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? |
|---|---|---|---|---|
| Programme information section | Programme information section | Programme information section | Programme information section | Programme information section |
| SEAS1 | Unique Identifier — ABCP Programme | The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| SEAS2 | 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 |
| SEAS3 | No Longer STS | Has the ABCP programme ceased to meet STS requirements? If the ABCP programme has never had STS status, then enter ND5. | NO | YES |
| SEAS4 | 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 |
| SEAS5 | 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 |
| SEAS6 | 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 |
| SEAS7 | Governing Law | Jurisdiction governing the programme. | NO | NO |
| SEAS8 | Length Of The Liquidity Facility | Period during which the programme-level liquidity facility provides coverage to the programme (in days). | NO | YES |
| SEAS9 | Liquidity Facility Coverage | Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility. | NO | YES |
| SEAS10 | Liquidity Facility Coverage Interval | The maximum number of days’ interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts. | NO | YES |
| SEAS11 | Liquidity Facility Maturity Date | Date at which the programme-level liquidity facility will expire. | NO | YES |
| SEAS12 | Drawings Under Liquidity Facility | If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. | NO | YES |
| SEAS13 | Total Issuance | Total programme issuance outstanding, converted into EUR. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEAS14 | Maximum Issuance | If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| Transaction information section | Transaction information section | Transaction information section | Transaction information section | Transaction information section |
| SEAR1 | Unique Identifier — ABCP Programme | Report the same unique ABCP programme identifier here as the one entered into field SEAS1. | NO | NO |
| SEAR2 | Unique Identifier — ABCP Transaction | The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| SEAR3 | Number Of Programmes Funding The Transaction | Number of ABCP programmes that are funding this transaction. | NO | NO |
| SEAR4 | No Longer STS | Has the ABCP transaction ceased to meet STS requirements? If the ABCP transaction has never had STS status, then enter ND5. | NO | YES |
| SEAR5 | Originator A Client Of The Programme Sponsor | Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship? | NO | NO |
| SEAR6 | Security Interest Granted | Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)? | NO | NO |
| SEAR7 | Revenue | Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR8 | Operating Expenses | Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR9 | Current Assets | Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR10 | Cash | Originator cash holdings, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR11 | Marketable Securities | Originator marketable securities, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR12 | Accounts Receivable | Originator accounts receivable, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR13 | Current Liabilities | Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR14 | Total Debt | Originator total debt, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR15 | Total Equity | Originator total equity, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR16 | Financial Statement Currency | The currency used in the financial reporting of fields SEAR7 — SEAR15. | NO | YES |
| SEAR17 | Sponsor Supports Transaction | At what level is the sponsor providing support: Transaction Level (TRXN) Programme Level (PRGM) Other (OTHR) | NO | YES |
| SEAR18 | Sponsor Support Type | Is the sponsor providing full support to this transaction? | NO | YES |
| SEAR19 | Length Of The Liquidity Facility | Period during which the transaction-level liquidity facility provides coverage to the transaction (in days). | NO | YES |
| SEAR20 | Liquidity Facility Drawn Amount | Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR21 | Liquidity Facility Coverage | Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility. | NO | YES |
| SEAR22 | Liquidity Facility Coverage Interval | The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts. | NO | YES |
| SEAR23 | Liquidity Facility Type | Type of transaction-level liquidity facility: Asset Purchase (ASPR) Repurchase Agreement (RPAG) Loan Facility (LOFA) Participation Agreement (PAGR) Other (OTHR) | NO | YES |
| SEAR24 | Liquidity Facility Repurchase Agreement Maturity Date | If the transaction-level liquidity facility uses repurchase agreements, enter the date at which the repurchase agreement will expire. | NO | YES |
| SEAR25 | Liquidity Facility Currency | The currency in which funds from the transaction-level liquidity facility can be drawn. | NO | YES |
| SEAR26 | Liquidity Facility Maturity Date | Date at which the transaction-level liquidity facility will expire. | NO | YES |
| SEAR27 | Liquidity Facility Provider Name | Enter the full legal name of the transaction-level liquidity facility provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | YES |
| SEAR28 | Liquidity Facility Provider Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider. | NO | YES |
| SEAR29 | Overcollateralisation/Subordinated Interest | The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures). Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided. | NO | NO |
| SEAR30 | Transaction Excess Spread | The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as ‘excess spread’. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEAR31 | Letter Of Credit Provider Name | Enter the full legal name of the letter of credit provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | YES |
| SEAR32 | Letter Of Credit Provider Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction. | NO | YES |
| SEAR33 | Letter Of Credit Currency | Letter of credit currency denomination. | NO | YES |
| SEAR34 | Maximum Letter Of Credit Protection | Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement. | NO | YES |
| SEAR35 | Guarantor Name | Enter the full legal name of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. | NO | YES |
| SEAR36 | Guarantor Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. | NO | YES |
| SEAR37 | Maximum Guarantee Coverage | Maximum amount of coverage under the guarantee/purchasing agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR38 | Guarantee Currency | The currency in which funds from the guarantee are provided. | NO | YES |
| SEAR39 | Guarantee Maturity Date | Date at which the guarantee will expire. | NO | YES |
| SEAR40 | Receivables Transfer Type | How has the transfer of underlying exposures to the purchaser been achieved? True sale (1) Secured loan (2) Other (3) | NO | NO |
| SEAR41 | Repurchase Agreement Maturity Date | Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire. | NO | YES |
| SEAR42 | Purchased Amount | Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEAR43 | Maximum Funding Limit | Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR44 | Interest Rate Swap Benchmark | Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted interest rate 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 |
| SEAR45 | Interest Rate Swap Maturity Date | Date of maturity for the transaction-level interest rate swap. In the event of multiple swaps in this transaction, enter the maturity date of the most recent swap. | NO | YES |
| SEAR46 | Interest Rate Swap Notional | Transaction-level interest rate swap notional amount. In the event of multiple swaps in this transaction, enter the notional of the most recent interest rate swap. | NO | YES |
| SEAR47 | Currency Swap Payer Currency | Enter the currency that the payer leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap. | NO | YES |
| SEAR48 | Currency Swap Receiver Currency | Enter the currency that the receiver leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap. | NO | YES |
| SEAR49 | Exchange Rate For Currency Swap | The exchange rate that has been set for a transaction-level currency swap. In the event of multiple swaps in this transaction, enter the exchange rate set for the most recent swap. | NO | YES |
| SEAR50 | Currency Swap Maturity Date | Date of maturity for the transaction-level currency swap. In the event of multiple swaps in this transaction, enter the maturity date of the most recently-concluded swap. | NO | YES |
| SEAR51 | Currency Swap Notional | Transaction-level currency swap notional amount. In the event of multiple swaps in this transaction, enter the amount covered by the most recently-contracted swap. 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 |
| SEAT1 | Unique Identifier — ABCP Programme | Report the same unique ABCP programme identifier here as the one entered into field SEAS1. | NO | NO |
| SEAT2 | Original Bond Identifier | The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier. | NO | NO |
| SEAT3 | New Bond Identifier | If the original identifier in field SEAT2 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 SEAT2. The reporting entity must not amend this unique identifier. | NO | NO |
| SEAT4 | International Securities Identification Number | The ISIN code assigned to this instrument, where applicable. | NO | YES |
| SEAT5 | 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 |
| SEAT6 | Issue Date | Date on which this instrument was issued. | NO | NO |
| SEAT7 | Legal Maturity | The date before which this instrument must be repaid in order not to be in default. | NO | YES |
| SEAT8 | Currency | The currency denomination of this instrument. | NO | NO |
| SEAT9 | Current Principal Balance | The par, or notional, balance of this instrument after the current Principal Payment Date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEAT10 | Current Coupon | The coupon on the instrument in basis points. | NO | NO |
| SEAT11 | 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 |
| SEAT12 | 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 |
| SEAT13 | 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 |
| SEAT14 | Current Credit Enhancement | The current instrument credit enhancement, calculated as per the originator/sponsor/SSPE’s definition | NO | NO |
| SEAT15 | Credit Enhancement Formula | Describe/Enter the formula used to calculate the bond-level credit enhancement. | NO | YES |
| Account-level information section | Account-level information section | Account-level information section | Account-level information section | Account-level information section |
| SEAA1 | Unique Identifier — ABCP Transaction | Report the same unique ABCP transaction identifier here as the one entered into field SEAR2. | NO | NO |
| SEAA2 | Original Account Identifier | The original unique account identifier. The reporting entity must not amend this unique identifier. | NO | NO |
| SEAA3 | New Account Identifier | If the original identifier in field SEAA2 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 SEAA2. The reporting entity must not amend this unique identifier. | NO | NO |
| SEAA4 | 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 |
| SEAA5 | 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 |
| SEAA6 | 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 |
| SEAA7 | 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 |
| SEAP1 | Unique Identifier — ABCP Transaction | Report the same unique ABCP transaction identifier here as the one entered into field SEAR2. | NO | NO |
| SEAP2 | Counterparty Legal Entity Identifier | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty. | NO | NO |
| SEAP3 | 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 |
| SEAP4 | 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 |
| SEAP5 | Counterparty Country Of Establishment | Country where the counterparty is established. | NO | NO |
| SEAP6 | 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 |
| SEAP7 | 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 |
| SEAP8 | 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 |
| SEAP9 | 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 |
| Any other information section | Any other information section | Any other information section | Any other information section | Any other information section |
| SEAO1 | Unique Identifier | The unique identifier entered into field SEAS1. | NO | NO |
| SEAO2 | Any Other Information Line Number | Enter the line number of the other information | NO | NO |
| SEAO3 | Any Other Information | The other information, line by line | NO | NO |
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