LegalizeCommission Implementing Regulation (EU) 2020/1225 of 29 October 2019 laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation 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 | FORMAT |
|---|---|---|
| Underlying exposures information section | Underlying exposures information section | 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} |
ANNEX XII
Investor report template — Non-asset backed commercial paper securitisation
| FIELD CODE | FIELD NAME | FORMAT |
|---|---|---|
| Securitisation information section | Securitisation information section | Securitisation information section |
| IVSS1 | Unique Identifier | {ALPHANUM-28} |
| IVSS2 | Data Cut-Off Date | {DATEFORMAT} |
| IVSS3 | Securitisation Name | {ALPHANUM-100} |
| IVSS4 | Reporting Entity Name | {ALPHANUM-100} |
| IVSS5 | Reporting Entity Contact Person | {ALPHANUM-256} |
| IVSS6 | Reporting Entity Contact Telephone | {TELEPHONE} |
| IVSS7 | Reporting Entity Contact Emails | {ALPHANUM-256} |
| IVSS8 | Risk Retention Method | {LIST} |
| IVSS9 | Risk Retention Holder | {LIST} |
| IVSS10 | Underlying Exposure Type | {LIST} |
| IVSS11 | Risk Transfer Method | {Y/N} |
| IVSS12 | Trigger Measurements/Ratios | {Y/N} |
| IVSS13 | Revolving/Ramp-Up Period End-Date | {DATEFORMAT} |
| IVSS14 | Principal Recoveries In The Period | {MONETARY} |
| IVSS15 | Interest Recoveries In The Period | {MONETARY} |
| IVSS16 | Principal Collections In The Period | {MONETARY} |
| IVSS17 | Interest Collections In The Period | {MONETARY} |
| IVSS18 | Drawings Under Liquidity Facility | {Y/N} |
| IVSS19 | Securitisation Excess Spread | {MONETARY} |
| IVSS20 | Excess Spread Trapping Mechanism | {Y/N} |
| IVSS21 | Current Overcollateralisation | {PERCENTAGE} |
| IVSS22 | Annualised Constant Prepayment Rate | {PERCENTAGE} |
| IVSS23 | Dilutions | {MONETARY} |
| IVSS24 | Gross Charge Offs In The Period | {MONETARY} |
| IVSS25 | Repurchased Exposures | {MONETARY} |
| IVSS26 | Restructured Exposures | {MONETARY} |
| IVSS27 | Annualised Constant Default Rate | {PERCENTAGE} |
| IVSS28 | Defaulted Exposures | {MONETARY} |
| IVSS29 | Defaulted Exposures CRR | {MONETARY} |
| IVSS30 | Risk Weight Approach | {LIST} |
| IVSS31 | Obligor Probability Of Default in Range [0.00%,0.10%) | {PERCENTAGE} |
| IVSS32 | Obligor Probability Of Default in Range [0.10%,0.25%) | {PERCENTAGE} |
| IVSS33 | Obligor Probability Of Default in Range [0.25%,1.00%) | {PERCENTAGE} |
| IVSS34 | Obligor Probability Of Default in Range [1.00%,7.50%) | {PERCENTAGE} |
| IVSS35 | Obligor Probability Of Default in Range [7.50%,20.00%) | {PERCENTAGE} |
| IVSS36 | Obligor Probability Of Default in Range [20.00%,100.00%] | {PERCENTAGE} |
| IVSS37 | Bank Internal Loss Given Default Estimate | {PERCENTAGE} |
| IVSS38 | Arrears 1-29 Days | {PERCENTAGE} |
| IVSS39 | Arrears 30-59 Days | {PERCENTAGE} |
| IVSS40 | Arrears 60-89 Days | {PERCENTAGE} |
| IVSS41 | Arrears 90-119 Days | {PERCENTAGE} |
| IVSS42 | Arrears 120-149 Days | {PERCENTAGE} |
| IVSS43 | Arrears 150-179 Days | {PERCENTAGE} |
| IVSS44 | Arrears 180+ Days | {PERCENTAGE} |
| Tests/Events/Triggers information section | Tests/Events/Triggers information section | Tests/Events/Triggers information section |
| IVSR1 | Unique Identifier | {ALPHANUM-28} |
| IVSR2 | Original Test/Event/Trigger Identifier | {ALPHANUM-1000} |
| IVSR3 | New Test/Event/Trigger Identifier | {ALPHANUM-1000} |
| IVSR4 | Description | {ALPHANUM-100000} |
| IVSR5 | Threshold Level | {NUMERIC} |
| IVSR6 | Actual Value | {NUMERIC} |
| IVSR7 | Status | {Y/N} |
| IVSR8 | Cure Period | {INTEGER-9999} |
| IVSR9 | Calculation Frequency | {INTEGER-9999} |
| IVSR10 | Consequence for Breach | {LIST} |
| Cash-flow information section | Cash-flow information section | Cash-flow information section |
| IVSF1 | Unique Identifier | {ALPHANUM-28} |
| IVSF2 | Original Cashflow Item Identifier | {ALPHANUM-1000} |
| IVSF3 | New Cashflow Item Identifier | {ALPHANUM-1000} |
| IVSF4 | Cashflow Item | {ALPHANUM-1000} |
| IVSF5 | Amount Paid During Period | {MONETARY} |
| IVSF6 | Available Funds Post | {MONETARY} |
ANNEX XIII
Investor report template — Asset backed commercial paper securitisation
| FIELD CODE | FIELD NAME | FORMAT |
|---|---|---|
| Programme information section | Programme information section | Programme information section |
| IVAS1 | Unique Identifier — ABCP Programme | {ALPHANUM-28} |
| IVAS2 | Data Cut-Off Date | {DATEFORMAT} |
| IVAS3 | Reporting Entity Name | {ALPHANUM-100} |
| IVAS4 | Reporting Entity Contact Person | {ALPHANUM-256} |
| IVAS5 | Reporting Entity Contact Telephone | {TELEPHONE} |
| IVAS6 | Reporting Entity Contact Emails | {ALPHANUM-256} |
| IVAS7 | Trigger Measurements/Ratios | {Y/N} |
| IVAS8 | Non-Compliant Exposures | {MONETARY} |
| IVAS9 | Weighted Average Life | {INTEGER-9999} |
| IVAS10 | Risk Retention Method | {LIST} |
| IVAS11 | Risk Retention Holder | {LIST} |
| Transaction information section | Transaction information section | Transaction information section |
| IVAN1 | Unique Identifier — ABCP Programme | {ALPHANUM-28} |
| IVAN2 | Unique Identifier — ABCP Transaction | {ALPHANUM-36} |
| IVAN3 | Data Cut-Off Date | {DATEFORMAT} |
| IVAN4 | NACE Industry Code | {NACE} |
| IVAN5 | Risk Retention Method | {LIST} |
| IVAN6 | Risk Retention Holder | {LIST} |
| IVAN7 | Weighted Average Life | {INTEGER-9999} |
| Tests/Events/Triggers information section | Tests/Events/Triggers information section | Tests/Events/Triggers information section |
| IVAR1 | Unique Identifier — ABCP Transaction | {ALPHANUM-36} |
| IVAR2 | Original Test/Event/Trigger Identifier | {ALPHANUM-1000} |
| IVAR3 | New Test/Event/Trigger Identifier | {ALPHANUM-1000} |
| IVAR4 | Description | {ALPHANUM-100000} |
| IVAR5 | Status | {Y/N} |
| IVAR6 | Consequence for Breach | {LIST} |
ANNEX XIV
Inside information or significant event template — Non-asset backed commercial paper securitisation
| FIELD CODE | FIELD NAME | FORMAT |
|---|---|---|
| Securitisation information section | Securitisation information section | 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 | Tranche/bond-level information section | 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 ESA Subsector | {ESA} |
| SEST42 | Protection Type | {LIST} |
| Account-level information section | Account-level information section | 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 | Counterparty-level information section | 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 | CLO Securitisation information section | 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 | CLO Manager information section | 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 — EU | {MONETARY} |
| SESL13 | AUM — EU CLOs | {MONETARY} |
| SESL14 | Number EU 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 | Synthetic coverage information section | 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 | Issuer collateral information section | 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 ESA Subsector | {ESA} |
| 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 | Any other information section | Any other information section |
| SESO1 | Unique Identifier | {ALPHANUM-28} |
| SESO2 | Any Other Information Line Number | {INTEGER-9999} |
| SESO3 | Any Other Information | {ALPHANUM-1000} |
ANNEX XV
Inside information or significant event template — Asset backed commercial paper securitisation
| FIELD CODE | FIELD NAME | FORMAT |
|---|---|---|
| Programme information section | Programme information section | Programme information section |
| SEAS1 | Unique Identifier — ABCP Programme | {ALPHANUM-28} |
| SEAS2 | Data Cut-Off Date | {DATEFORMAT} |
| SEAS3 | No Longer STS | {Y/N} |
| SEAS4 | Remedial Actions | {Y/N} |
| SEAS5 | Administrative Actions | {Y/N} |
| SEAS6 | Material Amendment to Transaction Documents | {ALPHANUM-100000} |
| SEAS7 | Governing Law | {COUNTRYCODE_2} |
| SEAS8 | Length Of The Liquidity Facility | {INTEGER-9999} |
| SEAS9 | Liquidity Facility Coverage | {PERCENTAGE} |
| SEAS10 | Liquidity Facility Coverage Interval | {INTEGER-9999} |
| SEAS11 | Liquidity Facility Maturity Date | {DATEFORMAT} |
| SEAS12 | Drawings Under Liquidity Facility | {Y/N} |
| SEAS13 | Total Issuance | {MONETARY} |
| SEAS14 | Maximum Issuance | {MONETARY} |
| Transaction information section | Transaction information section | Transaction information section |
| SEAR1 | Unique Identifier — ABCP Programme | {ALPHANUM-28} |
| SEAR2 | Unique Identifier — ABCP Transaction | {ALPHANUM-36} |
| SEAR3 | Number Of Programmes Funding The Transaction | {INTEGER-9999} |
| SEAR4 | No Longer STS | {Y/N} |
| SEAR5 | Originator A Client Of The Programme Sponsor | {Y/N} |
| SEAR6 | Security Interest Granted | {Y/N} |
| SEAR7 | Revenue | {MONETARY} |
| SEAR8 | Operating Expenses | {MONETARY} |
| SEAR9 | Current Assets | {MONETARY} |
| SEAR10 | Cash | {MONETARY} |
| SEAR11 | Marketable Securities | {MONETARY} |
| SEAR12 | Accounts Receivable | {MONETARY} |
| SEAR13 | Current Liabilities | {MONETARY} |
| SEAR14 | Total Debt | {MONETARY} |
| SEAR15 | Total Equity | {MONETARY} |
| SEAR16 | Financial Statement Currency | {CURRENCYCODE_3} |
| SEAR17 | Sponsor Supports Transaction | {LIST} |
| SEAR18 | Sponsor Support Type | {Y/N} |
| SEAR19 | Length Of The Liquidity Facility | {INTEGER-9999} |
| SEAR20 | Liquidity Facility Drawn Amount | {MONETARY} |
| SEAR21 | Liquidity Facility Coverage | {PERCENTAGE} |
| SEAR22 | Liquidity Facility Coverage Interval | {INTEGER-9999} |
| SEAR23 | Liquidity Facility Type | {LIST} |
| SEAR24 | Liquidity Facility Repurchase Agreement Maturity Date | {DATEFORMAT} |
| SEAR25 | Liquidity Facility Currency | {CURRENCYCODE_3} |
| SEAR26 | Liquidity Facility Maturity Date | {DATEFORMAT} |
| SEAR27 | Liquidity Facility Provider Name | {ALPHANUM-100} |
| SEAR28 | Liquidity Facility Provider Legal Entity Identifier | {LEI} |
| SEAR29 | Overcollateralisation/Subordinated Interest | {PERCENTAGE} |
| SEAR30 | Transaction Excess Spread | {MONETARY} |
| SEAR31 | Letter Of Credit Provider Name | {ALPHANUM-100} |
| SEAR32 | Letter Of Credit Provider Legal Entity Identifier | {LEI} |
| SEAR33 | Letter Of Credit Currency | {CURRENCYCODE_3} |
| SEAR34 | Maximum Letter Of Credit Protection | {PERCENTAGE} |
| SEAR35 | Guarantor Name | {ALPHANUM-100} |
| SEAR36 | Guarantor Legal Entity Identifier | {LEI} |
| SEAR37 | Maximum Guarantee Coverage | {MONETARY} |
| SEAR38 | Guarantee Currency | {CURRENCYCODE_3} |
| SEAR39 | Guarantee Maturity Date | {DATEFORMAT} |
| SEAR40 | Receivables Transfer Type | {LIST} |
| SEAR41 | Repurchase Agreement Maturity Date | {DATEFORMAT} |
| SEAR42 | Purchased Amount | {MONETARY} |
| SEAR43 | Maximum Funding Limit | {MONETARY} |
| SEAR44 | Interest Rate Swap Benchmark | {LIST} |
| SEAR45 | Interest Rate Swap Maturity Date | {DATEFORMAT} |
| SEAR46 | Interest Rate Swap Notional | {MONETARY} |
| SEAR47 | Currency Swap Payer Currency | {CURRENCYCODE_3} |
| SEAR48 | Currency Swap Receiver Currency | {CURRENCYCODE_3} |
| SEAR49 | Exchange Rate For Currency Swap | {PERCENTAGE} |
| SEAR50 | Currency Swap Maturity Date | {DATEFORMAT} |
| SEAR51 | Currency Swap Notional | {MONETARY} |
| Tranche/bond-level information section | Tranche/bond-level information section | Tranche/bond-level information section |
| SEAT1 | Unique Identifier — ABCP Programme | {ALPHANUM-28} |
| SEAT2 | Original Bond Identifier | {ALPHANUM-1000} |
| SEAT3 | New Bond Identifier | {ALPHANUM-1000} |
| SEAT4 | International Securities Identification Number | {ISIN} |
| SEAT5 | Tranche/Bond Type | {LIST} |
| SEAT6 | Issue Date | {DATEFORMAT} |
| SEAT7 | Legal Maturity | {DATEFORMAT} |
| SEAT8 | Currency | {CURRENCYCODE_3} |
| SEAT9 | Current Principal Balance | {MONETARY} |
| SEAT10 | Current Coupon | {PERCENTAGE} |
| SEAT11 | Current Interest Rate Index | {LIST} |
| SEAT12 | Current Interest Rate Index Tenor | {LIST} |
| SEAT13 | Interest Payment Frequency | {LIST} |
| SEAT14 | Current Credit Enhancement | {PERCENTAGE} |
| SEAT15 | Credit Enhancement Formula | {ALPHANUM-1000} |
| Account-level information section | Account-level information section | Account-level information section |
| SEAA1 | Unique Identifier — ABCP Transaction | {ALPHANUM-36} |
| SEAA2 | Original Account Identifier | {ALPHANUM-1000} |
| SEAA3 | New Account Identifier | {ALPHANUM-1000} |
| SEAA4 | Account Type | {LIST} |
| SEAA5 | Account Target Balance | {MONETARY} |
| SEAA6 | Account Actual Balance | {MONETARY} |
| SEAA7 | Amortising Account | {Y/N} |
| Counterparty-level information section | Counterparty-level information section | Counterparty-level information section |
| SEAP1 | Unique Identifier — ABCP Transaction | {ALPHANUM-36} |
| SEAP2 | Counterparty Legal Entity Identifier | {LEI} |
| SEAP3 | Counterparty Name | {ALPHANUM-100} |
| SEAP4 | Counterparty Type | {LIST} |
| SEAP5 | Counterparty Country Of Establishment | {COUNTRYCODE_2} |
| SEAP6 | Counterparty Rating Threshold | {ALPHANUM-100000} |
| SEAP7 | Counterparty Rating | {ALPHANUM-100000} |
| SEAP8 | Counterparty Rating Source Legal Entity Identifier | {LEI} |
| SEAP9 | Counterparty Rating Source Name | {ALPHANUM-100} |
| Any other information section | Any other information section | Any other information section |
| SEAO1 | Unique Identifier | {ALPHANUM-28} |
| SEAO2 | Any Other Information Line Number | {INTEGER-9999} |
| SEAO3 | Any Other Information | {ALPHANUM-1000} |
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