SECN 11.5 Information granularity

1. (1)

   1The reporting entity must make available the information specified in SECN 11 Annexes 2R to 10R and 12R 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 3 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 before that date;

   5. (e)

      cashflows, for each inflow 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.

2. (2)

   For the purposes of (1)(a) and (d), securitised loan parts must be treated as individual underlying exposures.

3. (3)

   For the purposes of (1)(b), each property acting as security for loans referred to in SECN 11.3.1R(1)(a) and (b) must be treated as a single item of collateral.

1The reporting entity must make available the information specified in SECN 11 Annexes 11R and 13R on the following:

1. (1)

   ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;

2. (2)

   each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to (1), as at the data cut-off date;

3. (3)

   tests/events/triggers, for each test/event/trigger in the ABCP transaction or ABCP programme that triggers changes in the priority of payments or the replacement of any counterparties; and

4. (4)

   underlying exposures, for each ABCP transaction on which information is made available pursuant to (1) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in SECN 11 Annex 11R.