Prudential Regulation Authority Rulebook

1

The information to be made available for a non-ABCP securitisation pursuant to Article 7(1)(a) of Chapter 2 is specified in:

1. (a) Annex II for loans to private households secured by residential real estate, regardless of the purpose of those loans;
2. (b) Annex III for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;
3. (c) Annex IV for corporate underlying exposures, including underlying exposures to micro, small and medium-sized enterprises;
4. (d) Annex V for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;
5. (e) Annex VI for consumer underlying exposures;
6. (f) Annex VII for credit card underlying exposures;
7. (g) Annex VIII for leasing underlying exposures; and
8. (h) Annex IX for underlying exposures that do not fall within any of the categories set out in points (a) to (g).

For the purposes of point (a), residential real estate means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that does not qualify as commercial real estate.

For the purposes of point (b), commercial real estate means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users.

1A

For the purposes of point (a) and point (b) of paragraph 1, a property that has mixed commercial and residential use must, where possible, be treated as two separate properties, one commercial and one residential. Where it is not possible to separate the uses in this manner, the property must be treated as being entirely residential or entirely commercial, whichever is the dominant use of the property.

1B

Except as provided in paragraphs 2 and 3, where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation must make available the information specified in the applicable Annex for each underlying exposure type.

1C

Where the pool of underlying exposures for a non-ABCP securitisation is comprised entirely of automobile underlying exposures, the information specified in Annex V must be provided in respect of the entire pool, regardless of whether the automobile underlying exposures are loans or leases.

1D

Except in the circumstances contemplated in paragraph 1C, where the pool of underlying exposures for a non-ABCP securitisation is comprised entirely of leasing underlying exposures, the information specified in Annex VIII must be provided in respect of the entire pool.

2

Where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation shall make available the information specified in the applicable Annex for each underlying exposure type.

3

The reporting entity for a non-performing exposure securitisation shall make available the information specified in:

1. (a) the Annexes referred to in points (a) to (h) of paragraph 1, as relevant to the underlying exposure type; and
2. (b) Annex X.

For the purposes of this paragraph, a ‘non-performing exposure securitisation’ means a non-ABCP securitisation the majority of whose active underlying exposures, measured in terms of outstanding principal balance as at the data cut-off date, are one of the following:

1. (a) non-performing exposures as referred to in paragraphs 213 to 239 of Annex V, Part 2 to Commission Implementing Regulation (EU) No 680/2014 as this provision had effect immediately before IP completion day; or
2. (b)
   1. (i) credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 in Commission Regulation (EC) No 1126/2008 as this provision had effect immediately before IP completion day;
   2. (ii) credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 as contained in UK-adopted international accounting standards;
   3. (iii) financial assets accounted for as credit impaired under national rules applying the Generally Accepted Accounting Principles (GAAP) based on Council Directive 86/635/EEC; or
   4. (iv) financial assets accounted for as credit-impaired under UK generally accepted accounting principles.

4

The reporting entity for an ABCP transaction shall make available the information specified in Annex XI.

5

For the purposes of this Article, the information to be made available pursuant to paragraphs 1 to 4 of this Article shall be on:

1. (a) active underlying exposures as at the data cut-off date; and
2. (b) inactive underlying exposures that were active underlying exposures at the immediately preceding data cut-off date.

1

The reporting entity for a non-ABCP securitisation shall make available the information on investor reports specified in Annex XII.

2

The reporting entity for an ABCP securitisation shall make available the information on investor reports specified in Annex XIII.

1

The reporting entity shall make available the information specified in Annexes II to X and XII on the following:

1. (a) underlying exposures, in relation to each individual underlying exposure;
2. (b) collateral, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:
   1. (i) the underlying exposure is secured by a guarantee;
   2. (ii) the underlying exposure is secured by physical or financial collateral; or
   3. (iii) the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor;
3. (c) tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property;
4. (d) historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months prior to that date;
5. (e) cash flows, for each in flow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date; and
6. (f) tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties.

For the purposes of points (a) and (d), securitised loan parts shall be treated as individual underlying exposures.

For the purposes of point (b), each property acting as security for loans referred to in points (a) and (b) of Article 2(1) of this Chapter shall be treated as a single item of collateral.

2

The reporting entity shall make available the information specified in Annexes XI and XIII on the following:

1. (a) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;
2. (b) each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to point (a), as at the data cut-off date;
3. (c) tests/events/triggers, for each test/event/trigger in the ABCP securitisation that triggers changes in the priority of payments or the replacement of any counterparties; and
4. (d) underlying exposures, for each ABCP transaction on which information is made available pursuant to point (a) and for each exposure type that is present in that ABCP transactions as at the data cut-off date, in accordance with the list in field IVAL5 in Annex XI.

1

Reporting entities shall assign item codes to the information made available to securitisation repositories. For this purpose, reporting entities shall assign the item code specified in Table 3 of Annex I that best corresponds to that information.

1

The reporting entity for a non-ABCP securitisation shall make available the inside information specified in Annex XIV.

2

The reporting entity for an ABCP securitisation shall make available the inside information specified in Annex XV.

1

The reporting entity for a non-ABCP securitisation shall make available the information on significant events specified in Annex XIV.

2

The reporting entity for an ABCP securitisation shall make available the information on significant events specified in Annex XV.

1

The reporting entity shall make available the information specified in Annex XIV on the following:

1. (a) the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the securitisation;
2. (b) accounts, for each account in the securitisation;
3. (c) counterparties, for each counterparty in the securitisation;
4. (d) where the securitisation is a synthetic securitisation that is a non-ABCP securitisation:
   1. (i) synthetic coverage, for as many protection arrangements as exist in the securitisation; and
   2. (ii) issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement; and
5. (e) where the securitisation is a Collateralised Loan Obligation (CLO) non-ABCP securitisation:
   1. (i) the CLO manager, for each CLO manager in the securitisation; and
   2. (ii) the CLO securitisation.

For the purposes of point (d)(ii), each asset for which an International Securities Identification Number exists shall be treated as an individual collateral asset, cash collateral of the same currency shall be aggregated and treated as an individual collateral asset, and cash collateral of different currencies shall be reported as separate collateral assets.

2

The reporting entity shall make available the information specified in Annex XV on the following:

1. (a) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;
2. (b) ABCP programmes, for as many ABCP programmes that, at the data cut-off date, are funding the ABCP transactions on which information is made available pursuant to point (a);
3. (c) the tranches/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the ABCP programme;
4. (d) accounts, for each account in the ABCP securitisation; and
5. (e) counterparties, for each counterparty in the ABCP securitisation.

1

The information made available pursuant to Article 7 of Chapter 2 and this Chapter shall be complete and consistent.

2

Where the reporting entity identifies factual errors in any information that it has made available pursuant to Article 7 of Chapter 2 and this Chapter, it shall make available, without undue delay, a corrected report of all information about the securitisation required under Article 7 of Chapter 2 and this Chapter.

3

Where permitted in the corresponding Annex, the reporting entity may report one of the following ‘No Data Option’ (ND) values corresponding to the reason justifying the unavailability of the information to be made available:

1. (a) value ‘ND1’, where the required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination of the underlying exposure;
2. (b) value ‘ND2’, where the required information has been collected at the time of origination of the underlying exposure but is not loaded into the reporting system of the reporting entity at the data cut-off date;
3. (c) value ‘ND3’, where the required information has been collected at the time of origination of the underlying exposure but is loaded into a separate system from the reporting system of the reporting entity at the data cut-off date;
4. (d) value ‘ND4-YYYY-MM-DD’, where the required information has been collected but it will only be possible to make it available at a date taking place after the data cut-off date. ‘YYYY-MM-DD’ shall respectively refer to the numerical year, month and day corresponding to the future date at which the required information will be made available; or
5. (e) value ‘ND5’, where the required information is not applicable to the item being reported.

For the purposes of this paragraph, the report of any ND values shall not be used to circumvent the requirements in this Article 7 of Chapter 2 and this Chapter.

Upon request by the PRA, the reporting entity shall provide to the PRA details of the circumstances that justify the use of those ND values.

1

Where a securitisation is not an ABCP securitisation, the information made available pursuant to this Article 7 of Chapter 2 and this Chapter shall not have a data cut-off date later than two calendar months prior to the submission date.

2

Where a securitisation is an ABCP securitisation:

1. (a) the information specified in Annex XI and in the ‘transaction information section’ in Annexes XIII and XV shall not have a data cut-off date later than two calendar months prior to the submission date; and
2. (b) the information specified in all sections of Annexes XIII and XV other than the ‘transaction information section’ shall not have a data cut-off date later than one calendar month prior to the submission date.

1

Each securitisation shall be assigned a unique identifier composed of the following elements, in sequential order:

1. (a) the Legal Entity Identifier of the reporting entity;
2. (b) the letter ‘A’ where the securitisation is an ABCP securitisation or the letter ‘N’ where the securitisation is a non-ABCP securitisation;
3. (c) the four-digit year corresponding to:
   1. (i) the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation; or
   2. (ii) the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP securitisation; and
4. (d) the number 01 or, where there is more than one securitisation with the same identifier as referred to in points (a), (b) and (c), a two-digit sequential number corresponding to the order in which information about each securitisation is made available. The order of simultaneous securitisations shall be discretionary.

2

Each ABCP transaction in an ABCP programme shall be assigned a unique identifier composed of the following elements, in sequential order:

1. (a) the Legal Entity Identifier of the reporting entity;
2. (b) the letter ‘T’;
3. (c) the four-digit year corresponding to the first closing date of the ABCP transaction; and
4. (d) the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in points (a), (b) and (c) of this paragraph, a two-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions shall be discretionary.

3

Unique identifiers shall not be amended by the reporting entity.

1

The information relating to the System of Accounts classification shall be made available using the codes set out in Table 1 of Annex I.

2

The information relating to the Servicer Watchlist classifications shall be made available using the codes set out in Table 2 of Annex I.

1

Annex I (Classifications reporting and item codes) can be found here.

2

Annex II (Underlying Exposures Information – Residential Real Estate (RRE)) can be found here.

3

Annex III (Underlying Exposures Information – Commercial Real Estate (CRE)) can be found here.

4

Annex IV (Underlying Exposures Information – Corporate) can be found here.

5

Annex V (Underlying Exposures Information – Automobile) can be found here.

6

Annex VI (Underlying Exposures Information – Consumer) can be found here.

7

Annex VII (Underlying Exposures Information – Credit Card) can be found here.

8

Annex VIII (Underlying Exposures Information – Leasing) can be found here.

9

Annex IX (Underlying Exposures Information – Esoteric) can be found here.

10

Annex X (Underlying Exposures Information – Add-On for Non-Performing Exposures) can be found here.

11

Annex XI (Underlying Exposures Information – Asset-Backed Commercial Paper) can be found here.

12

Annex XII (Investor Report Information – Non-Asset Backed Commercial Paper Securitisation) can be found here.

13

Annex XIII (Investor Report Information – Asset-Backed Commercial Paper Securitisation) can be found here.

14

Annex XIV (Inside Information or Significant Event Information – Non-Asset Backed Commercial Paper Securitisation) can be found here.

15

Annex XV (Inside Information or Significant Event Information – Asset Backed Commercial Paper Securitisation) can be found here.