ANNEX XIV
Inside information or significant event template – Non-asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
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 |
||
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 SA Subsector |
{SA} |
SEST42 |
Protection Type |
{LIST} |
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 |
||
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 |
||
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 |
||
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 - UK |
{MONETARY} |
SESL13 |
AUM - UK CLOs |
{MONETARY} |
SESL14 |
Number UK 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 |
||
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 |
||
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 SA Subsector |
{SA} |
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 |
||
SESO1 |
Unique Identifier |
{ALPHANUM-28} |
SESO2 |
Any Other Information Line Number |
{INTEGER-9999} |
SESO3 |
Any Other Information |
{ALPHANUM-1000} |