If the collateral item forms part of a repurchase agreement (‘repo’), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | YES |
| SESI18 | Repo Counterparty Legal Entity Identifier | If the collateral item forms part of a repurchase agreement (‘repo’), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited. | NO | YES |
| SESI19 | Repo Maturity Date | If the collateral item forms part of a repurchase agreement (‘repo’), provide the maturity date of the securitisation. | NO | YES |
| Any other information section | Any other information section | Any other information section | Any other information section | Any other information section |
| SESO1 | Unique Identifier | The unique identifier entered into field SESS1. | NO | NO |
| SESO2 | Any Other Information Line Number | Enter the line number of the other information | NO | NO |
| SESO3 | Any Other Information | The other information, line by line | NO | NO |
ANNEX XV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.
This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence.
EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.