1The requirements specified in SECN 11.3 to SECN 11.5 and SECN 11.10 to SECN 11.13 apply to all securitisations.

1The requirements specified in SECN 11.6 to SECN 11.9 apply to securitisations for which section 85 of the Act (Contravention of prohibition relating to public offer of securities) and rules made by the FCA for the purposes of Part 6 of the Act require a prospectus to be drawn up.

1. (1)

   1For the purposes of SECN 11, the following definitions apply:

   1. (a)

      ‘data cut-off date’ means the reference date of the information being reported in accordance with SECN 11;

   2. (b)

      ‘active underlying exposure’ means an underlying exposure which, at the data cut-off date, may be expected to generate cash inflows or outflows in the future;

   3. (c)

      ‘inactive underlying exposure’ means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted;

   4. (d)

      ‘debt service coverage ratio’ means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property’s value, relative to the annual combined interest and principal repayment on a borrower’s total debt over a given period on the loan secured by the property;

   5. (e)

      ‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buy-to-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties;

   6. (f)

      ‘medium enterprise’ means an enterprise which employs fewer than 250 people and has an annual turnover not exceeding £50 million and/or an annual balance sheet total not exceeding £43 million;

   7. (g)

      ‘micro enterprise’ means an enterprise which employs fewer than 10 people and has a turnover or annual balance sheet that does not exceed £2 million; and

   8. (h)

      ‘small enterprise’ means an enterprise which employs fewer than 50 persons and whose annual turnover and/or balance sheet total does not exceed £10 million.

1. (1)

   1The information to be made available for a non-ABCP securitisation pursuant to SECN 6.2.1R(1) is specified in:

   1. (a)

      SECN 11 Annex 2R for loans to private households secured by residential real estate, regardless of the purpose of those loans;

   2. (b)

      SECN 11 Annex 3R for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;

   3. (c)

      SECN 11 Annex 4R for corporate underlying exposures, including underlying exposures to micro, small and medium-sized enterprises;

   4. (d)

      SECN 11 Annex 5R for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;

   5. (e)

      SECN 11 Annex 6R for consumer underlying exposures;

   6. (f)

      SECN 11 Annex 7R for credit card underlying exposures;

   7. (g)

      SECN 11 Annex 8R for leasing underlying exposures; and

   8. (h)

      SECN 11 Annex 9R for underlying exposures that do not fall within any of the categories set out in (a) to (g).

2. (2)

   For the purposes of (1)(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 is not qualified as commercial real estate.

3. (3)

   For the purposes of (1)(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.

4. (4)

   A property that has mixed commercial and residential use must, where possible, be treated as 2 separate properties: 1 commercial and 1 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.

1. (1)

   1Except as provided in (2) and (3), where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in SECN 11.3.1R, the reporting entity for that securitisation must make available the information specified in the applicable annex for each underlying exposure type.

2. (2)

   Where the pool of underlying exposures for a non-ABCP securitisation entirely comprises automobile underlying exposures, the information specified in SECN 11 Annex 5R must be provided in respect of the entire pool, regardless of whether the automobile underlying exposures are loans or leases.

3. (3)

   Except in the circumstances contemplated in (2), where the pool of underlying exposures for a non-ABCP securitisation entirely comprises leasing underlying exposures, the information specified in SECN 11 Annex 8R must be provided in respect of the entire pool.

1The reporting entity for a non-performing exposure securitisation must make available the information specified in:

1. (1)

   the annexes referred to in SECN 11.3.1R(1)(a) to (h), as relevant to the underlying exposure type; and

2. (2)

   SECN 11 Annex 10R.

1For the purposes of SECN 11.3.3R, 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. (1)

   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;

2. (2)
   1. (a)

      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. (b)

      credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 as contained in UK-adopted international accounting standards;

   3. (c)

      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. (d)

      financial assets accounted for as credit-impaired under UK generally accepted accounting principles.

1The reporting entity for an ABCP transaction must make available the information specified in SECN 11 Annex 11R.

1The information to be made available pursuant to SECN 11.3 must be on:

1. (1)

   active underlying exposures as at the data cut-off date;

2. (2)

   inactive underlying exposures that were active underlying exposures at the immediately preceding data cut-off date.

1The reporting entity for a non-ABCP securitisation must make available the information on investor reports specified in SECN 11 Annex 12R.

1The reporting entity for an ABCP transaction or ABCP programme must make available the information on investor reports specified in SECN 11 Annex 13R.

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.

1 Reporting entities must assign item codes to the information made available to securitisation repositories. For this purpose, reporting entities must assign the item code specified in Table 3 of SECN 11 Annex 1R that best corresponds to that information.

1The reporting entity for a non-ABCP securitisation must make available the inside information specified in SECN 11 Annex 14R.

1The reporting entity for an ABCP transaction or ABCP programme must make available the inside information specified in SECN 11 Annex 15R.

1The reporting entity for a non-ABCP securitisation must make available the information on significant events specified in SECN 11 Annex 14R.

1The reporting entity for an ABCP transaction or ABCP programme must make available the information on significant events specified in SECN 11 Annex 15R.

1The reporting entity must make available the information specified in SECN 11 Annex 14R on the following:

1. (1)

   the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an ISIN has been assigned and for each subordinated loan in the securitisation;

2. (2)

   accounts, for each account in the securitisation;

3. (3)

   counterparties, for each counterparty in the securitisation;

4. (4)

   where the securitisation is a synthetic non-ABCP securitisation:

   1. (a)

      synthetic coverage, for as many protection arrangements as exist in the securitisation; and

   2. (b)

      issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement; and

5. (5)

   where the securitisation is a collateralised loan obligation (CLO) non-ABCP securitisation:

   1. (a)

      the CLO manager, for each CLO manager in the securitisation; and

   2. (b)

      the CLO securitisation.

1For the purposes of SECN 11.9.1R(4)(b), each asset for which an ISIN exists must be treated as an individual collateral asset, cash collateral of the same currency must be aggregated and treated as an individual collateral asset, and cash collateral of different currencies must be reported as separate collateral assets.

1The reporting entity must make available the information specified in SECN 11 Annex 15R 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)

   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 (1);

3. (3)

   the tranche/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an ISIN has been assigned and for each subordinated loan in the ABCP programme;

4. (4)

   accounts, for each account in each ABCP transaction; and

5. (5)

   counterparties, for each counterparty in each ABCP transaction.

1The information made available pursuant to SECN 6 and this chapter must be complete and consistent.

1Where the reporting entity identifies factual errors in any information that it has made available pursuant to SECN 6 and this chapter, it must make available, without undue delay, a corrected report of all information about the securitisation required under SECN 6 and this chapter.

1Where 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. (1)

   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. (2)

   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. (3)

   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. (4)

   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’ must respectively refer to the numerical year, month, and day corresponding to the future date on which the required information will be made available; and

5. (5)

   value ‘ND5’, where the required information is not applicable to the item being reported.

1. (1)

   1For the purposes of SECN 11.10.3R, the report of any ND values must not be used to circumvent the requirements in this chapter.

2. (2)

   On request by the FCA, PRA or the Pensions Regulator, the reporting entity must provide details of the circumstances that justify the use of those ND values.

1Where a securitisation is not an ABCP securitisation, the information made available pursuant to this chapter must not have a data cut-off date later than 2 months before the submission date.

1Where a securitisation is an ABCP transaction or ABCP programme:

1. (1)

   the information specified in SECN 11 Annex 11R and in the ‘transaction information section’ in SECN 11 Annex 13R and SECN 11 Annex 15R must not have a data cut-off date later than 2 months before the submission date; and

2. (2)

   the information specified in all sections of SECN 11 Annex 13R and SECN 11 Annex 15R other than the ‘transaction information section’ must not have a data cut-off date later than 1 month before the submission date.

1Each securitisation must be assigned a unique identifier composed of the following elements, in sequential order:

1. (1)

   the legal entity identifier (LEI) of the reporting entity;

2. (2)

   the letter ‘A’ where the securitisation is an ABCP programme or the letter ‘N’ where the securitisation is a non-ABCP securitisation;

3. (3)

   the 4-digit year corresponding to:

   1. (a)

      the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation; or

   2. (b)

      the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP programme; and

4. (4)

   the number 01 or, where there is more than one securitisation with the same identifier as referred to in (1), (2) and (3), a 2-digit sequential number corresponding to the order in which information about each securitisation is made available. The order of simultaneous securitisations must be discretionary.

1Each ABCP transaction in an ABCP programme must be assigned a unique identifier composed of the following elements, in sequential order:

1. (1)

   the letter ‘T’;

2. (2)

   the letter ‘T’;

3. (3)

   the 4-digit year corresponding to the first closing date of the ABCP transaction; and

4. (4)

   the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in (1), (2) and (3), a 2-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions must be discretionary.

1Unique identifiers must not be amended by the reporting entity.

1The information relating to the System of Accounts classification must be made available using the codes set out in Table 1 of SECN 11 Annex 1R.

1The information relating to the Servicer Watchlist classifications must be made available using the codes set out in Table 2 of SECN 11 Annex 1R.

1 ‘Classifications reporting and item codes’

1 ‘Underlying exposures information – Residential real estate (RRE)’

1 ‘Underlying exposures information – Commercial real estate (CRE)’

1 ‘Underlying exposures information – Corporate’

1 ‘Underlying exposures information – Automobile’

1 ‘Underlying exposures information – Consumer’

1 ‘Underlying exposures information – Credit card’

1 ‘Underlying exposures information – Leasing’

1 ‘Underlying exposures information – Esoteric’

1 ‘Underlying exposures information – add-on for non-performing exposures’

1 'Underlying exposures information – asset-backed commercial paper'

1 ‘Non-asset backed commercial paper securitisation’

1 ‘Asset backed commercial paper securitisation’

1 ‘Non-asset backed commercial paper securitisation’

1 ‘Asset backed commercial paper securitisation’