ANNEX XIV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
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 | ||||
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 | ||||
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 | ||||
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 | ||||
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 |