CP23/17: Rules relating to Securitisation — FCA — GB

Consultation Paper
CP23/17*
Rules relating to Securitisation
August 2023

Moving around this document
Use your browser’s bookmarks and tools to navigate. To search on a PC use Ctrl+F or Command+F on MACs. How to respond We are asking for comments on this Consultation Paper (CP) by 30 October 2023. You can send them to us using the form on our website. Or in writing to:
Shiv Virk
Financial Conduct Authority
12 Endeavour Square London
E20 1JN
Email:
cp23-17@fca.org.uk
Sign up for our news and publications alerts See all our latest press releases, consultations and speeches. Request an alternative format Please complete this form if you require this content in an alternative format. Contents

Summary 3
The wider context 9
Approach to rules 13
Due diligence requirements for institutional
investors 14
Non-performing exposure (NPE)
securitisations and risk retention 18
Other measures 23
Discussion: defining public and private
securitisations 27
Annex 1
Questions in this paper 32
Annex 2
Cost benefit analysis (CBA) 34
Annex 3
Compatibility statement 53
Annex 4
Securitisation Sourcebook (SECN) Instrument 2023 – Derivation and Changes Table 57
Annex 5
Abbreviations in this document 64
Appendix 1
Draft Handbook text

Chapter 1
Summary
Why we are consulting
1.1 The UK Securitisation Regulation (UK SR) is retained EU law (REUL) which specifies how
securitisation markets are regulated. Supervisory responsibility for the UK SR is currently shared primarily between us and the Prudential Regulation Authority (PRA).
1.2 As part of the repeal and replacement of REUL (an outcome of HM Treasury’s (the
Treasury) Future Regulatory Framework (FRF) Review, now called the Smarter Regulatory Framework), the Treasury plans that some provisions of the UK SR will be brought into new UK legislation and most firm-facing provisions of the UK SR will be covered by new FCA rules and PRA rules. This consultation paper (CP) sets out our proposed rules for the UK securitisation markets. This CP also contains the proposed legal instrument which includes firm facing requirements of the UK SR plus all related technical standards and their annexes. Further context
1.3 Securitisation is an important part of the UK’s wholesale markets. It is the process of
bundling together loans and other debt instruments (like residential mortgages or auto loans) and distributing the risk associated with these loans and debt instruments using a variety of investments that offer different tranches of exposures to investors.
1.4 Securitisation is an important tool for UK banks and non-bank lenders to help fund
and mitigate the credit risks of lending to companies and households. Hence by using securitisation, UK lenders can potentially increase the levels of funding they can provide to the real economy. Securitisation is also used by UK non-financial corporates to finance their trade receivables, such as outstanding invoices to their clients.
1.5 The EU Securitisation Regulation (EU SR) came into effect in January 2019 and was
replaced, in the UK, by the UK SR at the end of the Brexit transition period, on 31 December 2020. The EU SR and UK SR aim to address harms identified following the Global Financial Crisis (GFC), such as inadequate disclosure and misalignment of interests between manufacturers and investors (we use the term “manufacturers” as shorthand for originators, original lenders, sponsors and/or (as appropriate) securitisation special purpose entities (SSPEs), each as defined in the UK SR).
1.6 The Treasury has prioritised the UK SR as one of the first REUL files for the “repeal and
replacement” process. This follows the Treasury’s 2021 Review of the Securitisation Regulation: Report and call for evidence response (Treasury Review), which concluded that the UK SR remained an important element to the functioning of securitisation markets in the UK, but also identified specific areas where policy changes to the UK SR

could be considered. The Treasury Review identified three main areas for policy change relevant for our rules: a) the disclosure/reporting/transparency regime; b) due diligence obligations; and c) risk retention requirements.
1.7 The Treasury expects to lay before Parliament a Statutory Instrument (SI) which will
repeal the UK SR (including all related SIs and technical standards), keeping part of it in new legislation. This CP should be read in conjunction with a Near-final draft of that SI (Near-final SI), published in conjunction with the Chancellor’s Mansion House speech on 10 July 2023, and an accompanying policy note.
1.8 On 27 July 2023 the PRA published its own consultation paper (PRA CP) on its new rules
replacing most firm-facing provisions of the UK SR.
1.9 Taken together, this CP, the PRA CP and Near-final SI give an overview of the proposed
replacement of the UK SR.
1.10 The Near-final SI requires the FCA and the PRA to “have regard” to the coherence of
the overall framework for the regulation of securitisation. This means that, although the FCA and the PRA will write their own rules in relation to the firms and activities they supervise, both regulators need to ensure this creates a coherent set of rules overall. The FCA and the PRA have coordinated their approach to the replacement of relevant firm-facing provisions in the UK SR, the risk retention technical standards, the disclosure technical standards and the development of policy proposals. Our proposals in this CP and the PRA proposals in the PRA CP are intended to create a coherent framework for regulating securitisation in the UK.
1.11 In addition, the Near-final SI requires us to make general rules requiring a relevant
institutional investor (as described below) to carry out due diligence, both (a) before holding a securitisation position, and (b) while holding a securitisation position. In this context, a relevant institutional investor means an institutional investor (as defined in the Near-final SI) which is an authorised person and is not (i) a PRA-authorised person, (ii) an Occupational Pension Scheme (OPS), or (iii) the originator, sponsor or original lender in that securitisation. The PRA has a corresponding obligation for institutional investors that it authorises. We have developed due diligence rules which meet this obligation. Our rules are expected to be aligned with corresponding due diligence requirements made by the Treasury in relation to OPS and by the PRA for its authorised firms.
1.12 Under the Financial Services and Markets Act 2023 (FSMA 2023), the Treasury is enabled
to give us new rulemaking powers under the Designated Activities Regime (DAR). The DAR empowers us to make rules for designated activities covering all authorised and unauthorised firms. Many of the rules we propose in this CP will use the DAR rule-making powers set out in the Near-final SI.
1.13 The Near-final SI specifies that acting as the originator, sponsor, original lender or SSPE
in a securitisation is a designated activity for the purposes of the DAR.
1.14 We propose to make rules for all authorised and unauthorised originators, sponsors,
original lenders and SSPEs, which are not PRA-authorised firms, in relation to risk

retention requirements, transparency obligations, resecuritisation restrictions and credit granting standards. The PRA will make rules for PRA-authorised firms in relation to those obligations.
1.15 In addition, we propose to use the DAR powers to make rules relating to Simple
Transparent and Standardised (STS) securitisations for all UK originators and sponsors.
1.16 Selling a securitisation position to a retail client located in the UK will also be a designated
activity under the DAR. For that activity, we propose to make rules for all UK sellers.
1.17 The Near-final SI also contemplates that we will be granted a specific power to make
due diligence rules for small, registered UK Alternative Investment Fund Managers (AIFM) (see Chapter 4) which we propose to exercise. We propose to make due diligence requirements for all FCA solo-authorised institutional investors under our FSMA general rule-making powers.
1.18 Further, the Near-final SI also gives us some rule-making powers for securitisation
repositories (SR) and third party verifiers (TPV).
1.19 The CP will not consider prudential matters because those requirements sit outside the
UK SR.
1.20 Our proposals relating to the replacement of the relevant provisions in the UK SR and
related technical standards would largely preserve the current requirements.
1.21 One of our commitments, as set out in our 3-year strategy and our Business Plan
2023/24, is to strengthen the UK’s position in global wholesale markets. In addition, implementing the outcomes of the “Future Regulatory Framework (FRF) Review” is a core part of our commitment to prepare financial services for the future. This consultation supports both commitments. We want the UK to continue to be regarded as one of the leading global markets of choice for market participants, when compared to other high-quality markets. Who this applies to
1.22 This consultation will affect:

authorised firms that are involved in securitisation markets either as institutional
investors or as manufacturers (i.e., original lender, originator, sponsor and/or (as appropriate) SSPE of securitisations
unauthorised entities acting as an original lender, originator or SSPE of a
securitisation subject to the UK SR
individuals holding offices or positions involving responsibility for taking
management decisions at firms involved in securitisation markets
TPVs
SRs

Retail clients may be exposed to securitisations directly or indirectly through their pension funds or investment funds. We propose to make rules to replicate the UK SR position for selling securitisation positions to retail clients. What we want to change
1.23 We want to make rules to replace the firm-facing provisions from the UK SR which are
being transferred into our Handbook.
1.24 In addition, we are consulting on rules to:

Clarify what kind of information UK institutional investors require to fulfil their due
diligence obligations;
Amend and clarify risk retention provisions, with particular reference to changes to
facilitate non-performing exposures (NPE) securitisation;
Make a number of clarificatory changes to other areas of the regulation based on
market feedback, such as the geographical scope of the UK SR and the criteria for homogeneity in STS securitisations
1.25 The areas for policy change have been identified following the feedback received from
our engagement with market participants, and the outcomes of the Treasury Review.
1.26 Additionally, within this publication, we also include a discussion on the definitions of
public and private securitisations (see Chapter 7). We plan to consult on the proposed changes to the reporting regime in a second consultation to be published at a later stage. In the second consultation, we also plan to review the reporting regime, particularly for private securitisations. Any changes would aim to make reporting more proportionate. Our plans to review the reporting regime will also seek to enhance environmental, social and governance (ESG) reporting.
1.27 We understand that market participants cannot assess the full impact of any change
to the definition of public and private securitisations without a full understanding of the related changes to the disclosure/reporting regime. That is why, at this stage, we are only proposing a discussion of the definitions for public and private and the full assessment of such proposals will be made during the second consultation. The feedback received from the discussion will be used to formulate proposals for our later consultation on the reporting regime. Implementation
1.28 We would not expect the need for a long implementation period because our proposals
do not involve any changes to reporting templates (which would in turn involve systems changes) and transparency requirements more generally. Therefore, the implementation date for the changes resulting from this CP would be set close to when the final rules are made and is expected for Q2 2024, depending on the progress of the Securitisation Near-final SI and feedback from this consultation.

Outcome we are seeking
1.29 The outcomes we are seeking from our proposals are:

to make the UK SR more proportionate
to remove barriers to the issuance of, and investment in, securitisations
to implement such proposals while maintaining appropriate protections for
investors and with as minimal additional regulatory and operational cost upon impacted firms as is possible and
to provide a clearer framework within which the market can operate.
1.30 We are focused on potential changes, where relevant to our rules, to the areas identified
in the Treasury Review and other areas which we believe will bring the most significant improvements for UK markets, while aiming to act proportionately in terms of any costs we might put on markets. Measuring success
1.31 The Treasury Review identified areas for improvement for the UK SR based on feedback
received from market participants in a Call for Evidence. We will likewise look to market views to measure the success of the proposals made under this consultation.
1.32 Securitisation is a useful source of finance for UK businesses. It can aid capital raising,
liquidity and risk management for issuers. Soundly structured securitisation is also a channel for diversifying funding sources and allows for a broader distribution of financialsector risk to investors. Securitisation can also help free up originators’ balance sheets to allow for further lending to the economy. Evidence of a well-functioning securitisation market that balances the needs of the originators/sponsors with the protection of investors will be one of our key measures of success.
1.33 While regulation is not necessarily a key driver in origination/investment choices by
manufacturers and investors in securitisations, we recognise that macro-economic and other factors have significant impacts on securitisation market trends. Over time, we aim to consider the impact of our proposed changes by monitoring the size and breadth of the UK securitisation market and the investments UK institutional investors make. An aim of the “repeal and replacement” of REUL process is to provide a more agile UK regulatory framework by giving responsibility for firm-facing requirements to the regulators.
1.34 Other measures of success include increase in perceived effectiveness of our role and
impact in regulation of the wholesale markets and other metrics as described in our Annual Report published metrics.

Structure of this consultation paper
1.35 In Chapter 2, we set out the wider context behind our proposals and outline how
our proposals link to our primary objectives and our new secondary international competitiveness and growth objective.
1.36 In Chapter 3, we outline our approach to replacing relevant firm-facing provisions in the
UK SR.
1.37 Our proposals in relation to the due diligence requirements for institutional investors are
covered in Chapter 4. In this section we explain our approach to due diligence rules for small AIFMs, adjustments to due diligence requirements in relation to manufacturers’ disclosures and clarifications around the delegation of due diligence.
1.38 Chapter 5 focuses on our proposals regarding risk retention provisions. In this chapter,
we particularly focus upon NPE securitisations, insolvency of the retainer, the sole purpose test, cash collateralisation for synthetic/contingent form of retention and additional criteria on ‘cherry picking’.
1.39 Chapter 6 outlines proposals in a number of areas including, but not limited to,
the geographical scope of the UK SR, technical standards on homogeneity in STS securitisations and credit granting criteria.
1.40 Chapter 7 discusses the distinction between public and private securitisations and the
transparency requirements for these categories of securitisation, but without putting forward proposals at this point in time.
1.41 Finally, we provide a cost benefit analysis (CBA) in Annex 2. This CBA will assess the
impact of the changes we are proposing in Chapters 4, 5 and 6. We are not considering Chapters 3 and 7 as we are not consulting on these areas within this CP. Next steps
1.42 We are consulting for 12 weeks on our policy proposals, with a closing date of 30
October 2023.
1.43 Please respond by completing the form on our website or by sending a response to
cp23-17@fca.org.uk.
1.44 We are keen to engage with interested groups of market participants during the
consultation period. Please contact the above inbox in the first instance if you wish to discuss the consultation with us in this way.
1.45 We will consider your feedback and plan to publish our rules in a Policy Statement in Q2
of 2024.

Chapter 2
The wider context
The improvements we are trying to bring
2.1 Securitisation serves as a vital link between the financial markets and the real economy,
facilitating funding, enhancing liquidity, and promoting economic growth. By providing access to capital and enabling risk transfer, securitisation is pivotal in supporting lending, investment, and economic activities in various sectors. Examples of the way securitisation can support the economy are described below:

Increased access to funding: Securitisation allows originators (such as banks or
financial institutions) to convert their illiquid assets, such as mortgages, loans, or leases, into securities that can be sold to investors. This process expands the availability of funds beyond traditional bank lending, making funding more accessible to borrowers in the real economy.
Risk transfer: By selling securities backed by a pool of assets, the originator
reduces its exposure to the credit risk and potential losses and distributes this risk in the broader capital markets. This risk transfer mechanism frees up capital for originators, enabling them to provide more lending and financing to the real economy. This also allows for a wider distribution of risk avoiding pockets of concentration of credit risks in certain parts of the financial system.
Increased access to a wider pool of investments: Investors (beyond the firms
which hold the assets subject to a securitisation) can have (albeit indirectly) access through their investments in securitisations to a wider pool of underlying assets.
2.2 The UK SR was implemented in 2019 to promote the development of well-functioning
securitisation markets, balancing the needs of originators and protections for investors. It sought to make the securitisation markets work more effectively and to address some of the harms to investors identified in these markets following the GFC, including the lack of adequate disclosure and the misalignment between issuers’ and investors’ interests.
2.3 It is challenging to measure the success of the UK SR because of a number of unique
external factors (such as Covid-19 pandemic, war in Ukraine) that have disrupted financial markets since the UK SR implementation in 2019. Nevertheless, there are signs that the UK SR has increased the transparency and robustness of the UK securitisation market, which were key aims of the Regulation. However, respondents to the Treasury review of the UK SR and regulators agree that there is scope for improvement. Consequently, our proposals involve making the UK SR more proportionate, providing greater clarity around the requirements and removing certain unnecessary barriers to the issuance of – and investment in – securitisations.
2.4 Our aim is to reform the UK SR in order to drive growth in the real economy, increase
lending to consumers and corporates and improve market functioning.

How it links to our objectives
2.5 We outline below how our proposals link to our objectives. More generally, this CP is
an early step in our goal of preparing “financial services for the future” (see Chapter 1) through the “repeal and replace” process. As a result, most firm-facing provisions of the UK SR will be repealed and replaced by our rules. We will then be able to adjust them, using our usual rule-making process, to promote our objectives further, e.g., to reflect future market developments, or via our next consultation. Investor protection
2.6 The aim of our proposals is to promote the development of a well-functioning
securitisation market whilst preserving an appropriate degree of protections for investors, taking into account international comparisons and changes in global investor behaviour and preferences.
2.7 The UK SR includes a number of provisions designed to increase transparency
for the benefits of the investors as well as provisions to align the interests of the manufacturers with those of the investors. Our proposals include clarifying and amending some provisions to make their application more consistent and more robust. Clear requirements will support appropriate implementation of key protections for the investors.
2.8 Our proposals also seek to balance investor protection with access to a potential
wider range of investment opportunities by focusing on ensuring sufficient and timely disclosures that allow investors to adequately assess their risks and make informed investment decisions. Market integrity
2.9 Our proposals are designed to clarify and improve the UK SR, which aim is to create a
framework to strengthen the integrity of the securitisation market. Competition
2.10 The FCA aims to ensure the markets it regulates are competitive. This means that
firms have strong incentives to seek out and satisfy the demand of customers in the market, and that, in turn, customers have sufficient information regarding the products on offer so that they can select the ones that best meet their needs. It also means that regulation is well-tailored to the harms that we are seeking to address, since under-regulating may be ineffective, but over-regulating can impose unnecessary and excessive costs.
2.11 In the context of securitisations, these general principles mean that:

Investors should ensure that they have adequate information and undertake an
appropriate assessment before being exposed to a securitisation risk, and the provisions relating to due diligence oblige them to do so. We aim to clarify the extent of those minimum obligations at an appropriate level.
Originators should retain an interest in the products they are selling, which can give
investors some confidence in the products given that the originator retains some exposure to the underlying risk. We are not changing the basic principle around risk retention but clarifying several aspects around the existing obligation. However, in the case of NPEs, we consider that 5% of the net value of the defaulted portfolio on the date of the securitisation, as opposed to its face amount, is proportionate. We are of the view that forcing originators to retain 5% of the face amount could be excessive and impose unnecessary costs.
We aim to clarify certain other provisions, so that market participants can
efficiently adjust their conduct to meet applicable requirements. Secondary International Competitiveness and Growth Objective
2.12 FSMA 2023 requires us to advance our new secondary international competitiveness
and growth objective, i.e., to facilitate:
a. the international competitiveness of the economy of the UK (including in particular the financial services sector), and b. its growth in the medium to long term.
2.13 The policy proposals presented in this paper align with the core mandate of the
new secondary objective, promoting growth in the UK in the medium to long term and international competitiveness of the UK economy. The proposals facilitate our secondary objective in the following way. Growth in the market
2.14 The primary aim of our proposals is to remove unnecessary barriers to the issuance of
– and investment in – securitisations and to reduce ambiguity within the Regulation, while maintaining appropriate and proportionate protections in the current regulatory framework. Clear and proportionate rules in this market support growth because they help maintain market stability through appropriate management of, and sufficient transparency on, related risks. Market stability protects investors, consumers and builds confidence in UK financial markets and institutions. This, in turn, provides a stable platform for increasing investment in the UK, which increases productivity, market size and depth.
2.15 Removing barriers to investment in securitisations, such as those outlined below in
Chapter 4 (due diligence requirements for institutional investors) and Chapter 5 (NPE
securitisations and risk retention), would improve market functioning and facilitate growth in the UK securitisation market.
2.16 For example, by changing the calculation of NPEs by reference to the market value of
the NPE portfolio, as opposed to the face values of the exposures, the risk retention of securitisation more adequately reflects the market assessment of the risk of loss to investors. The more proportionate approach provides a greater incentive for firms to securitise and re-distribute the risks associated with underlying exposures across capital markets. Moving risk off balance sheets, making new loans to firms and households and lending more in the wider economy provides access to and lowers the costs of capital that supports the real economy.

2.17 Moreover, providing further clarity to the functioning of the UK securitisation framework
(such as those outlined in Chapter 4 relating to due diligence requirements on investing in a third country securitisation; as well as the calculation of NPE set out in Chapter 5 as outlined above) would result in an overall decrease in compliance cost for market participants allowing for more potential funding to securitise assets.
2.18 Securitisation is an important source of finance for UK businesses as it can help them
to raise capital and manage their risk. Growth in the securitisation market will mean UK lenders can potentially increase the levels of funding they can provide to the real economy. In addition, firms potentially hold more diversified portfolio of assets that in turn may enhance risk adjusted returns for investors that may be further invested into the economy. International Competitiveness
2.19 Another key aim of our policy proposals is to make the regime work better, with
reference to our suggested proposals on due diligence requirements (Chapter 4), risk retention (Chapter 5) and homogeneity criteria for STS securitisations (Chapter 6). One of the main considerations behind these proposals is the goal to make the UK Securitisation market more competitive.
2.20 Our proposals will contribute to reducing compliance costs of the securitisation regime,
through making the relevant requirements more proportionate and clearer. Any lower costs should make the UK a more attractive place to invest or to raise finance using securitisation. We do not think these effects are large, but we do think any effect will be positive.
2.21 Our proposals with regards to due diligence (Chapter 4) are an example of changes we
have put forward to improve UK investors’ ability to compete globally to participate in well-structured investments that can boost their returns and in turn make the UK an attractive place for investors to do business. Equality and diversity considerations
2.22 We have considered the equality and diversity issues that may arise from the proposals
in this Consultation Paper.
Overall, we do not consider that the proposals materially impact any of the groups with protected characteristics under the Equality Act 2010. But we will continue to consider the equality and diversity implications of the proposals during the consultation period and will revisit them when making final rules. In the meantime, we welcome your input to this consultation on this issue.

Chapter 3
Approach to rules
3.1 Our approach to replacing relevant firm-facing provisions in the UK SR is to include
new policy proposals for our rules, many of which arise from comments by market participants and are described in this paper. We are prioritising a few key areas identified in the Treasury Review that will bring the most significant improvements for UK markets. Otherwise, our proposed rules would largely preserve current requirements.
3.2 Some of our amendments to the UK SR’s provisions are intended to effect substantive
policy changes. However, as appropriate, we have also made amendments throughout the instrument which do not effect policy changes, but which are intended to improve unclear drafting and ensure the wording follows Handbook-style drafting (HSD). The
table in Annex 5 explains this approach, provision by provision.
3.3 We recognise that any changes to the templates used in the UK SR (the STS notification
and disclosure templates) would have consequences for firms’ technology platforms. As we are considering making more substantial changes to the disclosure templates in our second consultation, our approach in this consultation is to keep them unchanged from what they were prior to their revocation, except for limited drafting changes. Our expectations are that there will be no changes resulting from this first consultation to the way firms populate or submit templates.
3.4 We remain aware that the templates contemplate the use of LIBOR. Although we plan to
make appropriate changes for the next consultation consistent with our work and that of other authorities for the reform of LIBOR, in the meantime we expect that market participants will continue to complete the templates in a manner consistent with those reforms, e.g., by the use of “Other” in the applicable interest rate fields.
3.5 We do not address any Level 3 material (EU non-legislative materials). At the end of the
Brexit transition period, we published guidance on our approach to EU non-legislative materials. We are not integrating this material into our rules at this stage. However, in some places in our proposed rules, we are adding new guidance. DAR rules suspension/dispensation/modification
3.6 The Near-final SI provides a power for our designated activities rules to be suspended
by notice following consultation with the PRA. The Near-final SI further provides that our rules relating to designated activities may include provisions enabling requirements imposed by the rules to be dispensed with, or modified in certain cases or circumstances. We plan to provide more detail on this aspect of our rules in due course. Q1: Do you have any comments about how we have incorporated provisions of the UK SR into our rules, apart from the provisions which have been the subject of policy change as described in this paper?

Chapter 4
Due diligence requirements for institutional investors
4.1 The due diligence requirements are a key part of the UK SR. They are intended to
provide protection to investors and potential investors. The scope of investors covered is set out in the Near-final SI definition of “institutional investor”.
4.2 The due diligence requirements in the UK SR currently apply to:

Certain firms authorised by us. We are making rules in relation to those, as
proposed in this CP;
Certain firms authorised by the PRA. The PRA CP covers the rules it proposes to
make for those firms;
Occupational pension schemes (OPS) which are regulated by The Pensions
Regulator (TPR). Because TPR does not have rule-making powers, the proposed due diligence rules applicable to OPS are set out in the Near-final SI.
4.3 We, along with the PRA and the Treasury, have sought to align the proposed due
diligence requirements for these different types of investors. Due diligence rules for small Alternative Investment Fund Managers (AIFMs)
4.4 While the definition of “institutional investor” already includes small-authorised UK
AIFMs, the Near-final SI contemplates that we will be given a specific new power to make due diligence rules for small-registered UK AIFMs when investing in securitisations and our proposed rules would cover them in the same way as for other investors. Adjustments to the due diligence requirements in relation to manufacturers’ disclosures
4.5 The UK SR currently requires UK institutional investors (as defined in the Near-final SI) to
verify before investing that:
manufacturers of UK securitisations have made available the information required
under article 7 of the UK SR, in accordance with the frequency and modalities provided for in that article. This includes the disclosure templates specified under the current technical standards and reporting to a SR; and
overseas securitisation manufacturers have made available information which
is “substantially the same” as that which would have been made available by UK

manufacturers under Article 7 according to “substantially the same” frequency and modalities; this provision was added to the UK SR following the withdrawal of the UK from the EU.
4.6 Respondents to the Treasury Review noted that the current wording of due diligence
requirements for overseas securitisations could helpfully be clarified further. In particular, it has been unclear to investors whether they must require from overseas manufacturers information on the underlying exposures in line with the specific UK disclosure templates or whether they need to check for reporting that is “substantially the same” as to a SR in the UK. Although overseas jurisdictions may typically disclose similar types of information to their investors, they are unlikely to be in the format and at the frequency of the disclosure templates that the UK uses. In addition, some jurisdictions may have local confidentiality regulations preventing manufacturers from producing information of the specific type required under the UK disclosure templates.
4.7 We want to ensure consistency in the implementation of the rules on due diligence and
eliminate unnecessary restrictions for UK investors investing in non-UK securitisations. We believe that UK investors should have a diversified choice of investments, so long as they have sufficient information to be able to assess the risks of non-UK securitisations in a way that is adequate and comparable to their assessment of a UK securitisation.
4.8 We propose a more principles-based and proportionate approach when replacing
Article 5(1)(e) on verifying disclosure by UK manufacturers and Article 5(1)(f) on verifying
disclosure by overseas manufacturers, with our rules. We propose to replace both articles with a single approach which requires UK institutional investors to verify:

the sufficiency of the information a manufacturer has made available to
institutional investors to enable them to independently assess the risk of holding the securitisation position;
they have received at least the information listed in the rules; and
there is a commitment from the manufacturers to make further information
continually available, as appropriate.
4.9 The approach is intended to broadly align the information the institutional investors
are expected to receive with the reporting regime on UK manufacturers. The types of information include the information about the securitisation’s risk characteristics and structural features, along with the securitisation’s compliance with STS requirements, if relevant. Our proposals should remove unnecessary barriers to investment by clarifying the requirements with which institutional investors must comply.
4.10 It also may effectively increase the availability to UK investors of securitisations.
Our proposals place more reliance on the substance of the information, rather than prescribing the format in which it will be provided, which we consider is a more proportionate, better targeted approach. These proposals should provide greater clarity and allow UK institutional investors to have greater confidence that they are compliant with the requirements when investing in overseas securitisations.
4.11 We have proposed additional related changes as a result of our review of the due
diligence requirements.
We have provided that the information described in what was points (b), (c) and
(d) of what was Article 7 (1) must be made available before pricing at least in draft form, with final versions made available within 15 days of the closing of the transaction. As a result, there would be alignment of the general reporting regime with the specific STS provisions which we understand reflects actual market practice and what practically is workable.
Our proposed due diligence rules preserve the exemption (previously only in recital
14 of the UK SR) under which credit-granting criteria need not be met with respect to trade receivables not originated in the form of a loan.
4.12 We intend to keep under review the due diligence requirements and may consider
further changes in our second consultation to make the due diligence requirements more proportionate whilst preserving the policy objective. Clarification around the delegation of due diligence
4.13 Whether an institutional investor or potential investor can delegate any tasks comprising
its due diligence requirements, and the basis of any delegation, would largely be determined outside the provisions of our Securitisation Sourcebook (SECN).
4.14 Article 5(5) of the UK SR provides that where an institutional investor (the delegating
party) has given another institutional investor authority to make investment management decisions that might expose it to a securitisation (the managing party), the delegating party may instruct the managing party to fulfil its due diligence obligations in respect of any exposure to a securitisation arising from those decisions. For example, a pension fund could delegate the investment decisions to an FCA-authorised asset manager. If that asset manager buys a securitisation position, it will conduct the due diligence on the securitisation on behalf of the pension fund.
4.15 Article 5(5) states that the competent authority may then take enforcement action
against the managing party for failure to fulfil the due diligence obligations of the delegating party. The wording of Article 5(5) may have created some ambiguity as to whether enforcement action may also be taken against the delegating party in these circumstances.
4.16 Our proposed rules are intended to bring clarity and to create a mechanism applicable
where a delegating party authorises a managing party to make investment management decisions that might expose it to a securitisation, provided the managing party is also an institutional investor. In that case, the delegating party could also delegate to the managing party the related regulatory obligation to conduct due diligence. We consider it proportionate that, to the extent the delegation of due diligence occurs in the circumstances described in the rule, responsibility passes to the institutional investor which conducts it.
4.17 An exception to the application of our new proposed rules on delegation is where an
institutional investor subject to our rules delegates the investment decision to an OPS.

In that case, our proposed rules around the delegation of due diligence obligations would not apply and so the responsibility for complying with the due diligence requirements would remain with our firms and not the OPS. Q2: Do you agree with our proposed clarification of what information an institutional investor should receive to conduct its due diligence? Q3: Do you agree with our proposed clarification of the delegation of the due diligence responsibility? Q4: If you do not agree with our proposals on the due diligence requirements, how could we change them?

Chapter 5
Non-performing exposure (NPE) securitisations and risk retention
5.1 Risk retention is one of the key principles within the UK SR, requiring that an originator,
original lender or sponsor holds a material net economic interest of at least 5% in each securitisation on an ongoing basis. Risk retention aligns the interests of the manufacturers of a securitisation with those of the investors.
5.2 Our proposals include more proportionate risk retention requirements for the
securitisation of NPEs. Whilst not currently much of a feature of the UK securitisation markets, NPEs could become more important during an economic downturn, where more underlying exposures become impaired.
5.3 Currently the risk retention for NPE securitisation is calculated as 5% of the face value
of the underlying NPE. However, NPEs are typically sold to the SSPE at a discount, potentially a deep discount (e.g., 50%) which reflect the market’s assessment of, inter alia, the likelihood that a debt workout process will generate sufficient recoveries. This means that for NPE securitisations, using face values for risk retention purposes disregards the price discount at which the underlying assets are transferred, which represents the actual risk loss for investors. So, it can be expensive and often not economical for originators to securitise NPEs.
Figure 1: Risk retention in a NPE securitisation: an illustrative example of a transaction with
original principal amount of GBP 100 million and non-refundable purchase price discount (NRPPD) of 90% Purchase price (equal to actual loss risk for inventors) 5% of nominal value (equivalent to 50% of discounted value) Risk retention options 5% of discounted value GBP bn

5.4 Our draft rules propose the use of a non-refundable purchase price discount (NRPPD)
for NPEs in the risk retention requirements for NPE securitisations. As a result, the requirement for retention would, where appropriate, be calculated on the basis of the net value of the defaulted portfolio on the date of the securitisation (factoring in the NPRPPD), as opposed to the face value of the underlying assets. The proposal would reduce absolute risk retention requirements in relation to NPE securitisations. In principle, this might reduce the alignment of manufacturers’ incentives with that of investors’ in relation to those securitisations. However, the proposal would also result in risk retention requirements that better reflect the value of the NPEs that are securitised.
5.5 Our proposals should remove a barrier to securitising NPEs. Depending on the evolution
of the market for NPE securitisations, this could facilitate effective competition. Selling assets declining in value at a discount provides the original lender/originator with cash and supports further lending. It also crystalises the seller’s losses and removes future exposure to the NPEs. Our proposals are consistent with changes that the EU authorities have made.
5.6 Our proposed rules also contain more granular risk retention provisions which are made
specifically in the context of the SI and replace the currently applicable 2014 regulatory technical standards (pursuant to Article 43(7)) (2014 Requirements). We highlight, in turn, the following aspects of our proposed rules relating to risk retention, which replace or elaborate on provisions contained in the UK SR or the 2014 Requirements:

insolvency of the retainer
sole purpose test
resecuritisations
cash collateralisation for synthetic/contingent form of retention and
additional criteria on ‘cherry picking’ and
various minor provisions as described below
Insolvency of the retainer
5.7 The UK SR requires that risk is retained on an ongoing basis (with a narrow exception).
We propose to add an exception for the event that an insolvency of the retainer has occurred. In that event, it would likely become impracticable to continue complying with the on-going retention obligation. The proposed rules allow for a change in retainer and a transfer of the retained interest. The addition would have the effect of avoiding potential forced sales of securitisation positions by investors because of noncompliance with the on-going risk retention requirement. Sole purpose test
5.8 The UK SR states that the entity retaining the risk must not be established or operate
for the sole purpose of securitising exposures. This ‘sole purpose’ test was developed to prevent mere shell companies from acting as a retainer which would reduce the effectiveness of risk retention. We propose rules which add specificity to the test.

5.9 When considering if an entity is established for the sole purpose of securitising
exposures, we propose consideration of whether:

the entity has a business strategy and payment capacity consistent with a broader
business enterprise; and
the members of the management body have the necessary experience to enable
the entity to pursue the established business strategy, as well as adequate corporate governance arrangements.
5.10 The proposal aims at promoting clarity and consistency in market practice and
supervision and, as a result, it could further facilitate competition amongst manufacturers.
5.11 We plan to continue to monitor and review market practice in this area and consider
whether we may need to strengthen further the specification of the sole purpose test in the future or take other action. Resecuritisation
5.12 Resecuritisations are prohibited under the UK SR, unless we, in consultation with
the Bank of England as resolution authority, grant permission in narrowly specified circumstances.
5.13 Our proposals clarify that:
in resecuritisations that may be permitted, a retainer shall retain the material net
economic interest in relation to each of the respective transaction levels, which is consistent with the purpose of risk retention restrictions; and
fully supported Asset-backed Commercial Paper (ABCP) programmes which are
not considered to be resecuritisations for the purposes of Article 8 of the UK SR would also not be considered as resecuritisations for risk retention purposes.
5.14 In addition, our proposals specify that the retranching of an issued tranche
into contiguous tranches by the securitisation’s originator does not amount to resecuritisation for purposes of the risk retention.
5.15 In resecuritisations that may be permitted, the risk retention rules must generally
be complied with at the levels of both the underlying securitisation and of the resecuritisation. However, if the originator acts as the retainer in the underlying securitisation, securitises only exposures or positions retained in excess of the minimum net economic interest in the underlying securitisation and there is no maturity mismatch between the underlying securitisation positions or exposures and the resecuritisation, the retention for the underlying securitisation will suffice.
5.16 Our proposals should enhance protections to investors in resecuritisations. They also
should offer legal and regulatory clarity by harmonising the interpretation of applicable requirements across market participants.

Cash collateralisation for synthetic/contingent form of retention
5.17 Under the 2014 Requirements, retainers that fulfil risk retention requirements through
a synthetic or contingent form have to ensure that the interest is fully collateralised in cash and held on a segregated basis as clients’ funds. We propose extending the scope of the cash collateralisation exemption from only credit institutions to all Capital Requirements Regulation (CRR) and Solvency II firms.
5.18 Extending the exemption should:

be more proportionate, as the risks deriving from the synthetic or contingent
retention are managed and mitigated according to the detailed prudential requirements and relevant supervision to which those firms are subject and
facilitate competition and reduce barriers by broadening an advantage currently
enjoyed only by credit institutions to a wider range of firms. Additional criteria on ‘cherry picking’
5.19 The UK SR addresses the risk of ‘cherry-picking’ underlying exposures. Originators
cannot select assets to transfer to the SSPE in order to render the losses of those assets to the SSPE, measured over the life of the transaction or over 4 years (if transactions are longer), higher than the losses over the same period on the comparable assets held on the balance sheet of the originator. This provision aims to restrict ‘cherry picking’ of assets by originators and aligns their interests with those of the investors.
5.20 However, we have included an exception which was set out in recital 11 of the EU SR to
provide that the rules should not restrict the ability of originators or sponsors to select assets which as a whole have a higher risk profile (e.g., non-performing corporate loans) compared to other asset classes on the balance sheet of the originator (e.g. corporate loans), as long as that NRPPD the higher risk profile is clearly communicated to the investors or potential investors.
5.21 Our proposals specify what ‘comparable assets’ means for this purpose, and they:
require that comparability is assessed based on the use of similar factors to
determine the expected performance of both asset ‘buckets’ (‘equality of checks’) and that the forecast performance of the assets on the balance sheet should not be significantly better than the performance of the assets transferred in the relevant timeframe (‘forward looking’ comparability); and
deem risk retention requirements to have been complied with when no
‘comparable assets’ are left on the originator’s balance sheet, which position has been clearly communicated to investors.
5.22 In addition, we propose guidance to the effect that, in assessing compliance, the
originator’s compliance with its internal policies, procedures, and controls, put in place to prevent ‘cherry picking’, should be taken into account.

5.23 Our proposals should clarify and support compliance with the UK SR and reduce the
risk of ‘cherry picking’ by originators. As a result, they should advance the protection of investors. To the extent they promote more consistent market practice, they should facilitate competition between originators of securitisations. Our proposals on ‘cherrypicking’ for risk retention are a continuation of current market practice, which complies with European Banking Authority (EBA) draft technical standards (2018) on risk retention.
5.24 Risk retention – other adjustments to risk retention technical standards (RRTS) provisions
5.25 We propose to make some other more minor adjustments to the UK SR risk retention
provisions when replacing them with rules.
5.26 For example, we propose to adjust requirements relating to the disclosure of information
about risk retention. The risk retention technical standards (RRTS) already require disclosure of information about the risk retention. We are proposing to specify that this information needs to be included in ‘the final offering document, prospectus, transaction summary or overview of the main features of the securitisation’.
5.27 Further, due diligence obligations include verification of applicable risk retention
arrangements and, in circumstances where any relevant risk retention requirement has been waived by us or the PRA, our due diligence rules permit institutional investors to take that waiver into account
5.28 We continue to consider, including for the second consultation, how the risk retention
provisions could be improved.
Q5: Do you agree with our proposed approach to risk retention for non-performing exposures (NPE)? Q6: Do you agree with our proposals around the insolvency of the retainer? Q7: Do you agree with our proposals for the sole purpose test? Q8: Do you agree with our proposals for risk retention in resecuritisations? Q9: Do you agree with our proposals to exempt more firms from cash collateralisation of the retention piece? Q10: Do you agree with our proposals for comparability of assets on the balance sheet and ‘cherry picking’ in risk retention? Q11: Is there anything else associated with our proposals on risk retention that you would like to raise?

Chapter 6
Other measures
Geographical scope
6.1 Since the UK SR came into effect in January 2019, there has been uncertainty about
the geographical scope of its provisions, particularly with regard to cross-border transactions. Our proposals seek to provide greater clarity about the geographical scope of some key provisions, particularly in the case of so-called “geographically mixed” scenarios where some, but not all, of the manufacturers of a securitisation are established in the UK.
6.2 We propose to limit expressly the application of our rules to entities, including
manufacturers, established in the UK (apart from the definition of “institutional investors” because its scope is set out in the SI). We understand that this is broadly in line with how the market has interpreted the rules, particularly in light of the October 2022 Report from the European Commission to the European Parliament and the Council entitled ‘On the functioning of the Securitisation Regulation’. We consider that the approach keeps the UK competitive for cross-border transactions.
6.3 We will monitor the implementation of this rule and review it if necessary.
Currency adjustments
6.4 We are also proposing currency amendments. When the EU SR became REUL, no
references to currencies were amended, regardless of how they applied in reporting criteria or when specifying thresholds. We propose replacing references to Euros with references to Sterling, as would be appropriate for UK rules, except where currencies appear in templates (see 3.3); these will be amended at a later stage when the templates are considered in our second consultation. For simplicity, we propose to change the currency but keep the notional amounts unchanged. When considering exchange rates, and the effects of inflation since the EU SR came into effect in January 2019, this should achieve continuity in our policy approach. References to established in the UK
6.5 In several contexts, the UK SR referred to entities being “established in the United
Kingdom”. References to “established in the United Kingdom” were added by amendments to the EU SR when it became REUL, to address deficiencies arising from the UK’s withdrawal from the EU. For the purposes of our proposed rules, we have defined those references so that “established” means an entity which is constituted under UK law with a head office, or, if it has a registered office, that office is in the UK. This is to align with the defined terms used in the Near-final SI.

STS notification
6.6 In our draft rules, we aim to clarify that a securitisation that meets all STS criteria need
only be notified to us if the originator/sponsor wishes to obtain the STS label. Homogeneity
6.7 We are proposing some amendments, similar to those the EBA proposed in its Draft
Regulatory Technical Standards on the homogeneity of the underlying exposures in STS securitisation under Articles 20(14), 24(21) and 26b(13) of Regulation (EU) 2017/2402, as amended by Regulation (EU) 2021/557. The effect is that loans to certain corporates will be treated as homogeneous with loans to individuals if the relevant underwriting approaches and servicing procedures to both those corporate and individual loans are the same or similar.
6.8 As one of the conditions for homogeneity, the UK SR requires that the loans are
serviced in accordance with similar procedures for monitoring, collecting and administering cash receivables by the SSPE. The drafting seems to imply that, to meet this condition, the loans must be transferred to an SSPE which is servicing the loans. It is not our policy intention to limit the use of the STS label to those securitisations (we are still referring here to traditional securitisations and not to synthetic securitisations which, under our rules, cannot be designated as STS). There may be cases where the loans are kept on the balance sheet of the originators but put in trust for the investors or a similar arrangement to achieve true sale. In those cases, the servicing would be done by the originator and a reference to the SPSPE would be inappropriate. Therefore, we propose to make a policy change that the loans must be serviced in accordance with similar procedures for monitoring, collecting and administering cash receivables by the originator or the SSPE.
6.9 We also propose to make a small clarification that where no homogeneity criteria are
relevant for a particular securitisation, no homogeneity conditions should apply.
6.10 Finally, we have included in the draft rules a provision making clear that underlying
exposures may include corporate bonds for homogeneity purposes, provided that they are not listed on a trading venue. This recreates in our rules some of recital 27 of the EU SR, which we consider an operative provision.
6.11 We consider that the proposed rules, in most cases, will not allow mixed pools of buyto-let mortgages and owner-occupier mortgages to be deemed homogeneous. This
approach is based on the view that, in practice, such loans are subject to different underwriting and/or servicing procedures. We have included guidance specifying that our expectation is that, in most cases, mixed pools of buy-to-let and owner-occupied mortgages will not be deemed homogenous.
6.12 Our proposals are intended to bring increased robustness to the STS designation
because they reduce the potential for mixed pools of exposures which would be inconsistent with the designation itself. Our proposals should clarify which securitisations may be considered STS.

Resecuritisation
6.13 Article 8 of the UK SR contains a ban on resecuritisation, which we propose to replicate
in our rules through restrictions on manufacturers and investors covered by our rules.
Article 8(2) empowers regulators to grant permission for resecuritisation to an entity
under their respective supervision, if the resecuritisation is for certain “legitimate purposes”, which are specified in Article 8(3). We cannot grant ourselves such a power via our own rules. Instead, we may grant a permission for a resecuritisation, waive our rules relating to the ban or otherwise allow a resecuritisation, as we consider appropriate, using existing (e.g. section 138A of FSMA) and/or future powers. Our current policy intention is that we would usually envisage using our powers to allow a resecuritisation only in circumstances broadly similar to those in which we could currently grant permission for a resecuritisation under Article 8(2).
6.14 We have also added rules in relation to risk retention to clarify what is considered to be a
resecuritisaton (see Chapter 5).
Credit-granting
6.15 Recital 14 of the UK SR states that credit-granting criteria need not be met with
respect to trade receivables not originated in the form of a loan. We consider that an operative provision and so have expressly added it to our rules governing credit-granting requirements. Disapplication of section 138D
6.16 Our proposals disapply section 138D(2) to a contravention of our due diligence rules
made under our general rule-making power. While taking into account our consumer protection objective, we recognise that securitisation market participants are largely wholesale entities, many of which would be authorised persons. So any actions for damages by a private person (which excludes authorised persons) otherwise arising under section 138D(2) would likely have limited impact. We, together with the PRA and the Treasury, have sought to align our respective proposed due diligence requirements for different types of investors, as described in Chapter 4. This approach is also consistent with our requirement in the Near-final SI for us to “have regard” to the coherence of the overall framework for the regulation of securitisation. Transitional provisions
6.17 We anticipate that the SI will contain transitional provisions. For the purposes of our
rules, we have not identified the need for any further transitional provisions.

Enforcement
6.18 Consequential amendments will also be made to the Enforcement Guide (EG) and the
Decision Procedure and Penalties Manual (DEPP).
Q12: Do you agree with our proposals for the scope of our rules in geographically mixed scenarios? Q13: Do you agree with our proposed amendments to currency references? Q14: Do you agree with our proposed definition of ‘established in the United Kingdom’? Q15: Do you agree with our proposals to clarify aspects of simple, transparent and standardised (STS) notifications and homogeneity? Q16: Do you agree with our proposals for resecuritisations and credit-granting? Q17: Are there any matters relating to transitional provisions that you would like to raise? Q18: Are there any other matters relating to our rules that you would like to raise?

Chapter 7
Discussion: defining public and private securitisations
7.1 As described in Chapter 4, a key feature of the protections provided by the UK SR is the
due diligence requirement imposed on UK institutional investors by Article 5.
7.2 To facilitate investors’ due diligence and comparability across investments, the UK SR
requires originators, sponsors and SSPEs to report details of their securitisations and underlying exposures to their investors (including potential investors) and regulators. Disclosure templates, which require completion, are designed to standardise reporting across different asset classes.
7.3 Article 7 of the UK SR introduces a distinction between private and public
securitisations. Public securitisations are described as having a section 85 prospectus under the FSMA 2000. Broadly speaking, this means that public securitisations are those traded on a UK regulated market.
7.4 The information and disclosure templates required to be produced by manufacturers
are broadly similar for public and private securitisations, although there are some extra requirements for public securitisations. For example, information on public securitisations needs to be made available via an SR. There are also additional disclosure templates to be completed for public securitisations.
7.5 The Treasury Review concluded that the transparency requirements in the UK SR could
be improved. Together with the PRA, we are currently reviewing these requirements. This chapter gives an overview of issues that will be considered as part of this review and invites feedback. We plan to consult on proposals in this area in our second CP. The areas for consideration
7.6 We have identified two potential issues with the current framework.

To be considered as public, the UK SR requires securitisations to be listed on a UK
regulated market. A number of UK securitisations - those where the originator, sponsor or SSPE are located in the UK - have tended not to seek admission to trading in the UK. Instead, they have sought admission to regulated markets elsewhere and, predominantly, those in the EU. As a result, and since Brexit, the number of UK public securitisations has decreased. We note in particular that the number of private STS securitisations on our website has increased markedly, and, prior to Brexit, most would have qualified as public securitisations. Further, as outlined in the Treasury Review, some UK securitisations with characteristics akin to public transactions are not captured by the definition because they are listed on non-regulated markets, such as Euronext’s Global Exchange Market (GEM), a multilateral trading facility (MTF) in Ireland, and continue to be largely listed there.
Industry feedback suggests that current reporting requirements for transactions
(especially private ones) may not always be proportionate, and the information reported is not always useful to investors. This is partly because the legal definition of a securitisation is broad and includes transactions which go beyond wellunderstood securitisation transactions, such as traditional residential mortgagebacked securities (RMBS). More bespoke transactions such as private asset financings with a low number of investors – often only one investor - fall under the same definition.
7.7 In that context, we are considering whether the UK prospectus definition of a public
securitisation is achieving the right outcome and whether the disclosure requirements in relation to private securitisations could be made more proportionate.
7.8 In defining what a public securitisation is, we have the following policy objectives:
The divide between public and private securitisations should better reflect the
need for standardised disclosure requirements on manufacturers in appropriate circumstances, including where there is no or little ability for investors to obtain the information directly from and/or negotiate the contents of the disclosure package with the manufacturers.
Conversely, suitable arrangements should apply to more bespoke securitisations,
which would normally involve a close link between the manufacturers and each investor in a way that the investors can agree what information they need to assess the risk of their investment and have the leverage to obtain it from the manufacturers. Approaches for consideration
7.9 We recognise that the definitions of a public and a private securitisation are intrinsically
linked to the reporting requirements that would be imposed on both types of securitisations. We plan to consult at a later stage on what those reporting requirements could look like. In the absence of more detailed proposals on the reporting requirements, this is therefore only a discussion of how to distinguish between public and private securitisations. It is our intention to consult at a later stage on the definition itself, together with how the disclosure requirements would be reviewed to become more proportionate, where appropriate, while balancing the need for investor protections.
7.10 In proposing a new definition for public securitisations and keeping in mind our policy
objectives highlighted above, we considered three approaches. a. We define a public securitisation but review it to describe the substance of what we are trying to capture, in line with our policy objectives. This means expanding on the link to a UK prospectus to describe all securitisations which are in substance publicly distributed to investors. b. We define what a “truly” private securitisation is and treat every other securitisation as public. For example, private transactions could be described as arrangements where investors/potential investors have direct and exclusive access to information from the manufacturers. Two types of securitisations are often

held up as having that close connection. We could consider describing them as: (i) intragroup transactions and (ii) bilateral transactions.
c. We consider three categories – public securitisations, truly private
securitisations and others (probably similar to the current private securitisation category). The disclosure/reporting requirements could helpfully become better calibrated to the characteristics of the individual transactions.
7.11 In our view, option b) would considerably increase the scope of public securitisations and
may not generate the appropriate outcome. We think approach c) might introduce too much complexity. We have therefore focussed on option a).
7.12 Within option a), we have considered different ways of defining what is a publicly
distributed securitisation:

We have considered whether to give weight to the number of investors involved in
the transaction on the basis that a transaction sold to 2-3 investors will likely give those investors access to the originators for information. However, this presented a number of challenges. Whatever the number of investors we choose, we would create an arbitrary distinction between public and private (a cliff risk). We would also need to consider how to control further distribution of the original investors to maintain the correct number of investors. We concluded that it was not a practicable solution.
A further alternative could be to define as public any securitisation that involves
a syndicate of banks underwriting the transaction and selling it to end investors through a book building process. However, the concept of book building may be difficult to describe with sufficient clarity.
We looked at using the transferability and tradability of the securitisation
instrument as a way to define what a public securitisation would be. We found however that this approach could considerably expand what is considered as public without necessarily achieving the intended outcome.
7.13 As a result, we are minded to maintain the current description of public securitisations,
but to expand it to cover securitisations that are public in substance, i.e. what the market would recognise as a publicly distributed and traded transaction. Our current views are along the following lines:
The public securitisation description would cover securitisations that are subject
to primary listings (i.e., listings a manufacturer has requested) on UK regulated markets or appropriate equivalent non-UK venues. This would only apply to UK securitisations, i.e., where the originator, sponsor or SSPE is located in the UK, to avoid including overseas securitisations.
The public securitisation description would cover primary admissions to trading on
an appropriate UK MTF and similar non-UK venues, where there is at least one UK manufacturer. For example, many UK securitisations currently defined as private are actually admitted to trading on European MTFs. We would consider some of them to be appropriate for this purpose. However, there could be other MTFs where transactions which are the subject of primary admissions do not have the attributes of a public transaction and they should not be appropriate MTFs for this purpose.
The public securitisation description would also include securitisations where
there is at least one UK manufacturer and where a public announcement or other general communication is made to a wide audience of potential investors, intended to solicit orders or expressions of interest as part of the primary marketing of the securitisation.
7.14 We considered whether the third limb above could be used in isolation. However, we
were concerned that a transaction that is public in substance might not be brought into scope because of the way it is announced. Our current view is that the first two limbs give helpful precision and many transactions may come within the third limb as well.
7.15 A more precise description of appropriate trading venues for an expanded description of
public securitisation would be developed following this discussion. Disclosure templates
7.16 Together with the PRA, we are considering whether the disclosure templates for
“private” securitisations could be made more proportionate or principles-based, whilst still supporting the provision of sufficient information by manufacturers of securitisations to investors.
7.17 Indeed, there are questions in the market as to the suitability of prescriptive disclosure
templates for underlying exposures in all securitisations. Disclosure needs to be balanced between information that is readily available in absorbable and comparable format and its usefulness.
7.18 There may also be a question whether more limited adjustments to disclosure
templates for “public” securitisations might be appropriate. In particular, the amount of detail now required on the underlying exposure/borrower is very high, whilst for very granular and short-term pools, such as credit cards, investors risk assessment generally is statistical and uses stratified data rather than loan-by-loan analysis.
7.19 We will look to consult on proposals to the disclosure templates, including ESG
reporting, in a later consultation.
Q19: Do you agree that the definition of a public and a private securitisation should be reviewed? Q20: Do you agree with the approach of focusing on the definition of a public securitisation? If not, which approach would you suggest? Q21: Do you agree that considering the number of investors would be problematic?

Q22: For the definition of a public securitisation, do you agree with the concept of considering admission to trading on venues outside of the UK? What, if any, might be the unintended consequences? What principles should be used in identifying the appropriate non-UK venues for these purposes? Q23: Would it be desirable to connect a public announcement or general communication to the definition of a public securitisation? Q24: Do you think the templates for public securitisations could be more proportionate? Q25: What is the best way to balance standardisation and comparability of disclosure on the one hand against flexibility and adaptability of securitisation as a financing technique? Q26: Do you think there are asset classes where reporting of individual underlying exposures is not useful and, if so, what in your view would constitute proportionate disclosure in those instances? Q27: Are there any other factors to consider in defining and reporting different types of securitisations?

Annex 1
Questions in this paper
Q1: Do you have any comments about how we have incorporated provisions of the UK SR into our rules, apart from the provisions which have been the subject of policy change as described in this paper? Q2: Do you agree with our proposed clarification of what information an institutional investor should receive to conduct its due diligence? Q3: Do you agree with our proposed clarification of the delegation of the due diligence responsibility? Q4: If you do not agree with our proposals on the due diligence requirements, how could we change them? Q5: Do you agree with our proposed approach to risk retention for non-performing exposures (NPE)? Q6: Do you agree with our proposals around the insolvency of the retainer? Q7: Do you agree with our proposals for the sole purpose test? Q8: Do you agree with our proposals for risk retention in resecuritisations? Q9: Do you agree with our proposals to exempt more firms from cash collateralisation of the retention piece? Q10: Do you agree with our proposals for comparability of assets on the balance sheet and ‘cherry picking’ in risk retention? Q11: Is there anything else associated with our proposals on risk retention that you would like to raise? Q12: Do you agree with our proposals for the scope of our rules in geographically mixed scenarios? Q13: Do you agree with our proposed amendments to currency references? Q14: Do you agree with our proposed definition of ‘established in the United Kingdom’?

Q15: Do you agree with our proposals to clarify aspects of simple, transparent and standardised (STS) notifications and homogeneity? Q16: Do you agree with our proposals for resecuritisations and credit-granting? Q17: Are there any matters relating to transitional provisions that you would like to raise? Q18: Are there any other matters relating to our rules that you would like to raise? Q19: Do you agree that the definition of a public and a private securitisation should be reviewed? Q20: Do you agree with the approach of focusing on the definition of a public securitisation? If not, which approach would you suggest? Q21: Do you agree that considering the number of investors would be problematic? Q22: For the definition of a public securitisation, do you agree with the concept of considering admission to trading on venues outside of the UK? What, if any, might be the unintended consequences? What principles should be used in identifying the appropriate non-UK venues for these purposes? Q23: Would it be desirable to connect a public announcement or general communication to the definition of a public securitisation? Q24: Do you think the templates for public securitisations could be more proportionate? Q25: What is the best way to balance standardisation and comparability of disclosure on the one hand against flexibility and adaptability of securitisation as a financing technique? Q26: Do you think there are asset classes where reporting of individual underlying exposures is not useful and, if so, what in your view would constitute proportionate disclosure in those instances? Q27: Are there any other factors to consider in defining and reporting different types of securitisations?

Annex 2
Cost benefit analysis (CBA)
Introduction

FSMA, as amended by the Financial Services Act 2012, requires us to publish a CBA of
our proposed rules. Specifically, section 138I requires us to publish a CBA of proposed rules, defined as ‘an analysis of the costs, together with an analysis of the benefits that will arise if the proposed rules are made’.
This analysis presents estimates of the significant impacts of our proposals. We provide
monetary values for the impacts where we believe it is reasonably practicable to do so.
In this CBA, we assess the impact of the changes we are proposing in Chapters 4, 5 and
6 of this CP. We do not consider Chapters 3 and 7 because we are not consulting on rule changes in those Chapters.
This CBA has the following sections

Problem and rationale for intervention
Our intervention
Baseline and key assumptions
Specific changes to due diligence and risk retention
Familiarisation costs for firms for the package of proposals
Other proposals
Competitiveness and growth
Options considered
Problem and rationale for intervention

As mentioned in Chapter 1, the Treasury Review found whilst there are signs the UK SR
has increased the transparency and robustness of the UK securitisation market, the UK SR has not boosted securitisation issuance or broadened the investor base as much as it could have.
Securitisation is a useful source of finance for UK businesses. It can aid capital raising,
liquidity and risk management for issuers. Soundly-structured securitisation is also a channel for diversifying funding sources and allows for a broader distribution of financial sector risk to investors. Securitisation can also help free up originators’ balance sheets to allow for further lending to the economy.
However, respondents to the Treasury Review have argued that there is uncertainty
around how to comply with some provisions of the UK SR and that certain requirements may have constituted a barrier to the development of a well-functioning UK

securitisation market. This in turn may have caused investors to limit their investments in - and originators to limit the issuance of - new securitisations. To a degree, these more limited investments and lower levels of issuance cause harm to the securitisation market for issuers by reducing capital raising, liquidity and risk management, while increasing the cost of capital. The securitisation market and wider economy, to an extent, would be harmed by more limited lending. Additionally, investors would have reduced risk adjusted returns from fewer opportunities to diversify.
8. It is therefore important to provide clarity around the UK SR requirements and to
support the development of a well-functioning securitisation market that balances the needs of the originators/sponsors with investor protection.
9. One aspect of the UK SR that could be hindering a well-functioning securitisation
market relates to the requirement of the original lender, originator or sponsor to retain a material net economic interest of at least 5% in each securitisation, calculated with reference to the face value of the underlying exposures. The purpose of this rule is to try to maintain an alignment of interests between the original lender/originator/ sponsor of the exposures and investors in the securitisation. As such, the originator, sponsor or original lender will face a loss if the securitisation incurs a loss. This reduces negative incentives around lending purely to securitise the underlying exposures without retaining any risk.
10. However, the securitisation framework was designed with performing assets in mind and
the requirements for risk retention at face value are not entirely amenable to securitising NPEs – bank loans and other financial exposures where the obligor has defaulted or is likely to default.
11. NPEs are typically sold to the securitisation vehicle at a significant discount to their
face value, thereby crystallising the loss for the originator of the portfolio and reflecting the potential recovery value/market value of the NPEs. Calculating the risk retention on the face value of the defaulted portfolio means that manufacturers have to retain a larger net economic interest than if it was calculated on the market value of the defaulted portfolio. This makes securitisation of NPEs less viable as the fixed costs of the securitisation are more likely to outweigh the benefits to the originator of selling the smaller proportion of the underlying assets.
12. Whilst securitisation of NPEs is not currently a feature of the UK securitisation markets,
NPEs could become more important during an economic downturn, where more underlying exposures become impaired and the need for banks to manage and deal with their exposure to NPEs increases. One way to manage their exposure is to securitise them, thereby distributing the risks associated with those exposures across capital markets. The calculation of risk retention for NPEs however may have constituted a regulatory barrier to the effective management of this risk for banks, hindering their ability to move risk off their balance sheets, make new loans to firms and households and lend more in the wider economy.

Our intervention
13. With reference to the above rationale for intervention, we are proposing a series of
policy changes designed to clarify certain provisions of the UK SR and remove some regulatory barriers to securitisations. We set out our changes in the table below.
Table 1: Our proposals
Proposal Description
Chapter 4
Due diligence requirements for institutional investors Clarification of what information is required to be received by the institutional investors when investing in domestic or third country securitisations. Delegation of the due diligence requirement for institutional investors Clarification of the circumstances where due diligence requirements can be delegated to another institutional investor
Chapter 5
Risk retention – change to refer to market value rather than face value in NPE securitisation Calculation of the net economic interest for NPE securitisations by reference to the market value of the NPE portfolio as opposed to the face value of the exposures Risk retention – resecuritisation Clarification of when the retranching of an issued tranche into contiguous tranches by the securitisation’s originator is not deemed to be a resecuritisation for the purposes of risk retention Risk retention – exemption from cash collateralisation Extension of the exemption from cash collateralisation of the risk retention piece from credit institutions to both CRR firms and Solvency II firms Risk retention – adjustments to risk retention technical standards (RRTS) provisions (e.g., disclosure requirements) Various minor changes including disclosure requirements of the risk retention Risk retention – allowing retainer to change (e.g., as a result of bankruptcy) Measures to make it easier for the risk retention to be transferred in the event of the insolvency of the retainer Risk retention – sole purpose test Clarification of measures to take into account when assessing whether the retainer meets the sole purpose test Risk retention - comparability of assets held on balance sheet Clarification on what constitute comparable assets when assessing whether the transaction meets the rule designed to prevent ‘cherry picking’.
Chapter 6
Geographical scope Clarification of scope of the regulation in relation to cross border securitisation

Proposal Description
Currency adjustments Replacing references to Euros by refences to Sterling where necessary Homogeneity criteria- classification of certain corporate loans as loans to individuals Change that helps originators to classify their loan for purposes of homogeneity Homogeneity Criteria-servicing by the originator Change allowing for loans to be serviced with similar procedures by the originator or the SSPE.
14. We detail below the CBA in respect of the measures regarding the calculation of the risk
retention for NPE securitisations and the clarification of the information required for third country securitisation to comply with the due diligence requirements.
15. Our other proposals are clarificatory in nature and involve costs of minimal significance
and so we are not required to undertake a CBA. Nonetheless, we discuss these proposals briefly in the “Other proposals” section below.
16. The causal chain below outlines how our proposals, which would remove a barrier to
securitisations and clarify our rules, would lead to more securitisations to the benefit of both manufacturers and investors. As shown in the causal chain, harm is reduced for originators from lower chance of firm failure and associated costs of failure, lower capital costs for firms and greater investment and higher lending capital (and accrued profit from this activity for costs). Investors will also benefit from the opportunity to invest in a wider array of assets which provide greater risk-adjusted returns.

Figure 2: Causal chain describing how our proposals improve the market for securitisation
HARM REDUCED
Lower chance of bank faiulure if balance sheet more robust (beter capitalised, more liquidity, etc Lower costs of capital for firms Higher investments/more lending enabled for firms/banks Enhanced risk adjusted returns for investors Improves stability of securitisation firms (reduces funding costs, asset liability mismatch, increases capitalisation) Investors hold more diversified portfolio of assets Assets transferred from firm’s balance sheet to investors Firms include more assets in securitisation Firms undertake more securitisation Restrictions on securitisation such as risk retention on par values removed Firm’s better understand requirements of rules Implementation of the proposed rules

Baseline and key assumptions
Baseline
17. We analyse the impacts of the policy against a baseline, or ‘counterfactual’ scenario,
which describes what would happen in absence of the proposed interventions. That is, we compare a ‘future’ under the policy, with an alternative ‘future’ without the policy.
18. UK securitisations are regulated by the UK Securitisation Regulation (UK SR). The
regulation broadly provides for

general obligations for original lenders, originators and SSPE, as applicable, in
relation to risk retention, disclosure and credit granting;
specific criteria and a framework for designating a securitisation as simple,
transparent and standardised (STS); and
due diligence obligations for institutional investors.

The UK SR has been implemented since 2019 and manufacturers as well as investors
have adapted to the new regime and made the necessary changes to comply with their obligations.
As of June 2023, publicly available data show the outstanding UK securitisation public
market excluding collateralised loan obligations (CLO) at £195bn, with annual issuance of around £40bn. The outstanding EUR-denominated CLO market is over €200bn, with annual issuance of around €35bn. Around 70% of EUR-denominated CLOs have a UK collateral manager.
We have received 121 STS notifications since the end of the Brexit transition period
in December 2020. We have received 27 public and private notifications since the beginning of 2022 but none of these were securitisations of corporate loans.
We assume that absent intervention, we would observe similar levels of securitisations
in the future, i.e., continued subdued growth in securitisations markets. We expect that there will be some fluctuations in the number driven by the macroeconomic environment.
However, we consider that absent any rule changes, uncertainty around how to comply
with some aspects of the current rules will persist. This may result in confusion amongst market participants and could potentially limit investment in - and issuance of – new securitisations.
In turn, lower levels of securitisation than would take place in a well-functioning market
could lead to higher chances of bank failure, lower levels of lending and higher costs of capital for firms. Investors would also be less able to diversify their portfolio of assets and generate enhanced risk adjusted returns.
Once the securitisation regulation is repealed by the Treasury under the SRF, we and the
PRA will take on the responsibility to set the firm-facing rules that are currently in the UK SR or technical standards. As part of this transfer, we are proposing the policy changes

highlighted in this consultation. We are planning to consult on further policy changes to the securitisation regulation at a later stage. We will undertake a CBA on these further changes when we consult upon them. Number of firms affected
26. The number and type of originators of securitisations in the UK is fairly broad, with
several regular issuers. Looking at the public data for non-CLO securitisations, it includes more than 130 different originators including banks, non-bank lenders of mortgages, auto-loans and consumer loans. In addition, approximately 80 CLO managers are UK based. The private securitisation market, which includes primarily asset backed commercial paper (ABCP) securitisations will add a number of corporates issuing trade receivables transactions as originators. We are unable to estimate the number of firms that participate in the private securitisation market because of the lack of available data.
27. All FCA-authorised and non-authorised entities acting as originator and sponsor will be
affected by some of the changes we are proposing. The number of affected firms for which there is publicly available information is shown in Table 2 below by the role they play. The total number of firms here is an upper estimate as some originator firms may act as servicers.
Table 2: Publicly available UK securitisation data
Firms Number
Originators/sponsor 131 + 80 CLO managers Originators/sponsor – dual regulated (with the PRA) Originators/sponsor – solo regulated (FCA only) 45 Originators/sponsor - unregulated 24 Originators/sponsor (CLO managers) 80 Servicers 128 non-CLO UK securitisations Total 339 Source: Bloomberg/Dealogic/FCA – UK securitisations since 2010
28. We are also unable to estimate the number of firms that invest in securities on the
buyside. We are concerned that surveying buyside firms involved in securitisation would have gone beyond what was proportionate to the impacts of the changes being proposed. Institutional investors that may invest in securities includes various types of buyside firms and funds, including Undertakings for Collective Investment in Transferable Securities (UCITS) and UCITS management companies, AIFMs and insurers.
29. We have used publicly available data third party vendor to quantify the number of firms
operating in the UK securitisation market. Publicly available data do not include UK private securitisations where data is not easily available. Therefore, calculations based on public data only will underestimate the costs as well as the benefits, as we assume that the private market can be as large as the public market.

Key assumptions
30. Our CBA is subject to several uncertainties and assumptions:

Calculating costs: The incremental cost impacts of our proposals have been calculated
using our standardised cost model (SCM) and its cost assumptions. The assumptions we have used for the number of firms are based on publicly available data on securitisations where one of the originator, sponsor or SSPE is established in the UK.
Our estimates assume full compliance with our rules for authorised firms affected
by our proposals which we believe is reasonable as it allows us to establish all potential costs and benefits. Summary of costs and benefits

In this table, we set out the significant costs and benefits of our package of proposals.
Many of our changes are intended to improve the functioning and the clarity of regime to firms complying with it. We do not expect the changes to result in significant operational costs, although we note that firms will incur costs in relation to familiarising themselves with the entire package of proposals.
Table 3: Summary of costs and benefits
Stakeholder
One-off/ ongoing Costs Benefits Originators, sponsors and lenders One-off Familiarisation and legal costs – approximately £8.3m Ongoing Indirect costs relating to an increase in the number of securitisations which are processed. Increased flexibility and profitability (from lower financing costs using securitisation) Investors One-off Familiarisation and legal costs – unquantified Ongoing Increased access to securitisations and the benefits arising from diversified asset holdings. Wider impacts Ongoing Some of the benefits to originators will be transferred to consumers and corporates as originators increase lending there will be wider and additional non-transfer benefits to the real economy more broadly. Specific changes to risk retention and due diligence
Overall, most of our proposals do not imply major policy implementation and therefore
will result in costs of minimal significance in most instances, with the exception for

some of the proposals regarding risk retention requirements for NPE securitisations and the NRPPD in Chapter 5 and the changes to the due diligence requirements in respect of the information to be received on third country securitisations in Chapter 4.
33. Accordingly, the following section details the benefits and costs of those specific
proposals which have a higher cost impact. A list of the other proposals and our explanation of why we think that they will have limited impact is given in the last section. Risk retention – change to refer to market value rather than face value
34. Our proposal in Chapter 5 is designed to remove barriers to the securitisation of NPEs.
35. As outlined in Chapter 5, the draft rules propose the reflection of a NRPPD for NPEs in
the risk retention requirements for NPE securitisations. Our intervention will enable the manufacturer’s risk retention to be calculated on the market value of a non-performing asset (i.e., the price at which the asset is sold to the securitisation vehicle), rather than its face value. The ‘net value’ better reflects the market assessment of the risk of loss to investors and in effect is determined taking into account the ‘erosion’ of the NPEs’ value. Benefits to originators
36. Performing the risk retention calculation with reference to the market value instead of
face value would allow manufacturers of NPE securitisations (i.e., originators, sponsors and original lenders) to price the retained risk of NPEs at current market prices that would better reflect the economic value of the underlying asset.
37. Calculating the amount of retained risk as a proportion of market value will result in a
lower retained economic interest in NPEs reflecting the assets’ non-performance and changes in economic fundamentals since origination. This would remove one of the barriers that firms face when securitising NPEs by making it more economically viable for them to do so. It functions as a backstop to the future losses of NPEs which promotes prudent loss management.
38. In turn, securitisation and sale of exposures would allow originating firms to free up their
balance sheets from NPEs, aiding their recovery from asset impairments, by enabling them to engage in new lending. New lending would rebuild lender balance sheets with performing assets increasing their revenues and profitability from lower financing costs and greater liquidity. This would be particularly beneficial following times of economic stress during which underlying exposures are more likely to become impaired and the prevalence of NPEs is likely to be higher. We note that there will be a resource cost to originators of these additional securitisations, but firms will only undertake securitisations where there are net benefits from doing so.
39. We do not believe it is reasonably practicable to quantify these benefits. As noted
above, NPEs are not currently a major feature of the UK market. Whilst we consider that the volume of NPEs is likely to increase during times of economic stress, it is difficult to predict both how the economy and the volume of NPEs will change over time. Furthermore, whilst we expect the rule change to remove barriers for NPEs to be securitised, it is difficult to estimate how many NPEs would be securitised under the proposed rules, as compared to the baseline.

Benefits to investors
40. We expect the proposals to allow for an increase of the volume of NPE securitisations
available during times when they are material amounts of NPE to securitise. This would benefit investors who are interested in investing in this market, but who previously had limited opportunity to do so, because NPE securitisations were economically unviable for originators. Our proposals would allow investors to diversify their portfolios and generate enhanced risk-adjusted returns.
41. For the reasons noted above, we do not believe it is reasonably practicable to quantify
these benefits.
Wider benefits
42. As noted above, making it more economically viable for lenders to securitise NPEs will
allow them to free up their balance sheets for new lending. Securitisation following periods of stress will enable firms to strengthen their balance sheets potentially more quickly and cheaply than raising finance. On an ongoing basis, this may lead to lower prices and widened access for credit for some borrowers and so indirectly and partly transfer benefits through supporting new lending to consumers and corporates. This may have additional and broader non-transfer benefits through investment, and economic growth in the real economy. Costs to investors
43. Our proposals will likely increase the proportion of securitisations of NPEs. These
securitisations might be perceived to be the riskiest with the greatest scope for investors to be affected by the information asymmetry between manufacturers and investors. However, we expect the combined effect of our regime, which has significant disclosure requirements, and the incentives for investors to understand the assets they are investing in will mean that the risks arising to investors from these additional securitisations will be small.
44. UK investors in NPE securitisations will need to verify that the net economic interest
retained in the securitisation they invest in comply with the methodology we are proposing. It is expected however that firms have already adapted to the change because a large part of the NPE securitisations issued recently were from the EU which has already adopted a similar approach in relation to the calculation of the risk retention for those securitisations. Due Diligence
45. Our proposals in Chapter 4 on due diligence requirements are designed to remove any
ambiguities for institutional investors looking to invest in non-UK securitisations.
46. Currently, UK institutional investors must verify, before investing, that third country
securitisation manufacturers have made available information which is ‘substantially the same’ as that which would have been made available for UK securitisations. We are proposing to clarify what that means in terms of the minimum information that they are required to receive. This will provide clarification on past questions about what the legislation had intended by ‘substantially the same’.

Benefits to originators
47. The changes to the due diligence requirements do not affect UK originators of
securitisations as it applies only to UK institutional investors investing in overseas securitisations. Benefits to investors
48. The current language has constituted a barrier to investment by UK investors in third
country securitisations, as investors who take conservative interpretations of the legislation are disinclined to buy overseas securitisations due to uncertainty around full compliance. Overseas manufacturers do not always produce the exact same information prescribed within the UK SR in the same format.
49. Our proposal clarifies what information is required when investing in a UK and third
country securitisation. It should provide greater clarity and confidence to UK investors that they are compliant with the regulation. Therefore, this would lower the costs of meeting the requirements (including legal costs) by reducing the cost of meeting some perceived higher legal standard. Costs to investors
50. As stated before, we believe that most firms are currently requiring information for third
country securitisations that are comparable to what they receive for UK securitisation without requiring them to be formatted on the UK disclosure templates. The proposed changes should clarify the requirement, removing uncertainty and making firms more confident that they are compliant with the requirement. We do not expect that firms will incur significant costs from this change, but on the contrary, it is likely, on the margin, to reduce the costs to investors seeking to invest in non-UK securitisations. This is because the change should not necessitate firms’ changing their investment processes or technology platforms in order to ingest, retain or review the information that the regulation is requiring them to receive.
51. Given these changes, we might expect that investors are slightly more likely to invest in
non-UK securities. We do not expect any material indirect costs from any small increase in investment in non-UK securitisations. We note that ensuring that assets managed in the UK can take advantage of investments globally.
52. Consequently, we do not expect costs of more than minimal significance from this
change.
Cost to originators
53. As the clarification relates to what is required from originators of third country
securitisations, it does not affect originators in the UK. We note however that the proposed change aligns the due diligence requirements for UK and third country securitisations, thereby ensuring a level playing field between originators in the UK and outside of the UK.

Familiarisation costs for firms for the package of proposals
54. There will be one-off familiarisation costs for firms subject to the securitisation rule
changes. In total, we assume that all of the 339 firms impacted by our proposed changes will seek to understand our proposals. As noted above, this figure only includes firms that participate in the public securitisation market - we are unable to estimate the number of firms that participate in the private securitisation market. In the absence of better information, we assume that all 339 firms are ‘large’. We note that this means that the total costs estimated below should be considered as an upper bound. If some of the 339 firms are small or medium in size, then the cost-per firm for each of these firms would be lower, and the total one-off costs for industry would be lower.
55. We use the SCM to estimate the familiarisation costs for market participants based on
assumptions on the time required to read the approximately 60 relevant consultation pages excluding the legal instruments. We assume 300 words per page and a reading speed of 100 words per minute and estimate that it would take around 3 hours to read the document. It is further assumed that 20 compliance staff at each firm will read the text.
56. We convert this to a monetary value by applying an estimate of the cost of time to
market participants, based on Willis Towers Watson 2022 salary data, including 30% overheads. The salary used is an average of the compliance function. This includes salaries at every job level, including compliance senior management salaries. Board and Executive Committee time can be added to our cost model estimate when a regulatory intervention requires firms to change, in some way, their internal processes or governance arrangements. Board and Executive Committee time were not added to our cost estimate as our proposals do not require any costs beyond familiarisation.
57. Following familiarisation, we expect firms to conduct a legal review of the proposals
and a gap analysis to check their current practices against expectations. We assume that firms use in-house counsel to understand these changes, rather than employing external legal advice. We estimate the legal costs for market participants based on assumptions on the time required to read the approximately 125 pages-long legal instruments (without annexes). We consider that firms will not be required to spend time familiarising themselves with the annexes to the legal instrument, as the annexes only restate existing rules (i.e. they do not propose any additional changes). Following a similar approach as above, we convert this into a monetary value by applying an estimate of the cost of time to firms.
58. Using the above assumptions we estimate total industry-wide familiarisation and legal
review costs, for the 339 firms that participate in the public securitisation market (see
Table 2), to be approximately £8.3m. We assume that costs are consistent across firm
type (i.e. each type of firm described in Table 2 incurs an identical familiarisation cost). We summarise costs in the table below. Total one-off costs for all firms Cost per firm Cost (£) £8,300,000 £24,400

Other proposals
Risk retention – resecuritisation
59. The UK SR prohibits resecuritisations, unless the competent authority as resolution
authority grants permission in narrow circumstances. However, a fully supported ABCP programme is not considered to be a resecuritisation for these purposes, if ‘none of the ABCP transactions within that programme is a resecuritisation and the credit enhancement does not establish a second layer of tranching at the programme level’.
60. We propose to: 1) clarify that, in resecuritisations that may be permitted, a retainer
shall retain the material net economic interest in relation to each of the respective transaction levels; 2) clarify that fully supported ABCP programmes, of the kind described above, are not considered to be resecuritisations for risk retention purposes; and 3) specify that the retranching of an issued tranche into contiguous tranches by the securitisation’s originator does not amount to resecuritisation.
61. The above changes improve the regulatory framework because they clarify where
resecuritisations may be permitted. They clarify the risk retention treatment of fully supported ABCP programmes and that restructuring adjacent tranches do not amount to a resecuritisation for risk retention purposes for purposes of risk retention.
62. We are not aware of resecuritisations in the current UK market since the implementation
of the UK SR. Therefore, we view these measures as having no bearing on current market practise and any costs incurred would be in familiarisation with clarifying rules that could occur in where resecuritisation is permitted. We expect that the costs of this proposal will be of minimal significance and so a cost benefit analysis is not necessary.
63. There may be some small benefits manufacturers arising from the rare instance
of a non-ABCP resecuritisation but because resecuritisations are only permitted in very limited circumstances, we don’t expect the number of those to be anything but insignificant. Risk retention – Exemption from cash collateralisation
64. The current UK SR requires that when retainers fulfil risk retention requirements through
a synthetic or contingent form, the interest is fully collateralised in cash and held on a segregated basis as ‘clients’ funds. Only credit institutions are currently exempted from the cash collateralisation requirement.
65. Our proposals extend the exemption from cash collateralisation of the risk retention
piece from credit institutions to both CRR firms and Solvency II firms. The current legislation only allows banks to exempt retained risk from cash collateralisation. Banks are the main retainers for cash transactions and don’t need to cash collateralise the risk retention under the exemption. For synthetic transactions, the retention piece tends to be held by insurers who are required to cash collateralise their risk retention because they don’t currently benefit from the exemption. Under the current legislation, insurers are at a distinct disadvantage.

We don’t expect significant costs from this change as the change removes restrictions.
Any risks (and associated costs) derived from the synthetic or contingent retention will be managed and mitigated according to the detailed prudential requirements and relevant supervision these firms are subject to. Risk retention – adjustments to RRTS provisions (e.g. disclosure requirements)
We propose to make some other more minor adjustments to the provisions when
replacing them with rules.
For instance, we propose to adjust requirements relating to the disclosure of information
about risk retention. The risk retention technical standards already require disclosure of information about the risk retention. We are proposing to specify that this information needs to be included in ‘the final offering document, prospectus, transaction summary or overview of the main features of the securitisation’.
These changes are very minor clarifications to the rules, and we do not expect that
firms will adjust their behaviour accordingly. We consider that those clarifications are aligned with how the market reads the current requirement. The costs of this change will therefore be of minimal significance, so a CBA is not necessary. Risk retention – allowing the retainer to change (e.g., as a result of bankruptcy)
Our proposals on risk retention include measures to make it easier for the risk retention
to be transferred in the event of the insolvency of the retainer. Under the current legislation, uncertainty about the nature of the retention - as the assets of the originator are unwound by an administrator - could lead to divestment and forced selling in some instances.
The costs of transferring the risk retention to a new retainer is expected to be much
lower than the cost associated with a fire sale of the position by investors which would have an impact on the proceeds of the securitisation. The cost is also considered negligible compared to the market disruption that this could cause. Risk retention – sole purpose test
Our sole purpose test proposals will continue to ensure that securitising entities are
keeping a material net economic interest in a securitisation transaction through proper risk retention between entities with other business streams (i.e. the entity holding the retention has an ongoing business).
Firms generally (including in the UK) have started to comply with the proposed “sole
purpose” tests as soon as the EBA published its draft RTS in 2018. This is because it is difficult to change the risk retention post-closing and firms were keen to ensure that they would look to comply ahead of formal implementation. Although the UK has not since confirmed this change until this current proposal, it is our understanding that UK

firms have been looking to comply and we expect that firms will continue to maintain this practice. As such, we do not expect our rule change to have a significant impact on existing market practice and therefore will not impose significant costs on firms. Risk retention – Comparability of assets held on balance sheet
74. The UK SR prevents originators from selecting assets to transfer to the SSPE in order
to render the losses of these assets to the SSPE higher than the losses over the same period on the comparable assets held on the balance sheet of the originator. This provision aims to prevent ‘cherry picking’ of assets by originators and align their interests to the ones of investors. However, the UK SR doesn’t further specify what ‘comparable assets’ means for this purpose.
75. We propose to: 1) Require that comparability is assessed based on the use of similar
factors to determine the expected performance of both asset ‘buckets’ (‘equality of checks’) and that the forecasted performance of the assets on the balance sheet should not be significantly better than the performance of the assets transferred in the relevant timeframe (‘forward looking’ comparability); 2) provide that the originator’s compliance should be assessed considering their internal policies, procedures, and controls; and 3) deem firms to be in compliance when no ‘comparable assets’ are left on the originator’s balance sheet and this is clearly communicated to investors.
76. Our proposals on cherry-picking for risk retention are a continuation of current market
practice, which complies with EBA draft technical standards (2018) on risk retention, in line with our guidance on non-legislative measure which were in place before the end of the Brexit transition period. Our proposals also maintain the carve out for NPE where the requirement would make it impossible to securitise NPEs. As a continuity measure, embedded in primary legislation previously, a cost and benefit analysis is not required. Simple Transparent and Standardised (STS) securitisations – Homogeneity
77. Chapter 6 also contains our proposals for rules governing homogeneity of underlying
exposures in STS securitisations. We have kept, as rules, the technical standards that were in force at the end of the Brexit implementation period and have also proposed further measures similar to those the EBA drafted in 2023, which equate exposures with similar underwriting and servicing standards, for homogeneity purposes.
78. As stated above, the number of STS securitisations involving loans to small corporate
that would be affected by the proposed change is very low in the UK (there has not been any so far). However, should it grow in the future, the clearer rules around homogeneity should provide confidence to originators to issue an STS securitisation that is compliant with the rules. This will help to select the appropriate pool of assets, facilitate the obtention of the STS label and potentially reduce legal costs to ensure compliance. We therefore consider our proposals do not involve significant cost, such that would require a CBA, but bring benefits to firms from the clarifications provided.

Geographical Scope
79. Chapter 6 on other measures addresses uncertainties around geographical scope which
have been raised by industry. We propose to limit expressly the application of our rules to entities, including manufacturers, established in the UK (apart from the definition of “institutional investors” because its scope is set out in the SI). We think our proposals reflect current market practice but will provide further clarify for manufacturers on how the risk retention is held. We consider that the approach keeps the UK competitive for cross-border transactions. Given this change lowers the perceived regulatory cost but is unlikely to materially affect market practice, we expect any costs to be of minimal significance. Definition of public and private securitisation
80. In Chapter 7, we include a discussion on the possible steps forward in defining which
securitisations should be considered public and report via a securitisation repository. We also consider whether the remainder (private securitisations) should be subject to a less stringent, more proportionate reporting regime. As Chapter 7 does not propose rules for consultation, we have excluded its contents from any CBA requirements. Changes to the currency from Euro to Pound
81. Where appropriate within our proposed rules, we have changed references to foreign
currencies to Sterling. Most of the previous references were to Euro (EUR) and UK firms issuing in Sterling (the majority of transactions in scope of the UK securitisation regulation) would continue to incur foreign exchange fluctuation in calculating thresholds in Euro, and transaction and operational costs without changing these Euro references. These costs involve transactions costs converting from Euro to Sterling both for current activities as well as operational costs when concerting to examine previous transactions. We are of the view that transferring the currency of reference does not have significant costs of more than minimal significance and therefore no CBA is required. Competitiveness and growth
82. FSMA 2023 includes provisions that the FCA will have a new secondary international
competitiveness and growth objective. Our new secondary objective introduces an objective on the international competitiveness of the UK economy and its growth in the medium to long term. We must, so far as reasonably possible, act in a way which, advances the secondary international competitiveness and growth objective. Our legal duty to comply with this secondary objective will apply from 29 August 2023, 2 months after the Bill received Royal Assent. Our work in relation to the proposed changes started before this legislation was introduced but will be completed, with final decisions made, after the Bill will have come into force. The need to comply with this future obligation was also reflected in our new remit letter, received 9 December 2022, to which we must have regard. We have therefore considered here the likely effects of these proposals on international competitiveness and growth.

As previously highlighted, securitisation serves as a vital link between the financial
markets and the real economy, facilitating funding, enhancing liquidity, and promoting economic growth. By providing access to capital and enabling risk transfer, securitisation is pivotal in supporting lending, investment, and economic activities in various sectors. Therefore, by facilitating growth and competitiveness in the UK Securitisation market this will in effect promote international competitiveness and growth in the UK economy.
The policy proposals presented in this paper align with the core mandate of the
new secondary objective, promoting growth in the UK in the medium to long term and international competitiveness of the UK economy. The proposals facilitate the secondary international competitiveness and growth objective in the following way. Growth in the market
The primary aim of our proposals is to remove barriers to issuance of - and investment
in - securitisations and to reduce ambiguity within the regulation, while maintaining the appropriate and proportionate protections in the current regulatory framework. Protections in this market support growth because they help maintain market stability through appropriate management of, and sufficient transparency on, related risks. Market stability protects investors and consumers and builds confidence in UK financial markets and institutions. This, in turn, provides a stable platform for increasing investment in the UK, which increases productivity, market size and depth.
Removing barriers to investment in securitisations, such as those outlined in
Chapter 4 (due diligence requirements for institutional investors) and Chapter 5 (NPE
securitisations and risk retention), would improve market functioning and facilitate growth in the UK securitisation market.
For example, by changing the calculation of NPEs by reference to the market value of
the NPE portfolio as opposed to the face values of the exposures, the risk retention of securitisation more adequately reflects the market assessment of the risk of loss to investors. The more proportionate approach provides more incentive for firms to securitise and redistribute the risks associated with underlying exposures across capital markets. Moving risk off the balance sheets, making new loans to firms and households and lending more in the wider economy provides access to, and lower the costs of, capital that supports the real economy.
Moreover, providing further clarity to the functioning to the UK SR (such as those
outlined in Chapter 4 relating to due diligence requirements on investing in a third country securitisation; as well as the calculation of NPE set out in Chapter 5 as outlined above) would result in an overall decrease in compliance cost for market participants allowing for more potential funding to securitise assets.
Securitisation is an important source of finance for UK businesses as it can help them
to raise capital and manage their risk. Growth in the securitisation market will mean UK lenders can potentially increase the levels of funding they can provide to the real economy. In addition, firms potentially hold more diversified portfolio of assets that in turn may enhance risk adjusted returns for investors that, in turn, may potentially be further invested into the economy.

International Competitiveness
90. Another key aim of our policy proposals is to make the regime work better, with
reference to our suggested proposals on due diligence requirements (Chapter 4), Risk retention (Chapter 5) and homogeneity criteria for STS securitisations (Chapter 6). One of the main considerations behind these proposals is the goal to make the UK Securitisation market more competitive.
91. Our proposals seek to reduce compliance costs of the securitisation regime, through
making the relevant requirements more proportionate and clearer. Any lower costs should make the UK a more attractive to place to invest or to raise finance using securitisation. We do not think these effects are large, but we do think any effect will be positive.
92. Our proposals with regards to due diligence (Chapter 4) are an example of changes we
have put forward to improve UK’s investors’ ability to compete globally to participate in well-structured investments that can boost their returns and in turn make the UK an attractive place for investors to do business. Options considered Risk retention
93. An alternative to our proposal to change the calculation of the risk retention using the
NRPPD would have been to continue calculating the risk retention of the face value of the underlying exposure. This would have resulted in a much higher risk retention for originators. We believe however that by selling the underlying exposures to the SSPE, the originator has already crystallised its losses and therefore a higher risk retention would have been disproportionate and did not necessarily enhance the alignment of interest with investors. On the contrary, we believe that this would have limited the possibility for UK originator to securitise any NPEs in the future. Given the current macro-economic environment, it is expected that the number of non-performing mortgage or corporate loans may increase. By not allowing securitisation of such NPEs to be economically viable, we would have limited the options available to the originators to fund those loans and to manage the risk. This is turn could have negative impact on the provision of lending to the economy. This would have been contrary to our objective to promote a well-functioning securitisation market and would not be in line with our secondary growth objective.
94. Overall, we believe that the benefits for the originator (in relation to its risk management
and funding options) and the wider economy (ability to distribute the risk of NPEs to a wider set of investors and the potential new lending capacity by originators) outweigh any costs associated with the new calculation. Due diligence
95. We considered several alternatives to our proposals in relation to the information
required to be received by institutional investors as part of their due diligence of third country securitisations.

One alternative would have been to do nothing. The UK legislation had already clarified
the EU text post Brexit and in practice investors had adapted to the intent of the policy change introduced in the UK legislation. However, the ambiguity of the language in relation to ‘substantially the same’ meant that there would still be an inconsistent implementation of the provision and a minority of investors that would have refrained from investing in third country securitisation. This would be contrary to our policy objective of having clear rules that can be easily understood by investors, thereby enhance confidence in securitisations markets.
Another alternative would have been to require that institutional investors receive
information on third country securitisations using the same templates as those provided by UK originators. This would have ensured a complete level playing field on requirements from all originators (UK and non-UK) and assurance that the investors would always receive the same appropriate type of information. This however would have limited the choice of investment as most third country do not or cannot produce information using the UK disclosure templates. We believe our proposal is more proportionate while still ensuring that the investors receive the appropriate information to assess the risk of their investment.

Annex 3
Compatibility statement
Compliance with legal requirements

This Annex records our compliance with a number of legal requirements applicable to the
proposals in this consultation, including an explanation of our reasons for concluding that our proposals in this consultation are compatible with certain requirements under FSMA.
Under s. 138I(2)(d) of FSMA, when consulting on new rules, the published draft of those
new rules must be accompanied by explanation of why we believe making the proposed rules is compatible with (a) our general duty, under s. 1B(1) FSMA (so far as reasonably possible, to act in a way which is compatible with our strategic objective and advances one or more of our operational objectives) and (b) our general duty under s. 1B(5)(a) FSMA to have regard to the regulatory principles in s.3B FSMA. In addition, under s. 138K(2) FSMA, we must state our opinion on whether the proposed rules will have a significantly different impact on mutual societies as opposed to other authorised persons.
This Annex also sets out our view of how the proposed rules are compatible with the
duty on us to discharge our general functions (which include rule-making) in a way which promotes effective competition in the interests of consumers (s. 1B(4) FSMA). This duty applies in so far as promoting competition is compatible with advancing our consumer protection and/or integrity objectives.
This Annex also explains how we have considered the recommendations the Treasury
made under s. 1JA FSMA about aspects of the economic policy of His Majesty’s Government to which we should have regard in connection with our general duties.
Finally, this annex includes our assessment of the equality and diversity implications of
these proposals.
Under the Legislative and Regulatory Reform Act 2006 (LRRA), we are subject to
requirements to have regard to a number of high-level ‘Principles’ in the exercise of some of our regulatory functions and to have regard to a ‘Regulators’ Code’ when determining general policies and principles and giving general guidance (but not when exercising other legislative functions like making rules). This Annex sets out how we have complied with requirements under the LRRA.
The Near-final SI includes a specific requirement for us, as well as the PRA, to have regard
to the coherence of the overall framework for the regulation of securitisation. Further, the Near-final SI requires us to make general rules requiring certain investors to carry out due diligence. Chapter 1 describes how we have complied with both requirements.

Our objectives and regulatory principles: Compatibility statement
8. The proposals set out in this consultation are primarily intended to advance our integrity
objective, as described in more details in Chapter 2 above.
9. Our market integrity objective is protecting and enhancing the integrity of the UK’s
financial system. The rules on which we are consulting focus on ensuring that the relevant markets function well. Our policy proposals are designed to clarify and improve the UK SR, aiming to create a framework to strengthen the integrity of the securitisation market.
10. Our consumer protection objective is to secure an appropriate degree of protection
to investors. The UK SR includes a number of provisions designed to increase transparency for the benefits of the investors as well as provisions to align the interests of the manufacturers with those of the investors. Our proposals include clarifying requirements which support appropriate implementation of key protection for the investors.
11. We have also considered our secondary objective of promoting International
Competitiveness and Growth. We believe our proposals also advance this objective as described in more details in Chapter 2 above. For the purposes of our strategic objective, the meaning of “relevant markets” is set out in s. 1F FSMA. In preparing the proposals set out in this consultation, we have had regard to the regulatory principles set out in section 3B FSMA. In particular, as set out below:
The need to use our resources in the most efficient and economic way
12. Our proposals are intended to ensure that our rules and guidance in relation to the
securitisation framework enable firms to interact with us in the most efficient way possible. The principle that a burden or restriction should be proportionate to the benefits
13. We have sought to be proportionate in our approach to rules. In particular, we have
reflected in our proposals the improvements to the securitisation framework and provided sufficient clarity on requirements that the market should be able to operate more efficiently and grow accordingly. The desirability of sustainable growth in the economy of the UK in the medium or long term
14. We believe that our proposals will support the growth of the UK economy by enabling
the UK’s securitisation and capital markets to work better for businesses and investors.

The general principle that consumers should take responsibility for their decisions
15. We believe that the transferring of the UK SR into our rules and related policy changes
will enhance the ability of investors to take responsibility through their due diligence obligations for their investment decisions in securitisations. The responsibilities of senior management
16. We do not consider that our proposals are inconsistent with this principle. Our rules will
not remove or affect the requirements for manufacturers and investors in respect of their obligations under the existing UK SR. The desirability of recognising differences in the nature of, and objectives of, businesses carried on by different persons including mutual societies and other kinds of business organisation
17. We do not consider that our proposals are inconsistent with this principle.
The desirability of publishing information relating to persons subject to requirements imposed under FSMA, or requiring them to publish information
18. Our proposals contain no material changes to the securitisation framework in this
respect.
The need to contribute towards achieving compliance by the Secretary of State with section 1 of the Climate Change Act 2008 (UK net zero emissions target) and section 5 of the Environment Act 2021 (environmental targets)
19. We do not consider that our proposals conflict with this regulatory principle. As
mentioned in Chapter 1, we will look to consult on proposals relating to the disclosure templates, which will include environmental, social and governance reporting, in a later consultation. The principle that we should exercise of our functions as transparently as possible
20. We believe that this CP meets these objectives.
21. In formulating these proposals, we have had regard to the importance of taking action
intended to minimise the extent to which it is possible for a business carried on (i) by an authorised person or a recognised investment exchange; or (ii) in contravention of the general prohibition, to be used for a purpose connected with financial crime (as required by s. 1B(5)(b) FSMA).

Expected effect on mutual societies
22. We do not expect the proposals in this paper to have a significantly different impact on
mutual societies.
Compatibility with the duty to promote effective competition in the interests of consumers
23. In preparing the proposals as set out in this consultation, we have had regard to the
FCA’s duty to promote effective competition in the interests of consumers. Equality and diversity
24. We are required under the Equality Act 2010 in exercising our functions to ‘have due
regard’ to the need to eliminate discrimination, harassment, victimisation and any other conduct prohibited by or under the Act, advance equality of opportunity between persons who share a relevant protected characteristic and those who do not, to and foster good relations between people who share a protected characteristic and those who do not. As part of this, we ensure the equality and diversity implications of any new policy proposals are considered. The outcome of our consideration in relation to these matters in this case is stated in paragraph 2.22 of the Consultation Paper. Legislative and Regulatory Reform Act 2006 (LRRA)
25. We have had regard to the principles in the LRRA for the parts of the proposals that
consist of general policies, principles or guidance:

by consulting we are developing the proposals in a way which is transparent and
accountable
our proposals are intended to be proportionate and targeted towards
improvement in the UK’s securitisation framework

Annex 4
Securitisation Sourcebook (SECN) Instrument 2023 – Derivation and Changes Table Securitisation Sourcebook (SECN) Instrument 2023 Derivation and Changes Table drafting (HSD)/ other comments SECN 1.1.3R Not applicable GEN General Principles Certain provisions of GEN in the FCA Handbook have been applied to SECN entities. This is to ensure that certain general provisions, for example, those dealing with the Handbook Glossary apply to SECN entities. SECN 2.2.1R Article 19 UK SR Requirements for a securitisation to be considered STS HSD SECN 2.2.2R to SECN 2.2.14R
Article 20 UK SR Simplicity requirements HSD
SECN 2.2.15R to SECN
2.2.24R
Article 21 UK SR Standardisation
requirements
HSD
SECN 2.2.25R to SECN
2.2.29R
Article 22 UK SR Transparency
requirements
HSD
SECN 2.3.1R Article 23 UK SR STS Criteria: Simple, transparent and standardised ABCP securitisation HSD SECN 2.3.2R to SECN 2.3.22R
Article 24 UK SR Transaction-level
requirements
HSD
SECN 2.3.23R to SECN
2.3.29R
Article 25 UK SR Sponsor of an ABCP
programme
HSD
SECN 2.3.30R to SECN
2.3.37R
Article 26 UK SR Programme-level
requirements
HSD

drafting (HSD)/ other comments
SECN 2.4R Retained EU law version of Commission Delegated Regulation (EU) 2019/1851 STS criteria:
Homogeneity of underlying exposures Policy change: Please refer to Chapter 6 of the CP for the detail of the policy change SECN 2.5R Article 27 UK SR STS notification HSD apart from a clarification - Please refer to Chapter 6 of the CP for further detail SECN 2.6R Retained EU law version of Commission Delegated Regulation (EU) 2020/1226 and Information to be included in the STS notification by the originator, sponsor and the SSPE HSD SECN 3R Article 3 UK SR Selling securitisation positions to retail clients We have made neither policy change nor any HSD amendments. We understand that market participants generally operate satisfactorily within the current provision, although we plan to keep the provision under review and may consider changes to it at a later stage. However, we have made currency adjustments: Please refer to Chapter 6 of the CP for further detail SECN 4.2.1R Article 5(1) UK SR Due diligence requirements before holding a securitisation position Policy change: Please refer to Chapter 4 of the CP for the detail of the policy change SECN 4.2.2R Article 5(3) UK SR Due diligence requirements before holding a securitisation position HSD SECN 4.3R Article 5(4) UK SR Due diligence requirements while holding a securitisation position HSD

drafting (HSD)/ other comments
SECN 4.4R Article 5(5) UK SR Institutional investor delegation Policy change: Please refer to Chapter 4 of the CP for the detail of the policy change SECN 4.5R Article 5(2) UK SR Requirements for sponsors to undertake due diligence HSD apart from a clarification - Please refer to Chapter 4 of the CP for further detail. SECN 5.2.1R-SECN 5.2.5R
Article 6(1) UK SR Requirement to retain a
material net economic interest of not less than 5%. HSD SECN 5.2.6R Article 3(1) 2014 Requirements Implications of requirement that retained material net economic interest must not be split amongst different types of retainers HSD SECN 5.2.7R Article 3(2) 2014 Requirements Pro rata risk retention if multiple originators fulfilling risk retention requirement HSD SECN 5.2.8R Article 3(3) 2014 Requirements Pro rata risk retention if multiple original lenders fulfilling risk retention requirement HSD SECN 5.2.9R Article 3(4) 2014 Requirements Conditions meaning the retention requirement may be fulfilled in full by a single originator or original lender HSD SECN 5.2.10R Article 5(5) 2014 Requirements Requirements if multiple sponsors fulfil the retention requirement HSD SECN 5.2.11R Not applicable Matters to consider when assessing whether an entity has been established or operates for the sole purpose of securitising exposures Please refer to Chapter 5 of the CP for the detail of the policy change.

drafting (HSD)/ other comments
SECN 5.2.12R Article 6(3) UK SR List describing what qualifies as a retention of a material net economic interest of not less than 5% HSD SECN 5.2.13R Article 4 2014 Requirements Conditions to be met for a synthetic or contingent form of retention to be allowed Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.2.14R Article 5 2014 Requirements Methods of complying with requirement to retain not less than 5 % of the nominal value of each of the tranches HSD SECN 5.2.15R Article 6 2014 Requirements When retention of originator’s interest of not less than 5% of the nominal value of each of the securitised exposures is considered fulfilled HSD SECN 5.2.16R Article 7 2014 Requirements Retention of randomly selected exposures equivalent to not less than 5% of the nominal value of the securitised exposures HSD SECN 5.2.17R Article 8 2014 Requirements The Retention of the first loss tranche HSD SECN 5.2.18R Article 9 2014 Requirements Retention of a first loss exposure of not less than 5% of every securitised exposure HSD SECN 5.2.19R Article 6(4) UK SR Risk retention requirements if originator or sponsor securitises exposures from one or more credit institutions, investment firms or other financial institutions included in scope of supervision on a consolidated basis HSD

drafting (HSD)/ other comments
SECN 5.2.20R Article 6(5) UK SR Exception to risk retention requirement for securitised exposures which are guaranteed HSD SECN 5.2.21R Article 6(6) UK SR Exception to risk retention requirement for indexed transactions HSD SECN 5.3R Not applicable Application of the retention options on NPE securitisations Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.4R Article 10 2014 Requirements Measurement of the level of retention HSD SECN 5.5R Article 12 2014 Requirements Prohibition of hedging or selling the retained interest Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.6R Article 11 2014 Requirements Measurement of retention for exposures in the form of drawn and undrawn amounts of credit facilities HSD SECN 5.7R Article 13 2014 Requirements Exemptions in accordance with Article 6(6) UK SR HSD SECN 5.8R Article 14 2014 Requirements Retention on a consolidated basis HSD SECN 5.9R Article 10(2) 2014 Requirements Arrangements or embedded mechanisms Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.10R Article 2(3) 2014 Requirements Retention requirement on resecuritisations Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.11R Article 22 2014 Requirements Disclosure of the level of the commitment to maintain a net economic interest Please refer to Chapter 5 of the CP for the detail of the policy change SECN 5.12R Article 6(2) UK SR Selection of assets Please refer to Chapter 5 of the CP for the detail of the policy change

drafting (HSD)/ other comments
SECN 6 Article 7 UK SR Requirements on transparency relating to securitisation positions HSD apart from a clarification - Please refer to Chapter 4 of the CP for further detail. SECN 7.2 Article 8 (1) – (3) UK SR Requirements on ban on re-securitisation Please refer to Chapter 6 of the CP for the detail of the policy change SECN 7.3 Article 8(4) UK SR Fully supported ABCP programme not a resecuritisation HSD SECN 8 Article 9 UK SR Requirements on credit-granting HSD apart from a clarification - Please refer to Chapter 6 of the CP for further detail SECN 9.2 Article 10(4) UK SR Securitisation repository registration conditions HSD SECN 9.3 Article 17(1) UK SR Requirement for securitisation repositories to collect and maintain securitisation details HSD SECN 9.4 Article 10(5) Commission Implementing Regulation (EU) 2020/1228 (as retained EU law) Format of applications for registration as a securitisation repository or for extension of a registration of a trade repository HSD SECN 9.5 Commission Delegated Regulation (EU) 2020/1229 (as retained EU law) Operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency by securitisation repositories HSD

drafting (HSD)/ other comments
SECN 9.6 Commission Delegated
Regulation (EU)
2020/1230 (as retained
EU law)
Details of the application for registration of a securitisation repository and the details of the simplified application for an extension of registration of a trade repository HSD SECN 10 Commission Delegated Regulation (EU) 2019/885 (as retained EU law) Requirements on third party verifiers HSD SECN 11 Commission Delegated Regulation (EU) 2020/1224 (as retained EU law) Information and the details of a securitisation, which the originator, sponsor and SSPE must make available HSD SECN 12 Commission Delegated Regulation (EU) 2020/1225 (as retained EU law) Format and standardised templates for making available the information and details of a securitisation HSD

Annex 5
Abbreviations in this document
Abbreviation Description
ABCP Asset-backed Commercial Paper ABS Asset-backed Securities AFME Association for Financial Markets in Europe AIFM Alternative Investment Fund Manager CBA Cost Benefit Analysis CLO Collateralised Loan Obligation CP Consultation Paper CRR Capital Requirements Regulation DAR Designated Activities Regime EBA European Banking Authority ESG Environmental, Social and Governance EU European Union EU SR EU Securitisation Regulation FRF Future Regulatory Framework FSMA Financial Services and Markets Act 2000 FSMA 2023 Financial Services and Markets Act 2023 GEM Global Exchange Market GFC Global Financial Crisis HM Treasury His Majesty’s Treasury HSD Handbook Style Drafting LIBOR London Inter Bank Offer Rate LRRA Legislative and Regulatory Reform Act 2006 MTF Multilateral Trading Facility NPE Non-performing Exposure NRPPD Non-refundable Purchase Price Discount OPS Occupational Pension Scheme PRA Prudential Regulation Authority REUL Retained EU Law RMBS Residential Mortgage-backed Security RRTS Risk Retention Technical Standards SCM Standardised Cost Model

Abbreviation Description
SECN Securitisation Sourcebook
SI Statutory Instrument
SR Securitisation Repository
SRF Smarter Regulatory Framework
SSPE Securitisation Special Purpose Entity STS Simple, Transparent and Standardised TPR The Pensions Regulator TPV Third Party Verifier UCITS Undertakings for Collective Investments in Transferable Securities UK United Kingdom UK SR UK Securitisation Regulation We make all responses to formal consultation available for public inspection unless the respondent requests otherwise. We will not regard a standard confidentiality statement in an email message as a request for non-disclosure. Despite this, we may be asked to disclose a confidential response under the Freedom of Information Act 2000. We may consult you if we receive such a request. Any decision we make not to disclose the response is reviewable by the Information Commissioner and the Information Rights Tribunal. All our publications are available to download from www.fca.org.uk. Request an alternative format Please complete this form if you require this content in an alternative format. Sign up for our news and publications alerts

Appendix 1
Draft Handbook text

FCA 2023/XX
SECURITISATION (SMARTER REGULATORY FRAMEWORK) INSTRUMENT Powers exercised A. The Financial Conduct Authority (“the FCA”) makes this instrument0F 1 in the exercise of the powers and related provisions in or under:
(1) the following sections of the Financial Services and Markets Act 2000 (“the 2000 Act”):
(a) section 137A (The FCA’s general rules); (b) section 137T (General supplementary powers); (c) section 138D (Action for damages); and (d) section 139A (Power of the FCA to give guidance). (2) the following provisions of the Securitisation Regulations 2023 (“the Securitisation Regulations”):
(a) regulation 5 (FCA rules);
(b) regulation 16 (Application for registration); (c) regulation 23 (Power of FCA to make rules in relation to securitisation repositories; (d) regulation 27 (Application for registration to provide a third party verification service); and (e) regulation 39 (Due-diligence requirements of small registered UK AIFMs as institutional investors). B. The rule-making powers listed above are specified for the purposes of section 138G(2) (Rule-making instruments) of the 2000 Act. Commencement
C. This instrument comes into force on [date].
Amendments to the Handbook
D. The modules of the FCA’s Handbook of rules and guidance listed in column (1) below are amended in accordance with the Annexes to this instrument listed in column (2). (1) (2) Glossary of definitions Annex A General Provisions sourcebook (GEN) Annex B Securitisation sourcebook (SECN) Annex C 1 The material in this instrument is in part adapted from Crown © and database right material re-used and adapted under the Open Government Licence (www.nationalarchives.gov.uk/doc/open-governmentlicence/version/3/). The instrument also includes material adapted from the European Institutions © European Union, 1998-2019 and re-used and adapted under the terms of the Commission Decision 2011/833/EU.

FCA 2023/XX
Making the Securitisation sourcebook (SECN) E. The FCA makes the rules, gives the guidance and makes the directions in Annex C to this instrument. F. The Securitisation sourcebook (SECN) is added to the Specialist Sourcebooks block within the Handbook, immediately after the REC sourcebook. Notes G. In the annexes to this instrument, the “notes” (indicated by “Note:” or “Editor’s note:”) are included for readers’ convenience, but do not form part of the legislative text. Citation H. This instrument may be cited as the Securitisation (Smarter Regulatory Framework) Instrument 2023.
I. The sourcebook in Annex C to this instrument may be cited as the Securitisation
Sourcebook (SECN).
By order of the Board
[date]

FCA 2023/XX
Annex A
Amendments to the Glossary of definitions In this Annex, underlining indicates new text and striking through indicates deleted text, unless otherwise stated. Insert the following new definitions in the appropriate alphabetical position. The text is not underlined. ABCP has the meaning in regulation 3(1) of the Securitisation Regulations. programme ABCP transaction has the meaning in regulation 3(1) of the Securitisation Regulations. early a contractual clause in a securitisation of revolving exposures or a amortisation revolving securitisation which requires, on the occurrence of defined provision events, investors’ securitisation positions to be redeemed before the originally stated maturity of those positions. established in the has the meaning in regulation 3(1) of the Securitisation Regulations. United Kingdom FCA investment has the meaning in section 143A of the Act. firm first loss tranche the most subordinated tranche in a securitisation that is the first tranche to bear losses incurred on the securitised exposures and thereby provides protection to the second loss and, where relevant, higher-ranking tranches. fully supported has the meaning in regulation 34 of the Securitisation Regulations. ABCP programme fully supported has the meaning in regulation 34 of the Securitisation Regulations. ABCP transaction institutional has the meaning in regulation 3(1) of the Securitisation Regulations. investor investor has the meaning in regulation 3(1) of the Securitisation Regulations. non-ABCP a securitisation whose investors are not solely ABCP programmes. securitisation non-performing an exposure that meets any of the conditions set out in Article 47a(3) of exposure or NPE the UK CRR. non-refundable means the difference between the outstanding balance of the exposures in purchase price the underlying pool and the price at which those exposures are sold by the

FCA 2023/XX discount originator to the SSPE, where neither the originator nor the original lender are reimbursed for that difference. NPE securitisations a securitisation backed by a pool of non-performing exposures the nominal value of which makes up not less than 90% of the entire pool’s nominal value at the time of origination and at any later time where assets are added to or removed from the underlying pool due to replenishment or restructuring. original lender has the meaning in regulation 3(1) of the Securitisation Regulations. re-securitisation a securitisation where at least one of the underlying exposures is a securitisation position. reporting entity the entity designated in accordance with the SECN 6.3.1R(1). revolving exposure an exposure whereby borrowers’ outstanding balances are permitted to fluctuate based on their decisions to borrow and repay, up to an agreed limit. revolving securitisation a securitisation where the securitisation structure itself revolves by exposures being added to or removed from the pool of exposures irrespective of whether the exposures revolve or not. SECN the Securitisation sourcebook. Securitisation Regulations the Securitisation Regulations 2023 (SI 2023/No [•]). servicer an entity that manages a pool of purchased receivables or the underlying credit exposures on a day-to-day basis. STS criteria (1) in relation to non-ABCP securitisations, SECN 2.2.2R to SECN 2.2.29R. (2) in relation to ABCP transactions, SECN 2.3.2R to SECN 2.3.22R. (3) in relation to ABCP programmes, SECN 2.3.30R to SECN 2.3.37R. STS notification means a notification to the FCA made in accordance with SECN 2.5. STS securitisation has the meaning in regulation 3(1) of the Securitisation Regulations. synthetic securitisation a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator. traditional securitisation a securitisation involving the transfer of the economic interest in the exposures being securitised through the transfer of ownership of those exposures from the originator to an SSPE or through sub-participation by

FCA 2023/XX an SSPE, where the securities issued do not represent payment obligations of the originator. UK-adopted has the meaning in section 474(1) of the Companies Act 2006. international accounting standards UK parent has the meaning in Article 4(1)(28) of the UK CRR. institution Amend the following definitions as shown. client money … (2A) (in MIFIDPRU, FEES, CASS 6, CASS 7, CASS 7A and CASS 10 and, in so far as it relates to matters covered by CASS 6, CASS 7, COBS and IPRU(INV) 11) subject to the client money rules, money of any currency:
…
(c) (in SECN) that a firm treats as client money in accordance with the client money rules. … client money rules … (3) (in SECN, CASS 3, CASS 6, CASS 7, CASS 7A, COBS and FEES) CASS 7.10 to CASS 7.19. CRR firm (1) (for the purposes of SYSC) a UK bank, building society, and a UK designated investment firm.; (2) (in SECN) has the meaning given in Article 4(1)(2A) of UK CRR. investment firm (1) any person whose regular occupation or business is the provision of one or more investment services to third parties and/or the performance of one or more investment activities on a professional basis. … (7) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations. mixed financial (1) (other than in SECN) a parent undertaking, other than a holding company regulated entity, which meets the following conditions:

FCA 2023/XX
…
(c) …
…
(ii) meets Threshold Test 2 but not Threshold Test 3. (2) (in SECN) has the meaning given in regulation 1(2) of the Financial Conglomerates and Other Financial Groups Regulations 2004. network (1) (other than in SECN) a firm:
(a) which has five or more appointed representatives (not counting introducer appointed representatives); or (b) whose appointed representatives, not counting introducer appointed representatives (and being fewer than five) have, between them, 26 or more representatives; … (2) (in SECN) the larger structure, which is:
(a) aimed at cooperation and to which any person or any other entity, regardless of its legal form, whether established in the United Kingdom or in a third country, that is empowered by applicable law to carry out statutory audits of annual financial statements or consolidated financial statements insofar as required under applicable law, belongs; and (b) clearly aimed at profit or cost-sharing or shares common ownership, control or management, common qualitycontrol policies and procedures, a common business strategy, the use of a common brand-name or a significant
part of professional resources;
occupational pension scheme
(a) (1) a scheme specified in Article 3(1) of the Regulated Activities Order (Interpretation)) which is, in summary, a pension scheme established for the purpose of providing benefits to people with service in employments of a prescribed description.; (2) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations. originator … (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations.

FCA 2023/XX over collateralisation (1) (in RCB) (as defined in regulation 3(3) of the RCB Regulations) the provision of additional assets that assist the payment from the relevant asset pool of claims attaching to a regulated covered bond in the event of the failure of the issuer.; (2) (in SECN) means any form of credit enhancement by virtue of which underlying exposures are posted in value which is higher than the value of the securitisation positions. retail client (1) (in SECN and other than in relation to the provision of basic advice on stakeholder products or to credit-related regulated activities) in accordance with COBS 3.4.1 R, a client who is neither a professional client or an eligible counterparty; or … securitisation … (3) [deleted] (4) (in FEES 4 Annex 16R Part 3, item J.3 and in SECN) has the same meaning as in article 2(1) of the Securitisation Regulation meaning in regulation 3(1) of the Securitisation Regulations). securitisation position … (2) [deleted] (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations. securitisation repository (in FEES and in SECN) a legal person that centrally collects and maintains the records of securitisations has the meaning in regulation 3(1) of the Securitisation Regulations. securitisation special purpose entity or SSPE (1) [deleted] [Note: Article 4(44) of the Banking Consolidation Directive (Definitions)] (2) (in MIPRU) a corporation, trust or other entity that has the following characteristics:
(a) it is organised for carrying on a securitisation or securitisations (within the meaning of paragraph (2) of the definition of securitisation); (b) its activities are limited to those appropriate to accomplishing such securitisation or securitisations; and

FCA 2023/XX
(c) its structure is intended to isolate its obligations from those of the originator. (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations. sponsor … (3) [deleted] (4) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations. third party verifier a person authorised in accordance with paragraph 28(1) of the Securitisation Regulation has the meaning in regulation 3(1) of the Securitisation Regulations. [Note: see https://eur-lex.europa.eu/eli/reg/2017/2402/oj]

FCA 2023/XX
Annex B
Amendments to General Provisions sourcebook (GEN) In this Annex, underlining indicates new text. Sch 4 Powers exercised … Sch 4.13 … Sch 4.14G The following additional powers and related provisions have been exercised by the FCA in GEN to direct, require or specify:
Regulation 5 (FCA rules) of the Securitisation Regulations Regulation 16 (Application for registration) of the Securitisation Regulations Regulation 23 (Power of FCA to make rules in relation to securitisation repositories) of the Securitisation Regulations Regulation 27 (Application for registration to provide a third party verification service) of the Securitisation Regulations Regulation 39 (Due-diligence requirements of small registered UK AIFMs as institutional investors) of the Securitisation Regulations

FCA 2023/XX
Annex C
Securitisation sourcebook (SECN)
In this Annex, all the text is new and is not underlined. 1 Introduction
1.1 Application
1.1.1 G This sourcebook applies to:
(1) sponsors;
(2) originators;
(3) original lenders;
(4) SSPEs;
(5) securitisation repositories;
(6) third party verifiers; and
(7) institutional investors.
1.1.2 G GEN does not apply in respect of the rules and guidance in SECN, except as
provided for in SECN 1.1.3R and SECN 1.1.4G.
1.1.3 R The rules and guidance in GEN 1.3, GEN 2.1, GEN 2.2.1R to GEN 2.2.16G
and GEN 2.2.18R to 2.2.25G apply to the entities in SECN 1.1.1G as they apply to authorised persons, insofar as they do not already apply.
1.1.4 G GEN applies in its entirety to rules in SECN 4 applying to sponsors and
institutional investors who are authorised persons, as these rules were made under the general rule making powers.
1.2 Purpose
1.2.1 G The general purpose of this sourcebook is to impose requirements and give
guidance in relation to securitisation.
1.2.2 G The Securitisation Regulations restate some provisions of the Securitisation
Regulation, in some cases with modifications.
1.2.3 G This sourcebook should be read together with the Securitisation Regulations
and the Securitisation Part of the PRA Rulebook.
1.3 Interpretation
1.3.1 R In this sourcebook, ‘liquidity facility’ means the securitisation position

FCA 2023/XX arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors. 2 Requirements on STS securitisations
2.1 Application
2.1.1 G The rules in this chapter apply to the person(s) who notify the FCA under
SECN 2.5.
2.2 STS criteria: Simple, transparent and standardised non-ABCP securitisation
2.2.1 R A non-ABCP securitisation must fulfil the following requirements to be
considered an STS securitisation:
(1) those in SECN 2.2.2R to SECN 2.2.29R; and (2) the FCA must have received an STS notification in respect of that securitisation and the securitisation must appear on the list it publishes under regulation 11(1) of the Securitisation Regulations; and (3) the originator and sponsor involved in the securitisation must be established in the United Kingdom. Simplicity requirements
2.2.2 R (1) Any SSPE must acquire title to the underlying exposures in a manner
enforceable against the seller or any other third party, whether transfer of title is by means of:
(a) true sale;
(b) assignment; or
(c) another transfer with the same legal effect as (a) or (b). (2) If the seller becomes insolvent, the transfer of the title to the SSPE must not be subject to severe clawback provisions.
2.2.3 R For the purposes of SECN 2.2.2R(2), the following are severe clawback
provisions:
(1) those allowing the seller’s liquidator to invalidate the sale of the underlying exposures solely because it was concluded within a certain period before the declaration of the seller’s insolvency; (2) provisions where the SSPE can prevent the invalidation referred to in (1) only if it can prove it was unaware of the seller’s insolvency at the time of sale.
2.2.4 R For the purposes of SECN 2.2.2R(1), if provisions of national insolvency

FCA 2023/XX laws allow a liquidator or court to invalidate the sale of underlying exposures in the following circumstances, such provisions are not severe clawback provisions:
(1) fraudulent transfers; or
(2) unfair prejudice to creditors or transfers intended to improperly favour particular creditors over others.
2.2.5 R If the seller is not the original lender, the transfer of the underlying
exposures to that seller by any of the means in SECN 2.2.2R(1) (whether direct or through one or more intermediate steps) must meet the requirements in SECN 2.2.1 to SECN 2.2.3.
2.2.6 R If the transfer of the underlying exposures is performed by assignment and
perfected after the transaction’s closing, the triggers to effect such perfection must be set broadly enough to require perfection in all of the following events:
(1) severe deterioration in the seller’s credit quality standing; (2) the seller’s insolvency; and (3) unremedied breaches of the seller’s contractual obligations, including the seller’s default.
2.2.7 R The seller must provide representations and warranties that, to the best of its
knowledge, the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.2.2R(1).
2.2.8 R (1) The underlying exposures the seller transfers to the SSPE (if an SSPE
is used) or that are otherwise securitised must meet predetermined, clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. (2) For the purposes of SECN 2.2.8R(1), substitution of exposures that are in breach of representations and warranties is not considered active portfolio management. (3) Exposures transferred to the SSPE (if an SSPE is used) or otherwise added to the securitisation after the closing of the transaction must meet the eligibility criteria applied to the initial underlying exposures.
2.2.9 R (1) The securitisation must be backed by a pool of underlying exposures
that are homogeneous in terms of asset type, considering the specific characteristics relating to the asset type’s cash flows, including their contractual, credit-risk and prepayment characteristics. (2) Further details specifying which underlying exposures are homogeneous for the purposes of (1) are set out at SECN 2.4.

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(3) The underlying exposures must contain contractually binding and enforceable obligations, with full recourse to debtors and, where applicable, guarantors. (4) The underlying exposures must have defined periodic payment streams (the instalments of which may differ in their amounts) relating to rental, principal, or interest payments, or to any other right to receive income from assets supporting such payments. The underlying exposures may also generate proceeds from the sale of any financed or leased assets. (5) The underlying exposures must not include any transferable security, other than corporate bonds not listed on a trading venue.
2.2.10 R The underlying exposures must not include any securitisation position.
2.2.11 R (1) The underlying exposures must be originated:
(a) in the ordinary course of the originator’s or original lender’s business; and (b) following underwriting standards at least as rigorous as those the originator or original lender applied at the time of origination to similar unsecuritised exposures, to the extent there are any. (2) The originator or the original lender (as the case may be) must fully disclose to potential investors, without undue delay:
(a) the underwriting standards pursuant to which the underlying exposures are originated; and (b) any material changes from former underwriting standards. (3) For securitisations with residential loans as underlying exposures, the pool of loans must not include any loan that was marketed and underwritten on the premise that the loan applicant or, where applicable, intermediaries were made aware that the lender might not verify the information provided. (4) The assessment of the borrower’s creditworthiness must meet the requirements in:
(a) CONC 5.2A.7R;
(b) MCOB 11.6.2R(1)(a), MCOB 11.6.2R(1)(b), MCOB 11.6.2R(2), MCOB 11.6.5R(1), MCOB 11.6.60R and MCOB 11A.2.1R; or (c) where applicable, equivalent requirements in a third country.

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(5) The originator or original lender must have expertise in originating exposures of a similar nature to those securitised.
2.2.12 R (1) After the underlying exposures have been selected, they must be
transferred to the SSPE (if an SSPE is used) or otherwise securitised without undue delay. (2) At the time of selection, the underlying exposures must not include exposures in default within the meaning of Article 178(1) of the UK CRR or exposures to a credit-impaired debtor or guarantor who, to the best of the originator’s or original lender’s knowledge:
(a) was, at the time of origination, where applicable:
(i) on a public credit registry of persons with adverse credit history; or (ii) if there is no such public credit registry, another credit registry that is available to the originator or original lender; (b) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable unsecuritised exposures the originator holds, if any; (c) has been declared insolvent; (d) had a court grant its creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years before the date of origination; or (e) has undergone a debt restructuring process with regard to its non-performing exposures within 3 years before the date of transfer of the underlying exposures to the SSPE (if an SSPE is used) or other means of securitising the underlying exposure. (3) If a credit-impaired debtor or guarantor has undergone a debt restructuring process as described in (2)(e), the underlying exposures may include exposures to that credit-impaired debtor or guarantor if:
(a) the restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year before the date the underlying exposures were transferred to the SSPE (if an SSPE is used) or otherwise securitised; and (b) the information the originator, sponsor and SSPE have provided in accordance with SECN 6.2.1R(1) and SECN 6.2.1R(5)(a) explicitly sets out:

FCA 2023/XX
(i) the proportion of total underlying exposures, which have been restructured; (ii) the time and details of the restructuring; and (iii) their performance since the date they were restructured.
2.2.13 R The debtors must, at the time the exposures are transferred, have made at
least one payment, except in the case of revolving securitisations backed by exposures payable in a single instalment or with a maturity of less than 1 year (including, without limitation, monthly payments on revolving credits).
2.2.14 R (1) A securitisation must not be structured so that repayment of investors
depends predominantly on sale of the assets securing the underlying exposures. (2) (1) must not prevent such assets from subsequently being rolled over or refinanced. (3) If a securitisation’s underlying exposures are secured by assets, and the value of those assets is guaranteed or fully mitigated by an obligation on the seller or another third party to repurchase them, that securitisation does not contravene the prohibition in (1). Standardisation requirements
2.2.15 R The originator, sponsor or original lender must satisfy the risk-retention
requirement in accordance with SECN 5.
2.2.16 R (1) The interest rate and currency risks arising from the securitisation
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The securitisation must be structured such that:
(a) the SSPE does not enter into derivative contracts, unless to hedge interest rate or currency risk; and (b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.
2.2.17 R Any referenced interest payments under the securitisation assets and
liabilities must:
(1) be based on generally used market interest rates or generally used sectoral rates reflective of the cost of funds; and

FCA 2023/XX
(2) not reference complex formulae or derivatives.
2.2.18 R If an enforcement or an acceleration notice has been delivered:
(1) no cash may be trapped in the SSPE above what is needed to ensure the SSPE’s operational functioning or the orderly repayment of investors under the securitisation’s contractual terms. However, an amount of cash may be so trapped if exceptional circumstances require it to be used (in the investors’ best interests) to pay expenses to prevent deterioration in the underlying exposures’ credit quality; (2) principal receipts from the underlying exposures must be passed to investors via sequential amortisation of the securitisation positions, as determined by the securitisation positions’ seniority; (3) repayment of the securitisation positions must not be reversed with regard to their seniority; and (4) no provisions may require automatic liquidation of the underlying exposures at market value.
2.2.19 R Transactions featuring non-sequential priority of payments must include
triggers relating to the performance of the underlying exposures resulting in the priority of payments reverting to sequential payments in order of seniority. Such performance-related triggers must include the deterioration in the credit quality of the underlying exposures below a predetermined threshold.
2.2.20 R The transaction documentation must include appropriate early amortisation
provisions or, in the case of a revolving securitisation, triggers for termination of the revolving period, including in the following circumstances:
(1) the underlying exposures’ credit quality deteriorating to or below a predetermined threshold; (2) an insolvency-related event with regard to the originator or the servicer occurring; (3) the value of the underlying exposures falling below a predetermined threshold (early amortisation event); and (4) failing to generate sufficient new underlying exposures meeting the predetermined credit quality (trigger for termination of the revolving period).
2.2.21 R The transaction documentation must clearly specify:
(1) the servicer’s, any trustee’s and other ancillary service providers’

FCA 2023/XX contractual obligations, duties and responsibilities; (2) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating, such as a contractual provision enabling the servicer to be replaced in such cases; and (3) provisions ensuring derivative counterparties, liquidity providers and the account bank are replaced in the case of their default, insolvency and other specified events, where applicable.
2.2.22 R The servicer must have:
(1) expertise in servicing exposures of a similar nature to those securitised; and (2) well-documented and adequate policies, procedures and riskmanagement controls relating to the exposures’ servicing.
2.2.23 R (1) The transaction documentation must clearly and consistently set out
definitions, remedies and actions relating to:
(a) delinquency and default of debtors; (b) debt restructuring; (c) debt forgiveness; (d) forbearance; (e) payment holidays; (f) losses; (g) charge offs; (h) recoveries; and (i) other asset performance remedies. (2) The transaction documentation must clearly specify:
(a) the priorities of payment and events triggering any change to these; and (b) the obligation to report such events. (3) Any change in the priorities of payments which will materially adversely affect a securitisation position’s repayment must be reported to investors without undue delay.
2.2.24 R The transaction documentation must include clear:

FCA 2023/XX
(1) provisions facilitating timely resolution of conflicts between different classes of investors; (2) definition of voting rights; (3) allocation of voting rights to classes of investor; and (4) identification of responsibilities of the trustee and other entities with fiduciary duties to investors. Transparency requirements
2.2.25 R Before pricing, the originator and the sponsor must make available to
potential investors:
(1) data covering a period of at least 5 years about static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised; and (2) the sources of the data in (1) and the reasons those exposures are substantially similar exposures to those being securitised.
2.2.26 R (1) An appropriate and independent external party must verify a sample
of the underlying exposures before the securities resulting from the securitisation are issued. (2) That verification must confirm that the data disclosed in respect of the underlying exposures is accurate.
2.2.27 R (1) Before pricing, the originator or the sponsor must make available to
potential investors a liability cashflow model precisely representing the contractual relationship between the underlying exposures and the payments flowing between:
(a) the originator;
(b) the sponsor;
(c) the investors;
(d) other third parties; and
(e) the SSPE.
(2) After pricing, the originator or the sponsor must continually make that model available to investors and potential investors on request.
2.2.28 R For a securitisation whose underlying exposures are residential loans or auto
loans or leases, the originator and sponsor must publish the available information about the environmental performance of the assets financed by such residential loans or auto loans or leases as part of the information

FCA 2023/XX disclosed pursuant to SECN 6.2.1R(1).
2.2.29 R (1) Before pricing, the following information must be made available to
potential investors:
(a) that required by SECN 6.2.1R(1); and (b) at least in draft or initial form, that required by SECN 6.2.1R(2) to SECN 6.2.1R(4). (3) The final documentation must be made available to investors at the latest 15 days after closing of the transaction.
2.3 STS criteria: Simple, transparent and standardised ABCP securitisation
2.3.1 R (1) An ABCP transaction must fulfil the following requirements to be
considered an STS securitisation:
(a) those in SECN 2.3.2R to SECN 2.3.22R; (b) the FCA must have received an STS notification in respect of that securitisation and must have included the securitisation in the list it publishes under regulation 11(1) of the Securitisation Regulations; and (c) the sponsor involved in the ABCP programme of which that ABCP transaction forms part must be established in the United Kingdom. (2) An ABCP programme must fulfil the following requirements to be considered an STS securitisation:
(a) those in SECN 2.3.30R to SECN 2.3.37R; (b) the FCA must have received an STS notification in respect of that securitisation and must have included the securitisation in the list it publishes under regulation 11(1) of the Securitisation Regulations; and (c) the sponsor involved in the ABCP programme must be established in the United Kingdom. (3) For the purposes of SECN 2.3, a ‘seller’ means ‘originator’ or ‘original lender’. Transaction-level requirements
2.3.2 R (1) Any SSPE must acquire title to the underlying exposures in a manner
enforceable against the seller or any other third party, whether transfer of title is by means of:
(a) true sale;

FCA 2023/XX
(b) assignment; or
(c) another transfer with the same legal effect as (a) or (b). (2) The transfer of the title to the SSPE must not be subject to severe clawback provisions if the seller becomes insolvent.
2.3.3 R (1) For the purposes of SECN 2.3.2R(2), the following are severe
clawback provisions:
(a) those allowing the seller’s liquidator to invalidate the sale of the underlying exposures solely because it was concluded within a certain period before the declaration of the seller’s insolvency; (b) provisions where the SSPE can prevent the invalidation referred to in (a) only if it can prove it was not aware of the seller’s insolvency at the time of sale.
2.3.4 R For the purposes of SECN 2.3.2R if provisions of national insolvency laws
allow a liquidator or court to invalidate the sale in the following circumstances, such provisions are not severe clawback provisions:
(1) fraudulent transfers; or
(2) unfair prejudice to creditors or transfers intended to improperly favour particular creditors over others.
2.3.5 R If the seller is not the original lender, the transfer of the underlying
exposures to the seller by any of the means in SECN 2.3.2R(1) (whether direct or through one or more intermediate steps) must meet the requirements in SECN 2.3.2R to SECN 2.3.4R.
2.3.6 R If the transfer of the underlying exposures is performed by assignment and
perfected after the transaction’s closing, the triggers to effect such perfection must be set broadly enough to require perfection in all of the following events:
(1) severe deterioration in the seller’s credit quality standing; (2) the seller’s insolvency; and (3) unremedied breaches of the seller’s contractual obligations, including the seller’s default.
2.3.7 R The seller must provide representations and warranties that, to the best of its
knowledge, the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.3.2R(1).
2.3.8 R (1) The underlying exposures the seller transfers to the SSPE (if an SSPE
is used) or that are otherwise securitised must meet predetermined,

FCA 2023/XX clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. (2) For the purposes of (1), substitution of exposures that are in breach of representations and warranties is not considered active portfolio management. (3) Exposures transferred to the SSPE (if an SSPE is used) or otherwise added to the securitisation after the closing of the transaction must meet the eligibility criteria applied to the initial underlying exposures.
2.3.9 R The underlying exposures must not include any securitisation positions.
2.3.10 R (1) After the underlying exposures have been selected, they must be
transferred to the SSPE (if an SSPE is used) or otherwise securitised without undue delay. (2) At the time of selection, the underlying exposures must not include exposures in default within the meaning of Article 178(1) of UK CRR or exposures to a credit-impaired debtor or guarantor who, to the best of the originator’s or original lender’s knowledge:
(a) was, at the time of origination, where applicable:
(i) on a public credit registry of persons with adverse credit history; or (ii) if there is no such public credit registry, another credit registry that is available to the originator or original lender; (b) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable unsecuritised exposures the originator holds, if any; (c) has been declared insolvent; (d) had a court grant its creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years before the date of origination; or (e) has undergone a debt restructuring process with regard to its non-performing exposures within 3 years before the date of transfer of the underlying exposures to the SSPE (if an SSPE is used) or other means of securitising the underlying exposure. (3) If a credit-impaired debtor or guarantor has undergone a debt restructuring process as described in (2)(e), the underlying exposures may include exposures to that credit-impaired debtor or guarantor if:

FCA 2023/XX
(a) the restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year before the date the underlying exposures were transferred to the SSPE (if an SSPE is used) or otherwise securitised; and (b) the information the originator, sponsor and SSPE have provided in accordance with SECN 6.2.1R(1) and SECN 6.2.1R(5)(a) explicitly sets out:
(i) the proportion of total underlying exposures, which have been restructured; (ii) the time and details of the restructuring; and (iii) their performance since the date they were restructured.
2.3.11 R The debtors must, at the time the exposures are transferred, have made at
least one payment, except in the case of revolving securitisations backed by exposures payable in a single instalment or with a maturity of less than 1 year (including, without limitation, monthly payments on revolving credits).
2.3.12 R (1) The securitisation must not be structured so that repayment of
securitisation investors depends predominantly on sale of the assets securing the underlying exposures. (2) (1) must not prevent such assets from subsequently being rolled over or refinanced. (3) If a securitisation’s underlying exposures are secured by assets, and the value of those assets is guaranteed or the risks related to that value are fully mitigated by an obligation on the seller of those assets, or on another third party, to repurchase them, that securitisation does not contravene the prohibition in (1).
2.3.13 R (1) The interest rate and currency risks arising from the securitisation
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The securitisation must be structured such that:
(a) the SSPE does not enter into derivative contracts, unless to hedge interest rate or currency risk; and (b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.

FCA 2023/XX
2.3.14 R (1) The transaction documentation must clearly and consistently set out
definitions, remedies and actions relating to:
(a) delinquency and default of debtors; (b) debt restructuring; (c) debt forgiveness; (d) forbearance; (e) payment holidays; (f) losses; (g) charge offs; (h) recoveries; and (i) other asset performance remedies. (2) The transaction documentation must clearly specify:
(a) the priorities of payment and events triggering any change to these; and (b) the obligation to report such events. (3) Any change in the priorities of payments which will materially adversely affect a securitisation position’s repayment must be reported to investors without undue delay.
2.3.15 R The transaction documentation must include clear:
(1) provisions facilitating timely resolution of conflicts between different classes of investors; (2) definitions of voting rights; (3) allocation of voting rights to classes of investor; and (4) identification of responsibilities of the trustee and other entities with fiduciary duties to investors.
2.3.16 R (1) Before pricing, the originator and the sponsor must make the
following data available to potential investors:
(a) except as provided in (2), data covering a period of at least 5 years about static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised; and

FCA 2023/XX
(b) the sources of the data in (1)(a) and the reasons those exposures are substantially similar to those being securitised. (2) If the data in (1)(a) relates to trade receivables and other short-term receivables, it must cover a period of at least 3 years. (3) If the sponsor cannot access such data, it must obtain from the seller access to static or dynamic data about the historical performance of exposures substantially similar to those being securitised (such as delinquency and default data).
2.3.17 R (1) ABCP transactions must be backed by a pool of underlying exposures
that are homogeneous in terms of asset type, considering the specific characteristics relating to the asset type’s cash flows, including their contractual, credit-risk and prepayment characteristics. (2) The pool of underlying exposures must have a remaining weighted average life of not more than 1 year. The underlying exposures must not have a residual maturity of more than 3 years. (3) By way of derogation from (2), pools of auto loans, auto leases and equipment lease transactions must have a remaining weighted average life of not more than 3.5 years. The underlying exposures must not have a residual maturity of more than 6 years. (4) Further details specifying which underlying exposures are homogeneous for the purposes of (1) are set out at SECN 2.4. (5) The underlying exposures must not include loans secured by residential or commercial mortgages. (6) The underlying exposures:
(a) must contain contractually binding and enforceable obligations, with full recourse to debtors; (b) must have defined payment streams relating to rental, principal, interest, or any other right to receive income from assets warranting such payments; (c) may generate proceeds from the sale of any financed or leased assets; and (d) must not include any transferable security, other than corporate bonds not listed on a trading venue.
2.3.18 R (1) Any referenced interest payments under the ABCP transaction’s
assets and liabilities must:
(a) be based on generally used market interest rates or generally used sectoral rates reflective of the cost of funds; and

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(b) not reference complex formulae or derivatives. (2) Referenced interest payments under the ABCP transaction’s liabilities may be based on interest rates reflective of an ABCP programme’s cost of funds.
2.3.19 R Following the seller’s default or an acceleration event:
(1) no amount of cash may be trapped in the SSPE above what is needed to ensure the SSPE’s operational functioning or the orderly repayment of investors under the securitisation’s contractual terms. However, an amount of cash may be so trapped if exceptional circumstances require it to be used (in the investors’ best interests) to pay expenses to prevent deterioration in the underlying exposures’ credit quality; (2) principal receipts from the underlying exposures must be passed to investors via sequential payment of the securitisation positions, as determined by the securitisation positions’ seniority; and (3) no provisions may require automatic liquidation of the underlying exposures at market value.
2.3.20 R (1) The underlying exposures must be originated:
(a) in the ordinary course of the seller’s business; and (b) following underwriting standards at least as rigorous as those the seller applied at the time of origination to similar unsecuritised exposures, to the extent there are any. (2) The originator or the original lender must fully disclose to the sponsor and other parties directly exposed to the ABCP transaction without undue delay:
(a) the underwriting standards pursuant to which the underlying exposures are originated; and (b) any material changes from prior underwriting standards. (3) The seller must have expertise in originating exposures of a similar nature to those securitised.
2.3.21 R If an ABCP transaction is a revolving securitisation, the transaction
documentation must include triggers for termination of the revolving period, including in the following circumstances:
(1) the underlying exposures’ credit quality deteriorating to or below a predetermined threshold; and (2) an insolvency-related event with regard to the seller or the servicer

FCA 2023/XX occurring.
2.3.22 R The transaction documentation must clearly specify:
(1) the sponsor’s, servicer’s, any trustee’s and ancillary service providers’ contractual obligations, duties and responsibilities; (2) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating; (3) provisions ensuring derivative counterparties and the account bank are replaced in the case of their default, insolvency, and other specified events, where applicable; and (4) how the sponsor meets the requirements of SECN 2.3.25R. Requirements on the sponsor of an STS ABCP programme
2.3.23 R The sponsor of an ABCP programme must:
(1) be a CRR firm; and
(2) not be an investment firm.
2.3.24 R The sponsor of an ABCP programme must:
(1) be a liquidity facility provider; (2) support all securitisation positions on an ABCP programme level by covering all liquidity and credit risks and any material dilution risks of the securitised exposures as well as any other transaction and programme-level costs if necessary to guarantee to the investor the full payment of any amount under the ABCP with such support; and (3) disclose to investors a description of the support provided at transaction level and of the liquidity facilities provided.
2.3.25 R (1) Before a credit institution may sponsor an STS ABCP programme, it
must demonstrate to the PRA that its role under SECN 2.3.24R does not pose risks to its solvency and liquidity, even in extremely stressed market conditions. (2) The requirement referred to in (1) is fulfilled if the PRA has determined, based on the review and evaluation referred to in regulation 34A(2) of the Capital Requirements Regulations 2013, that:
(a) the arrangements, strategies, processes and mechanisms that credit institution has implemented; and (b) the own funds and liquidity that credit institution holds,

FCA 2023/XX ensure sound management and coverage of its risks.
2.3.26 R The sponsor must:
(1) perform its own due diligence; (2) verify compliance with the requirements set out in SECN 4.2.1R and SECN 4.2.2R or equivalent PRA rules; and (3) verify the seller has in place servicing capabilities and collection processes meeting the requirements specified in Article 265(2)(h)-(p) of the UK CRR or equivalent requirements in a third country.
2.3.27 R The seller, at the level of a transaction, or the sponsor, at the level of the
ABCP programme, must satisfy the risk-retention requirement referred to in SECN 5 or equivalent PRA rules.
2.3.28 R Before pricing, the sponsor must make available to potential investors
pricing on request:
(1) the aggregate information required by SECN 6.2.1R(1) or equivalent PRA rules; and (2) the information required by SECN 6.2.1R(2) to SECN 6.2.1R(7) or equivalent PRA rules, at least in draft or initial form.
2.3.29 R If the sponsor does not renew the funding commitment of the liquidity
facility before it expires, the liquidity facility must be drawn down and the maturing securities must be repaid. Programme-level requirements
2.3.30 R (1) All ABCP transactions within an ABCP programme must fulfil the
requirements of SECN 2.3.2R to SECN 2.3.22R.
(2) Notwithstanding (1), a maximum of 5% of the aggregate amount of the exposures underlying the ABCP transactions and which are funded by the ABCP programme may temporarily not comply with the requirements of SECN 2.3.10R, SECN 2.3.11R and SECN 2.3.12R without affecting the ABCP programme’s STS status. (3) For the purposes of (2), an appropriate and independent external party must regularly verify compliance of a sample of the underlying exposures. (4) The sponsor of the ABCP programme must comply with the requirements under SECN 2.3.23R to SECN 2.3.29R;
2.3.31 R The remaining weighted average life of the underlying exposures of an
ABCP programme must not be more than 2 years.

FCA 2023/XX
2.3.32 R The ABCP programme must be fully supported by a sponsor in accordance
with SECN 2.3.24R.
2.3.33 R The ABCP programme must not contain any re-securitisation. The credit
enhancement must not establish a second layer of tranching at the programme level.
2.3.34 R The securities an ABCP programme issues must not include the following
clauses, if they are exercisable at the discretion of the seller, sponsor or SSPE:
(1) call options;
(2) extension clauses; and
(3) other clauses that affect the final maturity of those securities.
2.3.35 R (1) The interest rate and currency risks arising at ABCP programme level
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The ABCP programme must be structured such that:
(a) the SSPE must not enter into derivative contracts, unless to hedge interest rate or currency risk; and (b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.
2.3.36 R The ABCP programme’s documentation must clearly specify:
(1) the responsibilities of the trustee and other entities with fiduciary duties, if any, to investors; (2) the contractual obligations, duties and responsibilities of the sponsor (who must have expertise in credit underwriting) any trustee and other ancillary service providers; (3) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating; (4) the provisions ensuring derivative counterparties and the account bank at ABCP programme level are replaced in case of their default, insolvency and other specified events, where the liquidity facility does not cover such events; (5) the remedial steps that must be taken on specified events, or on the sponsor’s default or insolvency to achieve collateralisation of the

FCA 2023/XX funding commitment or replacement of the liquidity facility provider (as appropriate); and (6) that the liquidity facility must be drawn down and the maturing securities repaid if the sponsor does not renew the liquidity facility’s funding commitment before it expires.
2.3.37 R The servicer must have:
(1) expertise in servicing exposures of a similar nature to those securitised; and (2) well-documented and adequate policies, procedures and riskmanagement controls relating to the exposures’ servicing.
2.4 STS criteria: Homogeneity of underlying exposures
Qualifying conditions
2.4.1 R (1) For the purposes of SECN 2.2.9R and SECN 2.3.17R, underlying
exposures are homogeneous if:
(a) they correspond to one of the following asset types:
(i) residential loans either secured by one or more mortgages on residential immovable property or fully guaranteed by an eligible protection provider among those under Article 201(1) of the UK CRR and qualify for the credit quality step 2 or above under Part Three, Title II, Chapter 2 of the UK CRR; (ii) commercial loans secured by one or more mortgages on commercial immovable property, including offices or other commercial premises; (iii) credit facilities provided to individuals for personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under (i), (ii) and (iv) to (viii); (iv) credit facilities, including loans and leases, provided to any type of enterprise or corporation; (v) auto loans and leases; (vi) credit card receivables; (vii) trade receivables; or (viii) other underlying exposures which, in the opinion of the originator or sponsor, constitute a distinct asset

FCA 2023/XX type based on internal methodologies and parameters; (b) they are underwritten according to standards applying similar approaches for assessing associated credit risk; (c) they are serviced according to similar procedures for monitoring, collecting and administering cash receivables of the originator, or on the asset side of the SSPE; and (d) one or more of the homogeneity factors are applied in accordance with SECN 2.4.2R, where applicable. (2) For the purposes of (1)(a), if an underlying exposure corresponds to more than one asset type, that exposure must be assigned only to one asset type in that securitisation. (3) Any changes to underlying exposures in a pool that is deemed to be homogenous pursuant to SECN 2.4 will not affect such homogeneity where such changes are for reasons outside the originator’s or sponsor’s control. Homogeneity factors
2.4.2 R (1) The homogeneity factors for the asset type referred to in SECN
2.4.1R(1)(a)(i) are the following:
(a) ranking of security rights, whereby the pool of underlying exposures comprises only one of the following:
(i) loans secured by first ranking security rights on a residential immovable property; (ii) loans secured by lower and all prior ranking rights on a residential immovable property; or (iii) loans secured by lower ranking security rights on a residential immovable property; (b) type of residential immovable property, whereby the pool comprises only one of the following types:
(i) income-producing properties; or (ii) non-income producing properties; (c) jurisdiction, whereby the pool comprises exposures secured by residential immovable properties located in the same jurisdiction. (2) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(ii) are the following:

FCA 2023/XX
(a) ranking of security rights, whereby the pool comprises only one of the following types of underlying exposures:
(i) loans secured by first ranking security rights on a commercial immovable property; (ii) loans secured by lower and all prior ranking rights on a commercial immovable property; or (iii) loans secured by lower ranking security rights on a commercial immovable property; (b) type of immovable commercial property, whereby the pool comprises only one of the following types:
(i) office buildings;
(ii) retail space;
(iii) hospitals;
(iv) storage facilities;
(v) hotels;
(vi) industrial properties; or
(vii) other specific type of commercial immovable properties; (c) jurisdiction, whereby the pool comprises underlying exposures secured by properties located in the same jurisdiction. (3) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(iv) are the following:
(a) type of obligor, whereby the pool comprises only one of the following types of obligors:
(i) micro, small and medium-sized enterprises; or (ii) other types of enterprises and corporates; (b) jurisdiction, whereby the pool comprises only one of the following types of underlying exposures:
(i) exposures secured by immovable property located in the same jurisdiction; or (ii) exposures to obligors with residence in the same jurisdiction.

FCA 2023/XX
(4) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(v) are the following:
(a) type of obligor, whereby the pool comprises underlying exposures with only one of the following types of obligors:
(i) individuals and enterprises where the originator applies the same approach for assessing the credit risk associated with exposures to enterprises as for exposures to individuals; (ii) micro, small and medium-sized enterprises; (iii) other types of enterprises and corporates; (iv) public sector entities; or (v) financial institutions; (b) jurisdiction, whereby the pool comprises underlying exposures to obligors with residence in the same jurisdiction. (5) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(vi) are the following:
(a) type of obligor, whereby the pool comprises underlying exposures with only one of the following types of obligors:
(i) individuals and enterprises where the originator applies the same approach for assessing the credit risk associated with exposures to enterprises as for exposures to individuals; (ii) micro, small and medium-sized enterprises; (iii) other types of enterprises and corporates; (iv) public sector entities; or (v) financial institutions; (b) jurisdiction, whereby the pool comprises underlying exposures to obligors with residence in the same jurisdiction. (6) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(viii) are any of the following:
(a) type of obligor;
(b) ranking of security rights;
(c) type of immovable property; or

FCA 2023/XX
(d) jurisdiction.
2.4.3 G Under the requirements of SECN 2.4.1R(1)(b) and (c) we would normally
expect homogenous residential mortgage portfolios to contain owneroccupier or buy-to-let mortgages but not generally both. However, they may be homogenous where the owner-occupier and buy-to-let mortgages are both underwritten and serviced according to similar standards.
2.5 STS notification
2.5.1 R (1) If a non-ABCP securitisation meets the relevant STS criteria, the
originator and sponsor jointly may notify the FCA of that fact as described in SECN 2.6. (2) If:
(a) an ABCP programme meets the relevant STS criteria; or (b) an ABCP transaction meets the relevant STS criteria, the sponsor may notify the FCA of that fact as described in SECN 2.6. (3) A notice given in accordance with (1) or (2) must explain how the relevant STS criteria have been complied with. (4) If the originator and sponsor involved in a securitisation jointly give the STS notification, the STS notification must designate one of them to be the first contact point for investors and the FCA.
2.5.2 R (1) The originator, sponsor or SSPE may use the service of a third party
authorised under regulation 30 of the Securitisation Regulations to check whether a securitisation complies with the relevant STS criteria. (2) Using the service of a third party under SECN 2.5.2R does not affect:
(a) the liability of the originator, sponsor or SSPE in respect of their legal obligations under SECN; or (b) institutional investors’ obligations under SECN 4. (3) If the originator, sponsor or SSPE use the service of an authorised third party under (1), the STS notification must include a statement that the authorised third party has confirmed compliance with the STS criteria. (4) The notification must include the authorised third party’s:
(a) name; and

FCA 2023/XX
(b) place of establishment.
2.5.3 R If the originator or original lender is not a CRR firm or an FCA investment
firm, the notification pursuant to SECN 2.5.1R(1) or SECN 2.5.1R(2) must be accompanied by:
(1) confirmation by the originator or original lender that (other than in respect of trade receivables not originated in the form of a loan):
(a) its credit-granting is based on sound and well-defined criteria and clearly established processes for approving, amending, renewing and financing credits; and (b) the originator or original lender has effective systems in place to apply such processes in accordance with SECN 8 (or equivalent PRA rules); and (2) a declaration by the originator or original lender as to whether credit granting referred to in (1) is subject to supervision.
2.5.4 R The originator and sponsor must immediately notify the FCA if a
securitisation no longer meets the relevant STS criteria.
2.5.5 G Multiple STS notifications may be submitted in respect of the same
securitisation where:
(1) the relevant securitisation is an ABCP transaction, in which case one notification should be submitted in accordance with SECN 2.5.1(2) by each sponsor of a relevant ABCP programme wishing to treat the securitisation as an STS securitisation; or (2) both a non-ABCP securitisation and an ABCP transaction, in which case one notification may be submitted in accordance with SECN 2.5.1R(1) and one notification should be submitted in accordance with SECN 2.5.1(2) by each sponsor of a relevant ABCP programme wishing to treat the securitisation as an STS securitisation.
2.6 Information to be included in the STS notification by the originator, sponsor
and the SSPE
2.6.1 R (1) The following information must be included in the STS notification:
(a) if the securitisation is a non-ABCP securitisation, the information specified in SECN 2 Annex 1R; (b) if the securitisation is an ABCP transaction, the information specified in SECN 2 Annex 2R; (c) for an ABCP programme, the information specified in SECN 2
Annex 3R.

FCA 2023/XX
(2) For securitisations where section 85 of the Act (prohibition of dealing etc in transferable securities without approved prospectus) and rules made by the FCA for the purposes of Part 6 of the Act (official listing) do not require a prospectus to be drawn up, the information to be included in the STS notification pursuant to (1) must be accompanied by the following:
(a) where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of SECN 2
Annex 1R;
(b) where the securitisation is an ABCP transaction, the information specified in fields STSAT9 and STSAT10 of SECN 2 Annex2R; (c) for an ABCP programme, the information specified in field STSAP9 of SECN 2 Annex 3R. (3) For the purposes of regulation 11 of the Securitisation Regulations, the publication of the STS notification for those securitisations is limited to the information referred to in SECN 2.6.1R. Additional information
2.6.2 R (1) If the documents at SECN 2.6.2R(2) include information relevant to
the STS notification, a reference to the relevant parts of those documents may be provided in the ‘Additional information’ column in SECN 2 Annex 1R, SECN 2 Annex 2R or SECN 2 Annex 3R. (2) The documents referred to in SECN 2.6.2R(1) are:
(a) an approved prospectus as contemplated by section 85 of the Act (prohibition of dealing etc in transferable securities without approved prospectus) and drawn up pursuant to rules made by the FCA for the purposes of Part 6 of the Act (official listing); (b) any other underlying documentation referred to in SECN 6.2.1R(2); (c) any other document with information relevant to the STS notification. (3) Where such information is provided, the documentation must be clearly identified.
2.7 Templates for STS notification
2.7.1 R The information in SECN 2.6.1R(1) and SECN 2.6.1R(2) must be provided
by means of the template set out in SECN 2 Annex 4R.

FCA 2023/XX
2.7.2 R The information in SECN 2.6.1R(1)(b) and SECN 2.6.1R(2)(b) must be
provided by means of the template set out in SECN 2 Annex 5R.
2.7.3 R The information in SECN 2.6.1R(1)(c) and SECN 2.6.1R(2)(c) must be
provided by means of the template set out in SECN 2 Annex 6R.
2.7.4 R Where the information to be provided pursuant to SECN 2.7 is not available
or is not required due to the application of the transitional provisions in SECN 13 the notification must state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of SECN 2 Annex 4R, SECN 2 Annex 5R or SECN 2 Annex 6R.
2.7.5 R The information referred to in SECN 2.7 must be submitted in an electronic
and machine-readable form.
2.7.6 R The ‘Additional information’ referred to in SECN 2.6.2 must be included in
the field ‘Box to complete’ of SECN 2 Annex 4R, SECN 2 Annex 5R or SECN 2 Annex 6R.

FCA 2023/XX
2 Annex Information to be included in the STS notification for a non-ABCP 1R securitisation

FCA 2023/XX
Table 1: General Information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSS1 N/A Instrument identification code If available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation. If available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSS2 N/A Legal Entity Identifier (LEI) The LEI of the originator(s) and sponsor(s) and, where available, original lender(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSS3 N/A Notification identifier If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSS4 N/A Unique identifier The unique identifier assigned by the reporting entity in accordance with SECN 11.12.1R. N/A STSS5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A

non-ABCP securitisation;
ABCP transaction;
ABCP programme.
N/A
STSS10 N/A Underlying exposures classification The type of underlying exposures including:
residential loans either secured by one or more
mortgages on residential immovable property or fully guaranteed by an eligible protection provider among those under Article 201(1) of the UK CRR and qualify for the credit quality N/A

FCA 2023/XX
Table 1: General Information
FIELD Provision of the FIELD NAME CONTENT TO BE REPORTED ADDITIONAL NUMBER Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION step 2 or above as set out in Part Three, Title II,
Chapter 2 of the UK CRR;

commercial loans secured by one or more
mortgages on commercial immovable property, including offices or other commercial premises;
credit facilities provided to individuals for
personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under points 1, 2 and 4 to 8;
credit facilities, including loans and leases,
provided to any type of enterprise or corporation;
auto loans/leases;
credit card receivables;
trade receivables;
other underlying exposures which, in the
opinion of the originator or sponsor constitute a distinct asset type based on internal methodologies and parameters.

FCA 2023/XX
Table 1: General Information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS11 N/A Issue date If a prospectus is drawn up in compliance with the Prospectus Regulation and / or corresponding legislation applicable in a third country, the date on which the prospectus was approved. In all other cases, the closing date of the most recent transaction. N/A STSS12 N/A Notification date The date of notification to the FCA or if prior to IP completion day, date of notification to ESMA. N/A STSS13 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSS14 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the name of the third party. N/A [Deleted] STSS16 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS, or that a STS notification should be revised. N/A

FCA 2023/XX
Table 1: General Information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS17 SECN 2.5.3R Originator (or original lender) not a CRR firm or an FCA investment firm A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSS18 SECN 2.5.3R Confirmation of credit-granting criteria If the answer to field STSS17 is ‘No’, confirmation that the originator’s or original lender’s credit-granting criteria, processes and systems in place are executed in accordance with SECN 8. N/A STSS19 SECN 2.5.3R Declaration that the credit granting is subject to supervision If the answer to field STSS17 is ‘No’, declaration that the credit-granting referred to in SECN 2.5.3R (1)(a) is subject to supervision. N/A

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FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS20 SECN 2.2.2R Transfer of the underlying exposures by true sale or assignment √ A concise explanation of how the transfer of the underlying exposures is made by means of true sale, assignment or transfer with the same legal effect in a manner that is enforceable against the seller or any other third party. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS21 SECN 2.2.3R No severe clawback √ A concise explanation of whether the transfer of title is subject to any of the severe clawback provisions referred to in SECN 2.2.3R. State whether the provisions in SECN 2.2.4R apply. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS22 SECN 2.2.4R Exemption for clawback provisions in √ In conjunction with STSS21, where appropriate, a confirmation whether there are Item 3.3 of Annex 19 of Commission Delegated

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION national no circumstances that could Regulation (EU) insolvency laws give rise to clawback provisions in accordance with SECN 2.2.2R and SECN 2.2.3R. 2019/980 STSS23 SECN 2.2.5R Transfer where the seller is not the original lender √ If the seller is not the original lender, a statement confirming that the securitisation complies with SECN 2.2.2R and SECN 2.2.4R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS24 SECN 2.2.6R Transfer performed by means of an assignment and perfected at a later stage √ If the transfer of the underlying exposures is performed by assignment and perfected after the transaction’s closing, a concise explanation of how and whether that perfection is effected at least through the required minimum predetermined event triggers under SECN 2.2.6R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION If alternative transfer methods are used, a confirmation that the originator’s insolvency would not prejudice or prevent the SSPE from enforcing its rights. STSS25 SECN 2.2.7R Representations and warranties √ A concise explanation of how and whether the seller has provided representations and warranties, that the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen adversely to affect the enforceability of the true sale, assignment or transfer with the same legal effect. Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS26 SECN 2.2.8R Eligibility criteria which prohibit active √ A concise explanation of how:

the underlying exposures
the seller transfers to the
Section 2 of
Annex 19 of
Commission

the selection and transfer
of the underlying exposures in the securitisation is based on clear processes, which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION for their active portfolio management on a discretionary basis. STSS27 SECN 2.2.9R Homogeneity of assets √ A detailed explanation of the homogeneity of the pool of underlying exposures backing the securitisation. For that purpose, include a reference to the relevant section of SECN on homogeneity and explain in detail how each of the conditions specified in SECN 2.4.1R are met. Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS28 SECN 2.2.10R Underlying exposure obligations: no re securitisation √ A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation. Item 2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

of whether the
underlying exposures were originated in the lender’s ordinary course of business and whether the applied underwriting standards were no less stringent that those applied at the same time of origination to exposures that were not securitised.
of whether the
underwriting standards and any material changes from prior underwriting standards have been or will be fully disclosed to Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

of how securitisations
where the underlying exposures are residential loans, the pool of underlying exposures meet the requirement in SECN 2.2.11R (3).
of whether an
assessment of the borrower’s creditworthiness meets the requirements set out in Article 8 of Directive 2008/48/EC or paragraphs 1 to 4, point (a) of paragraph 5, and paragraph 6 of Article 18 of Directive 2014/17/EU or, where

the transferred
underlying exposures do not include, at the time of selection, defaulted exposures (or restructured exposures) as defined in Article 178(1) UK CRR. Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

the requirements
referred to in SECN
2.2.12R (2) (c) – (e) subject to SECN 2.2.12R (3) are met.
the requirements
referred to in SECN
2.2.12R (2)(a) are met;
the requirements
referred to in SECN
2.2.12R (2)(b) are met.
STSS32 SECN 2.2.13R At least one payment at the time of transfer √ A confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. A confirmation whether the exemption under SECN 2.2.13R. Items 3.3 and
3.4.6 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS33 SECN 2.2.14R Repayment of the holders shall not have been structured to depend predominantly on the sale of assets. √ A detailed explanation of the extent to which repayment of securitisation investors depends on sale of assets securing the underlying exposures. Item 3.4.1 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS34 SECN 2.2.15R Compliance with risk retention requirements √ A concise explanation as to how the originator, sponsor or original lender of a non-ABCP securitisation comply with the risk retention requirement under SECN 5.2. An indication which entity retains the material net economic interest and which option is used for retaining the risk:
Item 3.1 of Annex
9 and Item 3.4.3 of Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

vertical slice in
accordance with SECN
5.2.2R (1)(a);
seller’s share in
accordance with SECN
5.2.2R (1)(b);
randomly-selected
exposures kept on balance sheet, in accordance with SECN 5.2.2R (1)(c);
first loss tranche in
accordance with SECN
5.2.2R (1)(d);
first loss exposure in
each asset in accordance with SECN 5.2.2R(1)(e);

no compliance with risk
retention requirements set out in SECN 5.2.2R;
other options used.
STSS35 SECN 2.2.16R Mitigation of interest rates (IR) and currency (FX) risks √ A concise explanation that measures are taken appropriately to mitigate interest rates and currency risks and confirmation that such measures are available to investors. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSS36 SECN 2.2.16R Derivatives
Purchased/Sold by SSPE
√ A concise declaration that the
SSPE has not entered into derivative contracts except in the circumstances under SECN 2.2.16R. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS37 SECN 2.2.16R Derivatives using common standards √ A concise explanation of whether any hedging instruments used are underwritten and documented according to commonly accepted standards. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSS38 SECN 2.2.17R Referenced interest payments based on generally used interest rates √ A concise explanation of whether and how any referenced interest payments under the securitisation assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. Item 2.2.2 and
2.2.13 of Annex
19 of Commission
Delegated
Regulation (EU)
2019/980
STSS39 SECN 2.2.18R No trapping of cash following enforcement or √ A declaration in general terms that each of the requirements of SECN 2.2.18R are met. Item 3.4.5 of
Annex 19 of
Commission
Delegated

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION an acceleration notice Regulation (EU) 2019/980 STSS40 SECN 2.2.18R (a) No amount of cash shall be trapped √ Confirmation that no cash would be trapped after an enforcement or an acceleration notice was delivered. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS41 SECN 2.2.18R (b) Principal receipts shall be passed to investors √ Confirmation that principal receipts from the underlying exposures are passed to the investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS42 SECN 2.2.18R (c) Repayment shall not be reversed with √ Confirmation that the repayment of the securitisation Item 3.4.5 of
Annex 19 of
Commission

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION regard to seniority positions is not to be reversed with regard to their seniority. Delegated Regulation (EU) 2019/980 STSS43 SECN 2.2.18R (d) No provisions shall require automatic liquidation of the underlying exposures at market value √ Confirmation that no provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS44 SECN 2.2.19R Securitisations featuring nonsequential priority of payments √ Confirmation that transaction featuring non-sequential priority of payments include triggers relating to the performance of the underlying exposures resulting in the priority of payment reverting to sequential payments in order of seniority. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION Confirmation that such triggers include the deterioration in the credit quality of the underlying exposures below a predetermined threshold. STSS45 SECN 2.2.20R Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers √ A concise explanation, where applicable, of how the provisions in SECN 2.2.20R are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS46 SECN 2.2.20R (1) (a) Deterioration in the credit quality of the √ A concise explanation (where applicable) of how the provisions in SECN 2.2.20R (1) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION underlying exposures Regulation (EU) 2019/980 STSS47 SECN 2.2.20R (2) (b) Occurrence of an insolvencyrelated event of the originator or servicer √ A concise explanation, (where applicable) of how the provisions or triggers in SECN 2.2.20R (2) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS48 SECN 2.2.20R (3) (c) Value of the underlying exposures held by the SSPE falls below a pre-determined threshold √ A concise explanation, where applicable, of how the provisions or triggers in SECN 2.2.20R (3) are reflected in the transaction documentation. Please cross reference the relevant sections of the underlying documentation where the information can be found. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS49 SECN 2.2.20R (4) (d) A failure to generate sufficient new underlying exposures meeting predetermined credit quality (trigger for termination of the revolving period) √ A concise explanation, where applicable, of how the provisions in SECN 2.2.20R (4) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS50 SECN 2.2.21R (1) (a) Information regarding contractual obligations of the servicer, trustee and other ancillary √ Confirmation that the transaction documentation specifies all the requirements under SECN 2.2.21R (1). Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION service providers STSS51 SECN 2.2.21R (2) (b) Servicing continuity provisions √ Confirmation that the securitisation documentation expressly satisfies the requirements of 2.2.21R (2). Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS52 SECN 2.2.21R (3) (c) Derivative Counterparties continuity provisions √ Confirmation that the transaction documentation satisfies all of the information referred to in SECN 2.2.21 R (3). Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS53 SECN 2.2.21R (3) (c) Liquidity providers and account bank continuity provisions √ Confirmation that the transaction documentation satisfies all of the information under SECN 2.2.21 R (3). Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS54 SECN 2.2.22R Required expertise from the servicer and policies and adequate procedures and risk management controls in place √ A detailed explanation of how the requirements of SECN 2.2.22R are met. As part of the explanation, include references to any policies and procedures intended to ensure compliance with these requirements. Item 3.4.6 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS55 SECN 2.2.23R Clear and consistent definitions relating to the treatment of problem loans √ Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in SECN 2.2.23R. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS56 SECN 2.2.23R Priorities of payment and triggers events √ Confirmation that the securitisation documentation sets out the priorities of Item 3.4.7 of
Annex 19 of
Commission
Delegated

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION payment and trigger events pursuant to SECN 2.2.23R. Regulation (EU) 2019/980 STSS57 SECN 2.2.24R Timely resolution of conflicts between classes of investors & responsibilities of trustee √ Confirmation that the provisions under SECN 2.2.24R relating to the timely resolutions of conflicts are met. Items 3.4.7 and
3.4.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSS58 SECN 2.2.25R Historical default and loss performance data √ Confirmation that the data required to be made available under SECN 2.2.25R is available, stating clearly where the information can be found. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS59 SECN 2.2.26R Sample of the underlying exposures subject to √ Confirmation that a sample of the underlying exposures was subject to external verification before the issuance of the N/A

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION external verifications securities by an appropriate and independent party. STSS60 SECN 2.2.27R Availability of a liability cash flow model to potential investors √ Confirmation that a liability cash flow model is available to potential investors before pricing and state clearly where this information is available. Confirmation that such information has been made available, after pricing, to potential investors upon request. N/A STSS61 SECN 2.2.28 R Publication on environmental performance of underlying exposures consisting of residential loans √ A concise explanation of whether the information related to the environmental performance of the assets financed by residential loans, or auto loans or leases is available pursuant to SECN 6.2.1R (1) N/A

the originator and the
sponsor comply with
SECN 6;
the information required
under SECN 6.2.1R (1) has been made available to potential investors before pricing upon request;
the information required
by SECN 6.2.1R (2) –
(4) has been made available before pricing at least in draft or initial form. N/A

FCA 2023/XX
2 Annex 2R Information to be included in the STS notification for an ABCP transaction

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSAT1 N/A Instrument identification code If available, the international security identification code (ISIN) or codes. If no ISIN, then any other unique securities code, assigned to the ABCP transaction. If available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT2 N/A Legal Entity Identifier (LEI) If available, the LEI of the originator (s) and/or sponsor(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 STSAT3 N/A Notification identifier If reporting an update, the unique reference number the FCA has assigned to the previously notified STS notification. N/A STSAT4 N/A Unique identifier The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with SECN 11.12.2R. N/A STSAT5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSAT6 N/A Securitisation If available, the name of the registered securitisation N/A

non-ABCP securitisation;
ABCP transaction;
ABCP programme.
N/A
STSAT10 N/A Underlying exposures classification The type of underlying exposures including:

residential loans either secured by one or more
mortgages on residential immovable property or fully guaranteed by an eligible protection provider among those under Article 201(1) of the UK CRR and qualify for the credit quality N/A

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION step 2 or above as set out in Part Three, Title II,
Chapter 2 of the UK CRR;
2. commercial loans secured by one or more
mortgages on commercial immovable property, including offices or other commercial premises;
3. credit facilities provided to individuals for
personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under points 1, 2 and 4 to 8;
4. credit facilities, including loans and leases,
provided to any type of enterprise or corporation;
5. auto loans/leases;
6. credit card receivables;
7. trade receivables;
8. other underlying exposures which, in the opinion
of the originator or sponsor constitute a distinct asset type based on internal methodologies and parameters. STSAT11 N/A Issue date If a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, and / or corresponding N/A

FCA 2023/XX
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION legislation applicable in a third country, the date on which the prospectus was approved. If not, the issuance date of the ABCP transaction. STSAT12 N/A Notification date The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAT13 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSAT14 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A [Deleted] STSAT16 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS, or that a STS notification should be revised. N/A STSAT17 SECN 2.5.3R Originator (or original lender) not a CRR firm or an A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT20 SECN 2.3.2R Underlying exposures acquired by true sale √ A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT21 SECN 2.3.3R No severe clawback √ A concise explanation of whether the transfer of title is subject to any of the severe clawback provisions referred to in SECN 2.3.3R (1)(a) Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION and (b). State whether the provisions in SECN 2.3.4R apply. STSAT22 SECN 2.3.4R Exemption for clawback provisions in national insolvency laws √ In conjunction with STSS21, where appropriate, confirmation that there are no circumstances that could give rise to clawback provisions in accordance with SECN 2.3.2R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT23 SECN 2.3.5R Transfer where the seller is not the original √ If the seller is not the original lender, a statement confirming that the securitisation Item 3.3 of Annex 19 of Commission Delegated Regulation (EU)

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION lender complies with SECN 2.3.2R to SECN 2.3.4R. 2019/980 STSAT24 SECN 2.3.6R Transfer performed by means of an assignment and perfected at a later stage. √ If the transfer of the underlying exposures is performed by means of an assignment and perfected after the transaction’s closing, provide a concise explanation of how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in SECN 2.3.6R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT25 SECN 2.3.7R Representations and warranties √ A concise explanation of whether the seller has provided representations and warranties that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.3.2R. Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT26 SECN 2.3.8R Eligibility criteria which prohibit active portfolio √ A concise explanation of how:

the underlying
exposures the
Section 2 of
Annex 19 of
Commission
Delegated

the selection
and transfer of the underlying exposures in the securitisation is based on clear processes which facilitate the identification of which exposures are selected for or transferred into the securitisation and that they do not allow for their active

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION portfolio management on a discretionary basis. STSAT27 SECN 2.3.9R No resecuritisation √ Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a resecuritisation. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT28 SECN
2.3.10R
Transferred underlying exposures without defaulted exposures √ A detailed explanation of how the transferred underlying exposures do not include, at the time of selection, Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)

at the time of
origination, the requirements referred to in 2019/980

at the time of
selection, the requirements referred to in SECN 2.3.10R (2)(d) are met. STSAT29 SECN 2.3.11R At least one payment at the time of transfer √ Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. If no payment has been made, an explanation why this is the case, including a statement of Items 3.3 and
3.4.6 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION whether the reason is one of the exceptions permitted under SECN 2.2.13R applies. STSAT30 SECN 2.3.12R Repayment of the holders shall not have been structured to depend predominantly on the sale of assets √ A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. If appropriate, a detailed explanation of whether repayments of the investors are not Item 3.4.1 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION considered to depend on the sale of assets, as specified under SECN 2.3.12R (3). STSAT31 SECN 2.3.13R Mitigation of interest rates (IR) and currency (FX) risks √ A concise explanation that measures are taken appropriately to mitigate interest rates and currency risks and confirmation that such measures are disclosed. A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] standards. STSAT32 SECN 2.3.13R Derivatives purchased/sold by SSPE √ Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation
(EU2019/980 derivative contracts
STSAT33 SECN
2.3.13R
Derivatives in underlying exposures √ A concise explanation of the presence of any derivatives in the pool of underlying exposures. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSAT34 SECN Derivatives using √ A concise explanation Items 3.4.7 and 2.3.13R common whether any 3.8 of Annex 19

FCA 2023/XX
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] standards derivatives of Commission permissible under SECN 2.3.13R are underwritten and documented Delegated Regulation (EU) 2019/980 according to common standards in international finance. STSAT35 SECN Clear and √ Confirmation that the Item 2.2.2 of 2.3.14R consistent definitions underlying documentation sets
Annex 19 of
Commission relating to the treatment of problem loans out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set Delegated Regulation (EU) 2019/980 out in SECN 2.3.14R. STSAT36 SECN Priorities of √ Confirmation that the Items 3.4.7 and

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION 2.3.14R payment and triggers events transaction documentation sets out the priorities of payment and triggers events pursuant to SECN 2.3.14.
3.4.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSAT37 SECN
2.3.16R
Historical default and loss performance data √ Confirmation that the data required to be made available under SECN 2.3.16R is available and a clear statement where the information is available to potential investors before pricing. If the sponsor does not have access to such data, Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION confirmation that the seller has provided access to data as specified under SECN 2.3.16R. Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years.

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT38 SECN 2.3.17R Homogeneity of assets √ A detailed explanation of how the securitisation is backed by a pool of homogenous underlying exposures, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics. Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT39 SECN
2.3.17R
Underlying exposure obligations
√ Confirmation that the pool of underlying exposures has a remaining weighted Item 2.2.7 of
Annex 19 of
Commission
Delegated

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years. Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with SECN 2.3.17R (3). Regulation (EU) 2019/980 STSAT40 SECN 2.3.17R Underlying exposure obligations √ Confirmation, where appropriate, that the underlying exposures:

do not include
Item 2.2.7 of
Annex 19 of
Commission
Delegated

contain
obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or

does not
include transferable securities as defined in point (24) of
article 2(1) of
Regulation
(EU) No
600/2014 other than corporate

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION bonds, that are not listed on a trading venue. STSAT41 SECN 2.3.18R Referenced interest payments based on generally used interest rates √ A concise explanation whether and how any referenced interest payments under the ABCP transaction’s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. Item 2.2.2 and
2.2.13 of Annex
19 of Commission
Delegated
Regulation (EU)
2019/980
STSAT42 SECN
2.3.19R
No trapping of cash following enforcement or √ A concise explanation of whether each of the requirements of SECN Item 3.4.5 of
Annex 19 of
Commission

FCA 2023/XX
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] acceleration 2.3.19R are met, Delegated notice including a concise explanation of cases Regulation (EU) 2019/980 where cash may be trapped. STSAT43 SECN (a) No trapping √ Confirmation that no Item 3.4.5 of 2.3.19R of cash following enforcement or cash would be trapped after an enforcement
Annex 19 of
Commission acceleration or an acceleration Delegated notice was delivered. Regulation (EU) 2019/980 STSAT44 SECN 2.3.19R (b) Principal receipts shall be passed to investors √ Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the 93 Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION securitisation positions, as determined by the seniority of the securitisation position. STSAT45 SECN 2.3.19R (c) No provisions shall require automatic liquidation of the underlying exposures at market value √ Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT46 SECN
2.3.20R
Soundness of underwriting standards √ A detailed explanation of whether the underlying exposures were originated in the Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)

FCA 2023/XX
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] transaction. STSAT47 SECN 2.3.20R Seller expertise √ A detailed explanation of whether the seller has Item 2.2.7 of
Annex 19 of
Commission the required expertise in originating exposures of a similar nature to those 96 Delegated Regulation (EU) 2019/980 securitised. STSAT48 SECN 2.3.21R Revolving ABCP transaction/credit quality trigger. √ A detailed explanation of how the provisions or triggers in SECN 2.3.21R are included in the securitisation documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT49 SECN Securitisation √ Confirmation that the Item 3.2 of Annex

FCA 2023/XX
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION 2.3.22R participant duties securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider. 19 of Commission Delegated Regulation (EU) 2019/980 STSAT50 SECN 2.3.22R Servicing continuity provisions √ Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2023/XX
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] servicer does not result in a termination of servicing. STSAT51 SECN Derivative √ Confirmation that the Item 3.8 of Annex 2.3.22R counterparty and account bank continuity provisions securitisation documentation includes provisions that ensure the replacement of derivative 19 of Commission Delegated Regulation (EU) 2019/980 counterparties and the account bank upon their default, insolvency and other specified events, where applicable. STSAT52 SECN Sponsor √ Confirmation that the Item 3.2 of Annex 2.3.22R robustness securitisation 19 of Commission

FCA 2023/XX
Information to be included in the STS notification for an ABCP programme
Annex
3R

FCA 2023/XX
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSAP1 N/A Instrument identification code If applicable, the international security identification codes (ISIN) assigned to the ABCP programmes. If available under Item 3.1 of
Annex 19 of Commission
Delegated Regulation (EU)
2019/980.
STSAP2 N/A Legal Entity
Identifier (LEI)
If available, the LEI of the sponsor (s) and/or ABCP programme(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSAP3 N/A Notification identifier If reporting an update, the unique reference number the FCA has assigned to the previously notified STS notification. N/A STSAP4 N/A Unique identifier The unique identifier assigned by the reporting entity to this ABCP programme in accordance with SECN 11.12.1R. N/A STSAP5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A

FCA 2023/XX
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP6 N/A Securitisation repository If available, the name of the registered securitisation repository. N/A STSAP7 N/A Securitisation name The name of the ABCP programme. Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980. STSAP8 Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R Country of establishment Confirmation that the sponsor is established in the United Kingdom. Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSAP9 N/A Securitisation classification The type of securitisation (non-ABCP securitisation, ABCP transaction, ABCP programme). N/A STSAP10 N/A Issuance date The date of the first issuance of the ABCP programme. Item 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 STSAP11 N/A Notification date The date of STS notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A

FCA 2023/XX
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP12 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSAP13 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A [Deleted] STSAP15 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the sponsor that the ABCP programme is no longer to be considered as STS, or that a STS notification should be revised. N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP16 SECN 2.3.23R Sponsor to be a CRR firm, but not an investment firm √ Confirmation that the sponsor of the programme is a CRR firm, but not an investment firm and link to a document attesting to such status. N/A STSAP17 SECN 2.3.24R Sponsor support as liquidity facility provider √ Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision. N/A STSAP18 SECN 2.3.25R Demonstration to the PRA √ Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION a link, where available, to the document supporting it has demonstrated this position to the PRA. STSAP19 SECN 2.3.26R Compliance with sponsor’s due diligence requirements √ Confirmation the sponsor’s compliance with the due diligence requirements set out in SECN 4.2.1R(1) and SECN 4.2.2R, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of UK CRR or equivalent requirements in third countries. N/A STSAP20 SECN 2.3.27R The seller (at √ A concise explanation of how the seller (ABCP transaction) Item 3.4.3 of

vertical slice – i.e.
SECN 5.2.2R (1)(a);
seller’s share – i.e.
SECN 5.2.2R (1)(b);
randomly-selected
exposures kept on balance sheet – i.e.
SECN 5.2.2R (1)(c);
first loss tranche – i.e.
SECN 5.2.2R (1)(d);
first loss exposure in
each asset – i.e. SECN
5.2.2R (1)(e);
no compliance with risk
retention requirements
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

the sponsor is
responsible for compliance with SECN 6.2;
the sponsor is
complying with SECN
6.2 at the ABCP
programme level;
the sponsor has made
available to potential investors before pricing and upon their request:
the aggregate information required by SECN 6.2.1R (1), and the information required by SECN 6.2.1R (2) to (5), at least in draft or initial N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION form. STSAP22 SECN 2.3.29R Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor √ A concise explanation from the sponsor of whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. N/A STSAP23 SECN 2.3.30R Compliance of ABCP transactions within an ABCP programme with SECN 2.3.2R to SECN 2.3.9R and SECN 2.3.13R to SECN 2.3.22R √ Confirmation whether all ABCP transactions within the programme meet the following requirements:

SECN 2.3.2R to SECN
2.3.9R.
SECN 2.3.13R to
SECN 2.3.22R.
N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP24 SECN 2.3.30R (2) to (3) Maximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporarily be non-compliant with certain requirements √ A detailed explanation as to which, if any, of the requirements of SECN 2.3.10R, 2.3.11R or 2.3.12R are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP transactions it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party. N/A STSAP25 SECN 2.3.31R Remaining weighted average life √ Confirmation that the remaining weighted average life of the underlying N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION (WAL) in the underlying exposures of an ABCP programme shall not be more than two years exposures of an ABCP programme are not more than two years. STSAP26 SECN 2.3.32R Fully supported ABCP programme (sponsor support) √ A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with SECN 2.3.24R. N/A STSAP27 SECN 2.3.33R No resecuritisation and no credit enhancement establishing a second layer of tranching at the √ Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level. N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION ABCP programme level STSAP28 SECN 2.3.34R No call options √ Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities’ final maturity at the discretion of the seller, sponsor or SSPE. N/A STSAP29 SECN 2.3.35R Interest rate and currency risks at ABCP programme appropriately mitigated and documented. √ A detailed explanation that measures are taken appropriately to mitigate interest rates and currency risks arising at ABCP programme level, and details of those measures, including whether the SSPE enters into derivative contracts other than for the reasons set out by SECN 2.3.35R. N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION A description of how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance. STSAP30 SECN 2.3.36R (1) Requirements for the ABCP programme documentation (responsibilities of the trustee to investors) √ Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme’s documentation. N/A STSAP31 SECN 2.3.36R (2) Requirements for the ABCP programme documentation (contractual obligations of the sponsor) √ Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme’s documentation. N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP32 SECN 2.3.36R (3) Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer) √ Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity. N/A STSAP33 SECN 2.3.36R (4) Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) √ Confirmation that the requirements under SECN 2.3.36R (4) are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events. N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP34 SECN 2.3.36R (5) Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) √ Confirmation that the ABCP programme’s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in SECN 2.3.36R (5). N/A STSAP35 SECN 2.3.36R (6) Requirements for the ABCP √ Confirmation that the ABCP programme’s documentation contains provisions ensuring N/A

FCA 2023/XX
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION programme that the liquidity facility shall documentation be drawn down and the (liquidity maturing securities shall be facility & repaid in the event that the maturing sponsor does not renew the securities to be funding commitment of the repaid where the liquidity facility before its sponsor does expiry. not renew the A statement indicating the funding relevant pages of the commitment of prospectus or other underlying the liquidity documentation that contain the facility before information relevant to the its expiry) requirements set out in SECN 2.3.36R (6). STSAP36 SECN 2.3.37R Servicer expertise √ A detailed explanation of how the requirements of SECN 2.3.37R are met, including the policies and procedures ensuring compliance with these requirements Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.

FCA 2023/XX
STS notification template for a non-ABCP securitisation
Annex
4R

FCA 2023/XX
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format:
YYYY-MM-DD
{Y/N} 1 alphanumeric character ‘true’- Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442

FCA 2023/XX
COMPLETE
FIELD FORMAT
STSS0 First contact point {ALPHANUM-1000} STSS1 Instrument identification code {ISIN} STSS2 LEI of the originator and sponsor and original lender {LEI} STSS3 Notification identifier {ALPHANUM-100} STSS4 Unique Identifier {ALPHANUM-100} STSS5 Prospectus Identifier {ALPHANUM-100} STSS6 Securitisation repository {ALPHANUM-1000} STSS7 Securitisation Name {ALPHANUM-100} STSS8 Country of establishment {COUNTRYCODE_2} STSS9 Securitisation classification {LIST} STSS10 Underlying Exposures Type {LIST} STSS11 Issue date {DATEFORMAT} STSS12 Notification Date {DATEFORMAT}

FCA 2023/XX
COMPLETE
FIELD FORMAT
STSS13 Authorised third party {ALPHANUM-1000} STSS14 Authorised third party (name) {ALPHANUM-1000} [Deleted] STSS16 STS status {ALPHANUM-1000} STSS17 Originator (or original lender) not a CRR firm or an FCA investment firm {Y/N} STSS18 Confirmation of credit-granting criteria {ALPHANUM-1000} STSS19 Declaration that the credit-granting criteria is subject to supervision {ALPHANUM-1000} STSS20 Underlying exposures acquired by true sale or assignment {ALPHANUM-10000} STSS21 No severe clawback {ALPHANUM-10000} STSS22 Exemption for clawback provisions in national insolvency laws {ALPHANUM-1000} STSS23 Transfer where the seller is not the original lender {ALPHANUM-1000}

FCA 2023/XX
COMPLETE
FIELD FORMAT
STSS24 Transfer performed by means of an assignment and perfected at a later stage {ALPHANUM-10000} STSS25 Representations and warranties {ALPHANUM-10000} STSS26 Criteria for active Portfolio Management {ALPHANUM-10000} STSS27 Homogeneity of assets {ALPHANUM} STSS28 Underlying Exposure Obligations/no resecuritisation {ALPHANUM-1000} STSS29 Soundness of the underwriting standard {ALPHANUM} STSS30 Originator/Lender expertise {ALPHANUM} STSS31 Transferred underlying exposures without exposures in default {ALPHANUM} STSS32 At least one payment at the time of transfer {ALPHANUM-1000} STSS33 Repayment of the holders/sale of assets. {ALPHANUM} STSS34 Compliance with the risk retention requirements {LIST} STSS35 Mitigation of interest rates (IR) and currency {ALPHANUM-10000}

FCA 2023/XX
COMPLETE
FIELD FORMAT
(FX) risks
STSS36 Derivatives Purchased/Sold by SSPE {ALPHANUM-10000} STSS37 Derivatives using common standards {ALPHANUM-10000} STSS38 Referenced interest payments based on generally used interest rates {ALPHANUM-10000} STSS39 No trapping of cash following enforcement or acceleration notice {ALPHANUM-10000} STSS40 No amount of cash shall be trapped {ALPHANUM-1000} STSS41 Principal receipts shall be passed to investors {ALPHANUM-1000} STSS42 Repayment shall not be reversed with regard to their seniority {ALPHANUM-1000} STSS43 No provisions shall require automatic liquidation of the underlying exposures at market value {ALPHANUM-1000} STSS44 Securitisations featuring non-sequential priority of payments {ALPHANUM-1000} STSS45 Revolving securitisation with early amortisation events for termination of {ALPHANUM-10000}

FCA 2023/XX
COMPLETE
FIELD FORMAT revolving period based on prescribed triggers STSS46 Deterioration in the credit quality of the underlying exposures {ALPHANUM-10000} STSS47 Occurrence of an insolvency-related event of the originator or servicer {ALPHANUM-10000} STSS48 Value of the underlying exposures held by the SSPE falls below a pre-determined threshold {ALPHANUM-10000} STSS49 Failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period) {ALPHANUM-10000} STSS50 Information regarding contractual obligations of the servicer, trustee and other ancillary service providers {ALPHANUM-1000} STSS51 Servicing continuity provisions {ALPHANUM-1000} STSS52 Derivative Counterparties continuity provisions {ALPHANUM-1000} STSS53 Liquidity providers and account bank continuity provisions {ALPHANUM-1000}

FCA 2023/XX
COMPLETE
FIELD FORMAT
STSS54 Required expertise from the servicer & policies & adequate procedures & risk management controls in place {ALPHANUM} STSS55 Clear & consistent definitions (problem loans) {ALPHANUM-1000} STSS56 Priorities of payment and triggers events {ALPHANUM-1000} STSS57 Timely resolution of conflicts between classes of investors and responsibilities of trustees {ALPHANUM-1000} STSS58 Historical default and loss performance data {ALPHANUM-1000} STSS59 Sample of the underlying exposures subject to external verifications {ALPHANUM-1000} STSS60 Availability of a liability cash flow model to potential investors {ALPHANUM-1000} STSS61 Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases {ALPHANUM-10000} STSS62 Originator and sponsor responsible for compliance with SECN 6 {ALPHANUM-1000}

FCA 2023/XX
STS notification template for an ABCP transaction
Annex
5R

FCA 2023/XX
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166- 1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format: YYYY-MM-DD {Y/N} 1 alphanumeric character ‘true’ Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442

FCA 2023/XX
STSAT0 First contact point {ALPHANUM-1000} STSAT1 Instrument identification code {ISIN} STSAT2 LEI of the originator and sponsor and original lender {LEI} STSAT3 Notification identifier {ALPHANUM-100} STSAT4 Unique Identifier {ALPHANUM-100} STSAT5 Prospectus Identifier {ALPHANUM-100} STSAT6 Securitisation repository {ALPHANUM-1000} STSAT7 Securitisation Name {ALPHANUM-100} STSAT8 Place of establishment {COUNTRYCODE_2} STSAT9 Securitisation Type {LIST} STSAT10 Underlying Exposures Type {LIST} STSAT11 Issue date {DATEFORMAT} STSAT12 Notification Date {DATEFORMAT} STSAT13 Authorised third party {ALPHANUM-1000}

FCA 2023/XX
STSAT14 Authorised third party (name) {ALPHANUM-1000} [Deleted] STSAT16 STS status {ALPHANUM-1000} STSAT17 Originator (or original lender) not a CRR firm or an FCA investment firm {Y/N} STSAT18 Confirmation of credit-granting criteria {ALPHANUM-1000} STSAT19 Declaration that credit-granting criteria is subject to supervision {ALPHANUM-1000} STSAT20 Underlying exposures acquired by true sale {ALPHANUM-10000} STSAT21 No severe clawback {ALPHANUM-10000} STSAT22 Exemption for clawback provisions in national insolvency laws {ALPHANUM-1000} STSAT23 Transfer where the seller is not the original lender {ALPHANUM-1000}

FCA 2023/XX
STSAT24 Transfer performed by means of an assignment and perfected at a later stage {ALPHANUM-10000} STSAT25 Representations and warranties {ALPHANUM-10000} STSAT26 Criteria for active Portfolio Management {ALPHANUM-10000} STSAT27 No re-securitisation {ALPHANUM-1000} STSAT28 Transferred underlying exposures without defaulted exposures {ALPHANUM} STSAT29 At least one payment made at the time of transfer {ALPHANUM-1000} STSAT30 Repayment of the holders/sale of assets. {ALPHANUM} STSAT31 Mitigation of interest rates (IR) and currency (FX) risks {ALPHANUM-10000} STSAT32 Derivatives Purchased/Sold by SSPE {ALPHANUM-10000} STSAT33 Derivatives in Underlying Exposures {ALPHANUM-10000}

FCA 2023/XX
STSAT34 Derivatives using common standards {ALPHANUM-10000} STSAT35 Clear and consistent definitions relating to the treatment of problem loans {ALPHANUM-1000} STSAT36 Priority of Payments and triggers events {ALPHANUM-1000} STSAT37 Historical default and loss performance data {ALPHANUM-1000} STSAT38 Homogeneity of assets {ALPHANUM} STSAT39 Underlying exposure obligations {ALPHANUM-1000} STSAT40 Underlying exposure obligations {ALPHANUM-1000} STSAT41 Referenced interest payments based on generally used interest rates {ALPHANUM-10000} STSAT42 No trapping of cash following enforcement or acceleration {ALPHANUM-10000} STSAT43 No trapping of cash/enforcement or acceleration {ALPHANUM-1000}

FCA 2023/XX
STSAT44 Principal receipts shall be passed to investors {ALPHANUM-1000} STSAT45 No provisions shall require automatic liquidation of the underlying exposures at market value {ALPHANUM-1000} STSAT46 Soundness of the underwriting standards {ALPHANUM} STSAT47 Seller Expertise {ALPHANUM} STSAT48 Revolving ABCP transaction/credit quality trigger. {ALPHANUM} STSAT49 Securitisation participant duties {ALPHANUM-1000} STSAT50 Servicing continuity provisions {ALPHANUM-1000} STSAT51 Derivative counterparty and account bank continuity provisions {ALPHANUM-1000} STSAT52 Sponsor robustness {ALPHANUM-1000}

FCA 2023/XX
STS notification template for an ABCP programme
Annex
6R

FCA 2023/XX
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166- 1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format: YYYY-MM-DD {Y/N} 1 alphanumeric character ‘true’- Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442.

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STSAP0 First contact point {ALPHANUM-1000} STSAP1 Instrument identification code {ISIN} STSAP2 LEI of the sponsor {LEI} STSAP3 Notification identifier {ALPHANUM-100} STSAP4 Unique Identifier {ALPHANUM-100} STSAP5 Prospectus Identifier {ALPHANUM-100} STSAP6 Securitisation repository {ALPHANUM-1000} STSAP7 ABCP programme name {ALPHANUM-100} STSAP8 Country of establishment {Y/N} STSAP9 Instrument classification {LIST} STSAP10 Issue date {DATEFORMAT} STSAP11 Notification date {DATEFORMAT} STSAP12 Authorised third party {ALPHANUM-100} STSAP13 Authorised third party (name) {ALPHANUM-1000} [Deleted]

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STSAP15 STS status {ALPHANUM-1000} STSAP16 Sponsor to be CRR firm, but not an investment firm {ALPHANUM-1000} STSAP17 Sponsor Support as liquidity provider {ALPHANUM-1000} STSAP18 Demonstration to the PRA {ALPHANUM-1000} STSAP19 Compliance with sponsor’s due diligence requirements {ALPHANUM-1000} STSAP20 Compliance with the risk retention requirements (transaction level/programme level) {LIST} STSAP21 Compliance at ABCP programme level with SECN 6 {ALPHANUM-1000} STSAP22 Drawn down of liquidity facility where funding commitments of the liquidity facility are not renewed by the sponsor {ALPHANUM-10000} STSAP23 Compliance of ABCP transactions within an ABCP programme with SECN 2.3.2 to SECN 2.3.9 and {ALPHANUM-1000}

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SECN 2.3.13 to SECN 2.3.22
STSAP24 Maximum of 5 % of the aggregate amount of the underlying exposures being temporally noncompliant {ALPHANUM} STSAP25 Remaining weighted of the average life (WAL) not more than two years {ALPHANUM-1000} STSAP26 Fully supported ABCP Programme (Sponsor Support) {ALPHANUM-10000} STSAP27 No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level {ALPHANUM-1000} STSAP28 No call options {ALPHANUM-1000} STSAP29 Interest rate and currency risks at ABCP programme appropriately mitigated and documented {ALPHANUM} STSAP30 Requirements for ABCP programme documentation (responsibilities of the trustee to investors) {ALPHANUM-1000}

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STSAP31 Requirements for the ABCP programme documentation (contractual obligations of the sponsor) {ALPHANUM-1000} STSAP32 Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer) {ALPHANUM-1000} STSAP33 Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) {ALPHANUM-1000} STSAP34 Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) {ALPHANUM-1000} STSAP35 Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the {ALPHANUM-1000}

FCA 2023/XX liquidity facility before its expiry) STSAP36 Servicer Expertise {ALPHANUM}

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3 Selling securitisation positions to retail clients
3.1 Application
3.1.1 G This chapter applies to retail clients and sellers of securitisation positions.
3.2 Selling of securitisations to retail clients
3.2.1 R (1) The seller of a securitisation position shall not sell such a position to
a retail client, unless all of the following conditions are fulfilled:
(a) the seller of the securitisation position has performed a suitability test in accordance with COBS 9A.2.1R and COBS 9A.2.16R; (b) the seller of the securitisation position is satisfied, on the basis of the test referred to in (a), that the securitisation position is suitable for that retail client; (c) the seller of the securitisation position immediately communicates in a report to the retail client the outcome of the suitability test. (2) Where the conditions set out in (1) are fulfilled and the financial instrument portfolio of that retail client does not exceed £500,000, the seller shall ensure, on the basis of the information provided by the retail client in accordance with (3), that the retail client does not invest an aggregate amount exceeding 10% of that client’s financial instrument portfolio in securitisation positions, and that the initial minimum amount invested in one or more securitisation positions is £10,000. (3) The retail client shall provide the seller with accurate information on the retail client’s financial instrument portfolio, including any investments in securitisation positions. (4) For the purposes of (2) and (3), the retail client’s financial instrument portfolio shall include cash deposits and financial instruments, but shall exclude any financial instruments that have been given as collateral. 4 Due diligence
4.1 Application and interpretation
4.1.1 G This chapter applies to:
(1) institutional investors; and
(2) sponsors,

FCA 2023/XX which are not PRA-authorised persons or pensions investors.
4.1.2 R For the purposes of SECN 4, a ‘pensions investor’ is an entity of a type
identified in paragraph (c) or paragraph (d) of the definition of ‘institutional investor’ in regulation 3(1) of the Securitisation Regulations.
4.2 Before holding a securitisation position
4.2.1 R (1) Before holding a securitisation position, an institutional investor,
other than the originator, sponsor or original lender, must verify that:
(a) if the originator or original lender:
(i) is established in the United Kingdom; and (ii) is not a CRR firm or FCA investment firm, then all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan):
(i) have been granted based on sound and well-defined criteria; (ii) are subject to clearly established processes for their approval, amendment, renewal and financing; and (iii) are subject to effective systems to apply those criteria and processes, all in accordance with SECN 8.2 or equivalent PRA rules; (b) if the originator or original lender is not established in the United Kingdom, then all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan):
(i) have been granted based on sound and well-defined criteria; (ii) are subject to clearly established processes for their approval, amendment, renewal and financing; and (iii) are subject to effective systems to apply those criteria and processes, all to ensure that credit-granting is based on a thorough assessment of the obligor’s creditworthiness; (c) if the originator, sponsor or original lender is established in the United Kingdom and required to do so under PRA or FCA

FCA 2023/XX rules, it continually retains a material net economic interest in accordance with SECN 5 (or equivalent PRA rules) and the risk retention is disclosed to the institutional investor in accordance with SECN 6 and SECN 11 (or equivalent PRA rules); (d) if the originator, sponsor or original lender is not established in the United Kingdom, it continually retains a material net economic interest which, in any event, must not be less than 5%, determined in accordance with SECN 5, and discloses the risk retention to institutional investors; (e) the originator, sponsor or SSPE has made available sufficient information to enable the institutional investor independently to assess the risks of holding the securitisation position, and has committed to make further information continually available, as appropriate. That information must include:
Information Frequency
1 In the case of a non-ABCP securitisation, details of the underlying exposures. At least quarterly. 2 In the case of an ABCP programme or an ABCP transaction, information on the underlying receivables or credit claims. At least monthly. 3 Investor reports providing periodic updates on:
(i) the credit quality and performance of the underlying exposures; (ii) any relevant financial or other triggers contained in the transaction documentation, including information on events which trigger changes to the priority of payments or a substitution of any counterparty to the transaction; (iii) data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation; and (iv) the calculation and modality of retention of a material net economic interest in the transaction by the originator, sponsor or original lender. (i) At least quarterly in the case of a non-ABCP securitisation; (ii) At least monthly in the case of an ABCP programme or an ABCP transaction. 4 All information on the legal documentation needed to understand the transaction, including detail of the legal provisions governing the structure of the transaction, any credit enhancement or liquidity support features, the cash flows and loss waterfalls, investors’ voting rights, and any triggers or other (i) Before pricing in draft or initial form; (ii) No later than 15 days after closing of the transaction in final form; and

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Information Frequency events that could result in a material impact on the performance of the securitisation position. (iii) An updated version as soon as practicable following any material change. 5 Information describing any changes or events materially affecting the transaction, including breaches of obligations under the transaction documents. As soon as practicable following that material change or event. 6 Any approved prospectus or other offering or marketing document prepared with the cooperation of the originator or sponsor. (i) Before pricing in draft or initial form; and (ii) No later than 15 days after closing of the transaction in final form. 7 If there is an STS notification in respect of the transaction, that STS notification. (i) Before pricing in draft or initial form; (ii) No later than 15 days after closing of the transaction in final form; and (iii) An updated version as soon as practicable following any material change.
4.2.2 R (1) Before holding a securitisation position, an institutional investor,
other than the originator, sponsor or original lender, must undertake due diligence, which enables it to assess the risks involved. That assessment must consider at least:
(a) the risk characteristics of the individual securitisation position and of the underlying exposures; (b) any of the securitisation’s structural features that could materially impact the performance of the securitisation position, including the contractual priorities of payment and priority of payment-related triggers, credit enhancements, liquidity enhancements, market value triggers, and transactionspecific definitions of default; (c) with regard to a securitisation notified as STS in accordance with SECN 2.5, that securitisation’s compliance with relevant STS criteria and SECN 2.5. Institutional investors may rely to an appropriate extent on the STS notification pursuant to SECN
2.5.1 and on the information the originator, sponsor and SSPE
disclose about compliance with the STS requirements, without solely or mechanistically relying on that notification or

FCA 2023/XX information;
(2) In SECN 4.2.2R(1)(c):
(i) the reference to a securitisation notified as STS in accordance with SECN 2.5 includes a reference to a securitisation:
(A) which is a relevant securitisation within the meaning of regulation 13(2)(a) of the Securitisation Regulations; or (B) notified to the FCA under Article 27(1) of the Securitisation Regulation between IP completion day and [the date this instrument comes into force] by a person established in the United Kingdom. (ii) in relation to any securitisation so notified, the reference to the STS notification is a reference to the notification of that securitisation as STS, and a reference to a numbered provision is a reference to the relevant provision in the EU Securitisation Regulation or the Securitisation Regulation as it had or has effect at any time on and after the date of the notification and before the end of the periods referred to in (i)(B). (3) Notwithstanding (1)(a) and (b), institutional investors in commercial paper issued by a fully supported ABCP programme must consider the features of that ABCP programme and the full liquidity support.
4.3 While holding a securitisation position
4.3.1 R An institutional investor, other than the originator, sponsor or original
lender, holding a securitisation position, must:
(1) establish and follow appropriate written procedures proportionate to the securitisation position’s risk profile and, where relevant, to the institutional investor’s trading and non-trading book in order to monitor, on an ongoing basis, compliance with SECN 4.2.1R, SECN 4.2.2R and SECN 4.5 and the performance of the securitisation position and of the underlying exposures; (2) in the case of a securitisation other than a fully supported ABCP programme, regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures or, in the absence of sufficient data on cash flows and collateral values, stress tests on loss assumptions, having regard to the nature, scale and complexity of the risk of the securitisation position; (3) in the case of fully supported ABCP programme, regularly perform

FCA 2023/XX stress tests on the solvency and liquidity of the sponsor; (4) ensure internal reporting to its management body so that the management body is aware of the material risks arising from the securitisation position and so that those risks are adequately managed; (5) be able to demonstrate to the FCA, on request, that it has a comprehensive and thorough understanding of the securitisation position and its underlying exposures and that it has implemented written policies and procedures for the risk management of the securitisation position and for maintaining records of the verifications and due diligence in accordance with SECN 4.2.1R and SECN 4.5R and of any other relevant information; and (6) in the case of exposures to a fully supported ABCP programme, be able to demonstrate to the FCA, on request, that it has a comprehensive and thorough understanding of the credit quality of the sponsor and of the terms of the liquidity facility provided.
4.3.2 R If relevant, considering the securitisation and the underlying exposures, the
written procedures in SECN 4.3.1R(1) must include monitoring:
(1) the exposure type;
(2) the percentage of loans more than 30, 60 and 90 days past due; (3) default rates; (4) prepayment rates; (5) loans in foreclosure; (6) recovery rates; (7) repurchases; (8) loan modifications; (9) payment holidays; (10) collateral type and occupancy; and (11) frequency distribution of credit scores or other measures of creditworthiness across underlying exposures, industry and geographical diversification, frequency distribution of loan-to-value ratios with bandwidths that facilitate adequate sensitivity analysis.
4.3.3 R Where the underlying exposures of a securitisation are themselves
securitisation positions, institutional investors shall also monitor the exposures underlying those securitisation positions in the manner contemplated in SECN 4.3.2;

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4.4 Institutional investor delegation
4.4.1 R (1) If:
(a) an institutional investor gives a managing party authority to make investment management decisions that might expose the institutional investor to a securitisation and instructs that managing party to fulfil any of the institutional investor’s obligations under SECN 4 in connection with such investment management decision; and (b) the managing party does not properly fulfil those obligations, the managing party will be responsible (to the exclusion of the institutional investor) for that failure to fulfil the institutional investor’s obligations delegated. (2) For the purposes of SECN 4.4.1R(1), ‘managing party’ means an institutional investor other than a pensions investor who accepts authority to make investment decisions on behalf of another institutional investor as contemplated in SECN 4.4.
4.5 Requirements on sponsors
4.5.1 R (1) By derogation from SECN 4.2.1R, in a fully supported ABCP
transaction, the sponsor is subject to the requirement specified in SECN 4.2.1R(1)(a). (2) In this case, unless a CRR firm or an FCA investment firm grants all the credits giving rise to the underlying exposures (other than any underlying exposures that are trade receivables not in the form of a loan), the sponsor must verify that those credits:
(a) have been granted based on sound and well-defined criteria; (b) are subject to clearly established processes for their approval, amendment, renewal and financing; and (c) are subject to effective systems to apply those criteria and processes, all in accordance with SECN 8.2 or equivalent PRA rules. 5 Requirements on risk retention
5.1 Interpretation and application
Application
5.1.1 G This chapter applies to originators, sponsors and original lenders, which are
not PRA-authorised persons.

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Interpretation
5.1.2 R In this chapter, the following definitions apply:
5.1.3 R (1) ‘contingent form of retention’ means retention of a material net
economic interest through the use of guarantees, letters of credit and other similar forms of credit support ensuring an immediate enforcement of the retention; (2) ‘synthetic form of retention’ means retention of a material net economic interest through the use of derivative instruments; and (3) ‘UK Solvency II Firm’ has the same definition as in Article 2.1 of
Chapter 2, Solvency II Firms: Insurance General Application of the
PRA Rulebook.
5.2 Retention of a material net economic interest
5.2.1 R The originator, sponsor or original lender of a securitisation must
continually retain a material net economic interest in the securitisation of not less than 5%. That interest must be measured at the origination and must be determined by the notional value for off-balance-sheet items.
5.2.2 R If the originator, sponsor or original lender have not agreed between them
who will retain the material net economic interest, the originator must retain the material net economic interest.
5.2.3 R There must be no multiple applications of the retention requirements for any
given securitisation.
5.2.4 R The material net economic interest must not be split amongst different types
of retainers and must not be subject to any credit-risk mitigation or hedging.
5.2.5 R For the purposes of SECN 5, an entity is not be considered to be an
originator if the entity has been established or operates for the sole purpose of securitising exposures.
5.2.6 R The requirement that the retained material net economic interest must not be
split among different types of retainers under SECN 5.2.4R means it must be fulfilled in full by any of the following:
(1) the originator or multiple originators; (2) the sponsor or multiple sponsors; or (3) the original lender or multiple original lenders.
5.2.7 R Where multiple originators fulfil the retention requirement, it must be
fulfilled by each originator on a pro rata basis by reference to the securitised exposures for which it is the originator.

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5.2.8 R Where multiple original lenders fulfil the retention requirement, it must be
fulfilled by each original lender on a pro rata basis by reference to the securitised exposures for which it is the original lender.
5.2.9 R Notwithstanding SECN 5.2.7R and SECN 5.2.8R, the retention requirement
may be fulfilled in full by a single originator or original lender provided that either of the following conditions is met:
(1) the originator or original lender has established and is managing the ABCP programme or other securitisation; or (2) the originator or original lender has established the ABCP programme or other securitisation and has contributed over 50% of the total securitised exposures measured by nominal value at origination.
5.2.10 R Where multiple sponsors fulfil the retention requirement, it must be fulfilled
by either:
(1) the sponsor whose economic interest is most appropriately aligned with investors as agreed by the multiple sponsors on the basis of objective criteria including, but not limited to, the transaction’s fee structure, the sponsor’s involvement in the establishment and management of the ABCP programme or other securitisation and exposure to credit risk of the securitisations; or (2) by each sponsor proportionately to the number of sponsors.
5.2.11 R For the purposes of assessing whether an entity has been established or
operates for the sole purpose of securitising exposures as referred to in SECN 5.2.5R the relevant considerations include whether:
(1) the entity has a business strategy and the capacity to meet payment obligations consistent with a broader business model and involving material support from capital, assets, fees or other income available to the entity, relying neither on the exposures being securitised, nor on any interests retained or proposed to be retained in accordance with this Chapter, as well as any corresponding income from such exposures and interests; and (2) the members of the management body have the required experience to enable the entity to pursue the established business strategy, and the entity has adequate corporate governance arrangements.
5.2.12 R (1) Only the following qualify as a retention of a material net economic
interest of not less than 5% within the meaning of SECN 5.2.1R:
(a) the retention of not less than 5% of the nominal value of each of the tranches sold or transferred to investors; (b) in the case of revolving securitisations or securitisations of

FCA 2023/XX revolving exposures, the retention of the originator’s interest of not less than 5% of the nominal value of each of the securitised exposures; (c) the retention of randomly selected exposures, equivalent to not less than 5% of the nominal value of the securitised exposures, where such non-securitised exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is not less than 100 at origination; (d) the retention of the first loss tranche and, where such retention does not amount to 5% of the nominal value of the securitised exposures, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total not less than 5% of the nominal value of the securitised exposures; or (e) the retention of a first loss exposure of not less than 5% of every securitised exposure in the securitisation. (2) (a) Notwithstanding (1), in the case of NPE securitisations, where a non-refundable purchase price discount has been agreed, the retention of a material net economic interest required by SECN 5.2.12R must not be less than 5% of the sum of the net value of the securitised exposures that qualify as non-performing exposures and, if applicable, the nominal value of any performing securitised exposures. (b) For the purposes of (a), the net value of a non-performing exposure is calculated by deducting the non-refundable purchase price discount agreed at the level of the individual securitised exposure at the time of origination or, where applicable, a corresponding share of the non-refundable purchase price discount agreed at the level of the pool of underlying exposures at the time of origination from the exposure’s nominal value or, where applicable, its outstanding value at the time of origination. (c) For the purposes of determining the net value of the securitised non-performing exposures, the non-refundable purchase price discount may include the difference between the nominal amount of the tranches of the NPE securitisation underwritten by the originator for subsequent sale and the price at which these tranches are first sold to unrelated third parties.
5.2.13 R (1) The fulfilment of the retention requirement in a manner equivalent to
one of the options set out in SECN 5.2.12R through a synthetic or contingent form of retention must meet each of the following conditions:

FCA 2023/XX
(a) the amount retained is at least equal to the amount required under the relevant option to which the synthetic or contingent form of retention corresponds to; and (b) the retainer has explicitly disclosed in the final offering document, prospectus, transaction summary or overview of the main features of the securitisation that it will retain on an ongoing basis a material net economic interest in the securitisation through a synthetic or contingent form. The disclosure referred to in this point must provide all the necessary details about the applicable synthetic or contingent form of retention including, in particular, the methodology used in its determination and an explanation on which of the options in SECN 5.2.12R the retention is equivalent to. (2) Where an entity other than a CRR firm or a UK Solvency II Firm retains an economic interest through a synthetic or continent form of retention, the interest retained on a synthetic or contingent basis must be fully collateralised in cash and held on a segregated basis as client money as referred to in CASS 7.12.1R.
5.2.14 R The retention of not less than 5% of the nominal value of each of the
tranches sold or transferred to the investors referred to in SECN 5.2.12R(1)(a) may be complied with through any of the following methods:
(1) the retention of not less than 5% of the nominal value of each of the securitised exposures, provided that the retained credit risk ranks pari passu with or is subordinated to the credit risk securities in relation to the same exposures; (2) the provision, in the context of an ABCP programme, of a liquidity facility, where all the following conditions are met:
(a) the liquidity facility covers 100% of the share of the credit risk of the securitised exposures of the relevant securitisation transaction that is being funded by the respective ABCP programme; (b) the liquidity facility covers the credit risk for as long as the retainer has to retain the material net economic interest by means of such liquidity facility for the relevant securitisation transaction; (c) the liquidity facility is provided by the originator, sponsor or original lender in the securitisation transaction; (d) the investors becoming exposed to such securitisations have been given access to appropriate information with the initial disclosure to enable them to verify that (a), (b) and (c) are complied with;

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(3) the retention of an exposure which exposes its holder to the credit risk of each issued tranche of a securitisation transaction on a pro-rata basis (vertical tranche) of not less than 5% of the total nominal value of each of the issued tranches.
5.2.15 R The retention of the originator’s interest of not less than 5% of the nominal
value of each of the securitised exposures as referred to in SECN 5.2.12R(1)(b) is considered fulfilled only where the retained credit risk of such exposures ranks pari passu with or is subordinated to the credit risk securitised in relation to the same exposures.
5.2.16 R (1) The pool of at least 100 potentially securitised exposures from which
retained and securitised exposures are randomly selected, as referred to in SECN 5.2.12R(1)(c) must be sufficiently diverse to avoid an excessive concentration of the retained interest. (2) When carrying out the selection of retained exposures, the retainer must take into account appropriate quantitative and qualitative factors to ensure that the distinction between retained and securitised exposures is random. The retainer of randomly selected exposures must take into consideration, where appropriate, factors such has vintage, product, geography, origination date, maturity date, loan to value ratio, property type, industry sector, and outstanding loan balance when selecting exposures. (3) The retainer may not designate different individual exposures at different points in time, except where this may be necessary to fulfil the retention requirement in relation to a securitisation in which the securitised exposures fluctuate over time, either due to new exposures being added to the securitisation or to changes in the level of the individual securitised exposures. (4) Where the retainer is the securitisation’s servicer, the selection conducted in accordance with SECN 5.2.16R must not lead to a deterioration in the servicing standards applied by the retainer on the transferred exposures relative to the retained exposures.
5.2.17 R (1) The retention of the first loss tranche in accordance with SECN
5.2.12R(1)(d) may be fulfilled by holding either on-balance sheet or off-balance sheet positions and by either of the following methods:
(a) provision of a contingent form of retention or of a liquidity facility in the context of an ABCP programme, provided that each of these methods meets all of the following criteria:
(i) it covers at least 5% of the nominal value of the securitised exposures; (ii) it constitutes a first loss position in relation to the securitisation;

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(iii) it covers the credit risk for the entire duration of the retention commitment; (iv) it is provided by the retainer; and (v) the investors have been given access within the initial disclosure to appropriate information to enable them to verify that (i) to (iv) are complied with; or (b) over collateralisation, if it operates as a ‘first loss’ position of not less than 5% of the nominal value of the securitised exposures. (2) Where the first loss tranche exceeds 5% of the nominal value of the securitised exposures, the retainer may retain a pro-rata portion of such first loss tranche, provided that this portion is equivalent to at least 5% of the nominal value of the securitised exposures.
5.2.18 R (1) The retention of a first loss exposure at the level of every securitised
exposure as referred to in SECN 5.2.12R(1)(e) is considered fulfilled only where the retained credit risk is subordinated to the credit risk securitised in relation to the same exposures. (2) By way of derogation from (1), the retention may also be fulfilled by the sale at a discounted value of the underlying exposures by the originator or original lender, where each of the following conditions is satisfied:
(a) the amount of the discount is not less than 5% of the nominal value of each exposure; and (b) the discounted sale amount must be refundable to the originator or original lender if, and only if, such discounted sale amount is not absorbed by losses related to the credit risk associated to the securitised exposures.
5.2.19 R (1) Where:
(a) a mixed financial holding company; (b) a UK parent institution; (c) a financial holding company that is established in the United Kingdom; or (d) a subsidiary of such a company or institution, as an originator or sponsor, securitises exposures from one or more CRR firms, FCA investment firms or other financial institutions which are included in the scope of supervision on a consolidated basis, the requirements set out in SECN 5.2.1R- SECN 5.2.5R may be satisfied

FCA 2023/XX based on the consolidated situation of the mixed financial holding company, UK parent institution or financial holding company concerned. (2) Subject to the modifications for FCA investment firms in (3), (1) applies only if CRR firms, FCA investment firms or financial institutions which created the securitised exposures:
(a) comply with the requirements in Chapter 4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook; and (b) deliver the information needed to satisfy the requirements in SECN 4 or equivalent PRA rules, in a timely manner, to the originator or sponsor and, if the originator or sponsor is a subsidiary, to the mixed financial holding company, UK parent institution or financial holding company which is the parent undertaking of the subsidiary. (3) In the case of FCA investment firms, compliance with the requirements set out in Article 4.2 of Chapter 4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook are modified in accordance with this subparagraph:
(a) FCA investment firms must have internal methodologies that enable them to assess the credit risk of exposures to individual obligors, securities or securitisation positions and credit risk at the portfolio level; (b) the internal methodologies must not rely solely or mechanistically on external credit ratings; and (c) where an FCA investment firm determines the amount of own funds that it should hold by reference to a rating by an external credit assessment institution or by reference to the fact that an exposure is unrated, this does not exempt the FCA investment firm from additionally considering other relevant information for assessing its allocation of internal capital. (4) In SECN 5.2.19R subsidiary has the meaning given in Article 4(1)(16) of UK CRR:
5.2.20 R SECN 5.2.1R- SECN 5.2.5R do not apply where the securitised exposures are
exposures on or exposures fully, unconditionally and irrevocably guaranteed by:
(1) central governments or central banks; (2) regional governments, local authorities and public sector entities within the meaning of Article 4(1)(8) of UK CRR; (3) institutions to which a 50% risk weight or less is assigned under Part Three, Title II, Chapter 2 of UK CRR and Articles 132a to 132c of

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Chapter 3 of the Standardised Approach and Internal Ratings Based
Approach to Credit Risk (CRR) Part of the PRA Rulebook; (4) national promotional banks or institutions within the meaning of
Article 2(3) of Regulation (EU) 2015/1017 of the European
Parliament and of the Council; or (5) the multilateral development banks listed in Article 117 of UK CRR.
5.2.21 R SECN 5.2.1R to SECN 5.2.5R do not apply to transactions based on a clear,
transparent and accessible index, where the underlying reference entities are identical to those that make up an index of entities that is widely traded, or are other tradable securities other than securitisation positions.
5.3 Application of the retention options on NPE securitisations
5.3.1 R (1) In case of NPE securitisations and in accordance with SECN
5.2.12(2), SECN 5.2.14R(1)(a) and SECN 5.2.15R to SECN 5.2.18R must be applied to the share of non-performing exposures in the pool of underlying exposures of a securitisation considering any reference in relation to the nominal value of the securitised exposures as a reference to the net value of the non-performing exposures. (2) For the purposes of SECN 5.2.16R, the net value of the retained nonperforming exposures must be computed using the same amount of the non-refundable purchase price discount that would be applied had the retained non-performing exposures been securitised. (3) For the purposes of SECN 5.2.12R(1)(a), SECN 5.2.15R or SECN 5.2.18R the net value of the retained part of the non-performing exposures must be computed using the same percentage of the nonrefundable purchase price discount that applies to the part that is not retained. (4) Where the non-refundable purchase price discount has been agreed at the level of the pool of underlying non-performing exposures as referred to in SECN 5.2.12R(2)(b) or at sub-pool level, the net value of individual securitised non-performing exposures included in the pool or sub-pool, where applicable, must be calculated by applying a corresponding share of the non-refundable purchase price discount agreed at pool or sub-pool level to each of the securitised nonperforming exposures in proportion to their nominal value or, where applicable, its outstanding value at the time of origination. (5) Where the non-refundable purchase price discount includes the difference between the nominal amount of one tranche or several tranches of a NPE securitisation underwritten by the originator for subsequent sale and the price at which this tranche or these tranches are first sold to unrelated third parties as referred to in SECN 5.2.12R(2)(b), that difference must be taken into account in the calculation of the net value of individual securitised non-performing

FCA 2023/XX exposures by applying a corresponding share of the difference to each of the securitised non-performing exposures in proportion to their nominal value.
5.4 Measurement of the level of retention
5.4.1 R (1) When measuring the level of retention of the net economic interest,
the following criteria apply:
(a) the origination is the time at which the exposures were first securitised; (b) where the calculation of the level of retention is based on nominal values, it must not take into account the acquisition price of assets; (c) finance charge collections and other fee income in respect of the securitised exposures net of costs (‘excess spread’) may not be taken into account when measuring the retainer’s net economic interest; (d) the retention option and methodology used to calculate the net economic interest must not be changed during the life of a securitisation transaction, unless exceptional circumstances require a change and that change is not used as a means to reduce the amount of the retained interest. (2) The retainer is not required to constantly replenish or readjust its retained interest to at least 5% as losses are realised on its retained exposures or allocated to its retained positions.
5.5 Prohibition of hedging or selling the retained interest
5.5.1 R (1) The obligation in SECN 5.2.1R to retain on an ongoing basis a
material net economic interest in the securitisation is met only where, taking into account the economic substance of the transaction, both of the following conditions are satisfied:
(a) the retained material net economic interest is not subject to any credit risk mitigation or hedging of either the retained securitisation positions or the retained exposures. Hedges of the net economic interest are permitted only where they do not hedge the retainer against the credit risk of either the retained securitisation positions or the retained exposures; (b) the retainer does not sell, transfer or otherwise surrender all or
part of the rights, benefits or obligations arising from the
retained net economic interest.
(2) Retained exposures or securitisation positions may be used as collateral for secured funding purposes including, where relevant, funding arrangements that involve a sale, transfer or other surrender

FCA 2023/XX of all or part of the rights, benefits or obligations arising from the retained net economic interest, provided that such use as collateral does not transfer the exposure to the credit risk of these retained exposures or securitisation positions to a third party. (3) The condition in SECN 5.5.1R(1)(b) does not apply:
(a) in the event of the insolvency of the retainer; or (b) in the case of retention on a consolidated basis, in accordance with SECN 5.8.1R.
5.6 Measurement of retention for exposures in the form of drawn and undrawn
amounts of credit facilities
5.6.1 R The calculation of the net economic interest to be retained for credit
facilities, including credit cards, must be based only on amounts already drawn, realised or received and must be adjusted in accordance with changes to those amounts.
5.7 Exemptions in accordance with SECN 5.2.21R
5.7.1 R The transactions referred to in SECN 5.2.21R include securitisation positions
in the correlation trading portfolio, which are reference instruments satisfying the criterion in Article 338(1)(b) of the UK CRR or are eligible for inclusion in the correlation trading portfolio.
5.8 Retention on a consolidated basis
5.8.1 R A mixed financial holding company, a UK parent institution or financial
holding company satisfying, in accordance with SECN 5.2.19R, the retention requirement on the basis of its consolidated situation must, in the case the retainer is no longer included in the scope of supervision on a consolidated basis, ensure that one or more of the remaining entities included in the scope of supervision on a consolidated basis assumes an exposure to the securitisation so as to ensure the ongoing fulfilment of the requirement.
5.9 Arrangements or embedded mechanisms
5.9.1 R There may be no arrangements or embedded mechanisms in the
securitisation by virtue of which the retained interest at origination would decline faster than the interest transferred. The retained interest may not be prioritised in the allocation of cash flows to preferentially benefit from being repaid or amortised ahead of the transferred interest. The amortisation of the retained interest via cash flow allocation or through the allocation of losses that, in effect, reduce the level of retention over time do not constitute a breach of the criteria set out in this paragraph.
5.10 Retention requirement on re-securitisations
5.10.1 R (1) Subject to (2), in the context of re-securitisation as far as permitted in
accordance with SECN 7.2 and SECN 7.3, a retainer must retain the

FCA 2023/XX material net economic interest in relation to each of the respective transaction levels. (2) The originator of a re-securitisation is not obliged to retain a material net economic interest also at the transaction level of the resecuritisations where all of the following conditions are met:
(a) the originator of the re-securitisation is also the originator and the retainer of the underlying securitisations; (b) the re-securitisation is backed by a pool of exposures comprising solely exposures or positions which were retained by the originator in the underlying securitisation in excess of the required minimum net economic interest prior to the date of origination of the re-securitisation; (c) there is no maturity mismatch between the underlying securitisation positions or exposures and the re-securitisation. (3) A fully supported ABCP programme, which meets the requirements of SECN 7.3 is not a re-securitisation for the purposes of this SECN 5. (4) The retranching of an issued tranche into contiguous tranches by the securitisation’s originator is not a re-securitisation for the purposes of this section.
5.11 Disclosure of the level of the commitment to maintain a net economic
interest
5.11.1 R (1) The retainer must disclose to investors within the final offering
document, prospectus, transaction summary or overview of the main features of the securitisation at least the following information regarding the level of its commitment to maintain a net economic interest in the securitisation:
(a) confirmation of the retainer’s identity and of whether it retains as originator, sponsor or original lender and, where the retainer is the originator, of how it meets the requirement set out in SECN 5.2.2R taking into account the principles set out in SECN 5.2.11R; (b) which of the modalities provided for in SECN 5.2.12R(1) has been applied to retain a net economic interest; (c) confirmation of the level of retention at origination and of the commitment to retain on an ongoing basis, which must relate only to the continuation of fulfilment of the original obligation and does not require data on the current nominal or market value, or on any impairments or write-downs on the retained interest.

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(2) Where the exemptions referred to in SECN 5.2.20R and SECN 5.2.21R apply to a securitisation transaction, firms acting as originator, sponsor or original lender must disclose within the final offering document, prospectus, transaction summary or overview of the main features of the securitisation information on the applicable exemption to investors. (3) The disclosure referred to in (1) and (2) must be appropriately documented within the final offering document, prospectus, transaction summary of overview of the main features of the securitisation and made publicly available, except in bilateral or private transactions where private disclosure is considered by the parties to be sufficient. The inclusion of a statement on the retention commitment in the prospectus for the securities issued under the securitisation programme is an appropriate means of fulfilling the requirement.
5.12 Selection of assets
5.12.1 R (1) Originators must not select assets to be transferred to the SSPE with
the aim of rendering losses on the assets transferred to the SSPE, measured over the life of the transaction, or over a maximum of 4 years where the life of the transaction is longer than 4 years, higher than the losses over the same period on comparable assets held on the balance sheet of the originator, where there are any such comparable assets. (2) SECN 5.12.1R(1) is not breached if an originator:
(a) selects assets to transfer to the SSPE with a higher average credit risk profile as compared to the comparable assets (if any) that remain on its balance sheet; and (b) clearly communicates that higher average credit risk profile to investors and potential investors.
5.12.2 R (1) For the purposes of SECN 5.12.1R, assets held on the balance sheet
of the originator that meet the eligibility criteria according to the documentation of the securitisation are comparable to the assets to be transferred to the SSPE where, at the time of the selection of the assets, both of the following conditions are met:
(a) the expected performance of both the assets to be further held on the balance sheet and the assets to be transferred is determined by similar relevant factors; (b) as a result of the similarity referred to in (a) and on the basis of indications such as past performance or applicable models, it can be reasonably expected that the performance of the assets to be further held on the balance sheet would not be significantly better over the time period referred to in SECN 5.12.1R than the

FCA 2023/XX performance of the assets to be transferred. (2) SECN 5.13.1R is complied with where, after the securitisation, there are no exposures left on the originator’s balance sheet that are comparable to the securitised exposures (other than the exposures which the originator is already contractually committed to securitise) and where the fact that no comparable assets (other than exposures which the originator is already contractually committed to securitise) remain on the balance sheet of the originator is being clearly communicated to investors.
5.12.3 G In assessing whether the originator has complied with SECN 5.12.1R, the
FCA would expect to take into account the actions the originator has taken to comply with that rule. In particular, the FCA would expect to take account of any internal policies, procedures and controls put in place by the originator to prevent the systematic or intentional selection for securitisation purposes of assets of a higher average credit risk profile than comparable assets retained on its balance sheet. 6 Requirements on transparency relating to securitisation position
6.1 Application
6.1.1 G This chapter applies to originators, sponsors and SSPEs.
6.2 Provision of information to holders of a securitisation position
6.2.1 R The originator, sponsor and SSPE of a securitisation must, in accordance
with SECN 6.3 make at least the following information available to holders of a securitisation position, to the FCA and, on request, to potential investors:
(1) information on the underlying exposures on a quarterly basis, or, in the case of ABCP, information on the underlying receivables or credit claims on a monthly basis; (2) all underlying documentation essential for the understanding of the transaction, including but not limited to, where applicable, the following documents:
(a) the final offering document or the prospectus together with the closing transaction documents, excluding legal opinions; (b) for traditional securitisation, the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust; (c) the derivatives and guarantee agreements, as well as any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator;

FCA 2023/XX
(d) the servicing, back-up servicing, administration and cash management agreements; (e) the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value; (f) any relevant inter-creditor agreements, derivatives documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements; and (g) a detailed description of the priority of payments of the securitisation; (3) where section 85 of the Act (prohibition of dealing etc in transferable securities without approved prospectus) and rules made by the FCA for the purposes of Part 6 of the Act (official listing) do not require a prospectus to be drawn up, a transaction summary or overview of the main features of the securitisation, including, where applicable:
(a) details regarding the structure of the deal, including the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure; (b) details regarding the exposure characteristics, cash flows, loss waterfall, credit enhancement and liquidity support features; (c) details regarding the voting rights of the holders of a securitisation position and their relationship to other secured creditors; and (d) a list of all triggers and events referred to in the documents provided in accordance with SECN 6.2.1R(2) that could have a material impact on the performance of the securitisation position; (4) in the case of STS securitisations, the STS notification referred to in SECN 2.5; (5) quarterly investor reports, or, in the case of ABCP, monthly investor reports, containing the following:
(a) all materially relevant data on the credit quality and performance of underlying exposures; (b) information on events which trigger changes in the priority of payments or the replacements of any counterparties, and, in the case of a non-ABCP securitisation, data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation;

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(c) information about the risk retained, including information on which of the modalities provided for in SECN 5.2.15R has been applied, in accordance with SECN 5. (6) any inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of the Market Abuse Regulation; (7) where SECN 6.2.1R(6) does not apply, any significant event, such as:
(a) a material breach of the obligations provided for in the documents made available in accordance with SECN 6.2.1R(2), including any remedy, waiver or consent subsequently provided in relation to such a breach; (b) a change in the structural features that can materially impact the performance of the securitisation; (c) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (d) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or administrative actions; and (e) any material amendment to transaction documents.
6.2.2 R (1) The information described in SECN 6.2.1R(1) and SECN 6.2.1R(5)
must be made available simultaneously each quarter at the latest one month after the due date for the payment of interest or, in the case of ABCP transactions, at the latest one month after the end of the period the report covers. (2) The information described in SECN 6.2.1R(2), SECN 6.2.1R(3) and SECN 6.2.1R(4) must be made available before pricing in draft or initial form. Final versions of this information must be made available at the latest 15 days after closing of the transaction.
6.2.3 R In the case of ABCP, the information described in SECN 6.2.1R(1), SECN
6.2.1R(3)(b) and SECN 6.2.1R(5)(a) must be made available in aggregate form to holders of securitisation positions and, on request, to potential investors. Loan-level data must be made available to the sponsor and, on request, to the FCA.
6.2.4 R Without prejudice to the provisions of the Market Abuse Regulation, the
information described in SECN 6.2.1R(6) and SECN 6.2.1R(7) must be made available without delay.
6.2.5 R When complying with SECN 6.2.1R, the originator, sponsor and SSPE of a
securitisation must comply with the law applicable in the United Kingdom

FCA 2023/XX governing the protection of confidentiality of information and the processing of personal data in order to avoid potential breaches of such law as well as any confidentiality obligation relating to customer, original lender or debtor information.
6.2.6 R In particular, with regard to the information referred to in SECN 6.2.1R(2),
the originator, sponsor and SSPE may provide a summary of the documentation concerned.
6.2.7 R To the extent that providing information specified by Chapter 11 would
breach such laws or confidentiality obligations referred to in SECN 6.2.5R, the originator, sponsor and SSPE of a securitisation may provide that information in anonymised or aggregated form.
6.3 Designation relating to securitisation repository
6.3.1 R (1) The originator, sponsor and SSPE of a securitisation must choose
one of their number to be the entity responsible for fulfilling the information requirements under SECN 6.2.1R(1), SECN 6.2.1R(2), SECN 6.2.1R(4), SECN 6.2.1R(5), SECN 6.2.1R(6) and SECN 6.2.1R(7). (2) Such designation does not relieve the other parties referred to in SECN 6.3.1R of their responsibilities under SECN 6.2.
6.3.2 R (1) The entity designated in accordance with SECN 6.3.1R(1) must make
the information for a securitisation transaction available by means of a securitisation repository registered by the FCA. (2) The reporting entity and the securitisation repository must be indicated in the securitisation’s documentation.
6.3.3 R The obligations referred to in SECN 6.3.2R(1) and SECN 6.3.4R do not
apply to securitisations for which section 85 of the Act and rules made by the FCA for the purposes of Part 6 of the Act do not require a prospectus to be drawn up.
6.3.4 R (1) Where no securitisation repository is registered in accordance with
regulation 19 of the Securitisation Regulations, the entity designated to fulfil the requirements set out in SECN 6.2 must make the information available by means of a website that:
(a) includes a well-functioning data quality control system; (b) is subject to appropriate governance standards and to maintenance and operation of an adequate organisational structure that ensures the continuity and orderly functioning of the website; (c) is subject to appropriate systems, controls and procedures that identify all relevant sources of operational risk;

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(d) includes systems that ensure the protection and integrity of the information received and the prompt recording of the information; and (e) makes it possible to keep records of the information for at least 5 years after the maturity date of the securitisation. (2) Where the information is made available, the reporting entity and the securitisation repository must be indicated in the securitisation documentation.
6.4 Information to be disclosed
6.4.1 R SECN 11 specifies the information the originator, sponsor and SSPE must
provide in order to comply with their obligations under SECN 6.2.1R(1) and SECN 6.2.1R(5) taking into account the usefulness of information for the holder of the securitisation position, whether the securitisation position is of a short-term nature and, in the case of an ABCP transaction, whether it is fully supported by a sponsor.
6.5 Disclosure templates
6.5.1 R SECN 12 contains standardised templates specifying the format in which the
information in SECN 6.4.1R must be provided, to ensure uniform conditions of application. 7 Ban on re-securitisation
7.1 Application
7.1.1 G The rules in this chapter apply to originators, sponsors, SSPEs, and
institutional investors which are not PRA-authorised persons.
7.2 Securitisation positions as underlying exposures
7.2.1 R (1) The underlying exposures used in a securitisation must exclude
securitisation positions.
(2) (1) does not apply to:
(a) any securitisation, the securities of which were issued before 1 January 2019; and (b) any securitisation in respect of which the FCA has granted a permission or direction permitting the underlying exposures to include securitisation positions.
7.3 Fully supported ABCP programme
7.3.1 R A fully supported ABCP programme is not a re-securitisation for the
purposes of SECN 7, provided:

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(1) none of the ABCP transactions in that programme is a resecuritisation; and (2) the credit enhancement does not establish a second layer of tranching at the programme level. 8 Criteria for credit granting
8.1 Application
8.1.1 G This chapter applies to originators, sponsors and original lenders.
8.2 Granting of credit
8.2.1 R Originators, sponsors and original lenders must (other than in respect of
trade receivables not originated in the form of a loan) apply the same:
(1) sound and well-defined criteria for credit-granting; and (2) clearly established processes for approving and (where relevant) amending, renewing and refinancing credits, to exposures to be securitised and to any non-securitised exposures.
8.2.2 R Such credit-granting criteria need not be applied to trade receivables, which
are not originated in the form of a loan.
8.2.3 R Originators, sponsors and original lenders must have effective systems in
place to apply the criteria and processes contemplated in SECN 8.2.1R, to ensure credit-granting is based on a thorough assessment of the obligor’s creditworthiness, taking appropriate account of factors relevant to verifying the prospect of the obligor meeting their obligations under the credit agreement.
8.3 Verification arrangements
8.3.1 R If the underlying exposures of securitisations are residential loans made on
or after 20 March 2014, the pool of those loans must exclude any loan that is marketed and underwritten on the premise that the loan applicant or, where applicable, intermediaries were made aware that the information provided by the loan applicant might not be verified by the lender.
8.3.2 R If an originator purchases a third party’s exposures for its own account and
then securitises them, that originator must verify that the entity which was, directly or indirectly, involved in the original agreement which created the obligations or potential obligations to be securitised fulfils the requirements referred to in paragraph 1.
8.3.3 R SECN 8.3.2R does not apply if:
(1) the original agreement, which created the obligations or potential obligations of the debtor or potential debtor, was entered into before

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20 March 2014; and
(2) the originator that purchases a third party’s exposures for its own account and then securitises them meets the obligations that originator institutions were required to meet under Article 21(2) of Commission Delegated Regulation (EU) No 625/2014 before 1 January 2019. 9 Requirements on securitisation repositories
9.1 Application
9.1.1 G This chapter applies to securitisation repositories and trade repositories.
9.2 Registration conditions
9.2.1 R A registered securitisation repository must comply at all times with the
conditions for registration.
9.3 Availability of data
9.3.1 R Without prejudice to SECN 6.3, a securitisation repository must collect and
maintain details of the securitisation. It must provide direct and immediate access free of charge to the following entities to enable them to fulfil their respective responsibilities, mandates and obligations:
(1) the relevant authorities whose respective supervisory responsibilities and mandates cover transactions, markets, participants and assets which fall within the scope of SECN; (2) the Bank of England; (3) the FCA, the PRA and the Pensions Regulator; (4) investors and potential investors.
9.4 Format of applications for registration as a securitisation repository or for
extension of a registration of a trade repository
9.4.1 D Applicants for registration as a securitisation repository under regulation
15(1) of the Securitisation Regulations must complete the formats set out in SECN 9 Annex 1D.
9.4.2 D Trade repositories applying for an extension of registration under regulation
15(2) of the Securitisation Regulations must complete the formats set out in SECN 9 Annex 2D.
9.4.3 D For the purposes of SECN 9.4.1D and SECN 9.4.2D, the applications must be
submitted:
(1) in a durable medium; and

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(2) with a unique reference number assigned to each document in the application.
9.5 Operational standards for data collection, aggregation, comparison, access
and verification of completeness and consistency by securitisation repositories Interpretation
9.5.1 R For the purposes of SECN 9.5, ‘data cut-off date’ means the reference date of
the information reported in accordance with Chapter 11 of this Sourcebook. End-of-day report
9.5.2 R (1) Securitisation repositories must produce, on a daily basis, a single
aggregate end-of-day report for all securitisations reported to them, excluding any reported securitisation that has been rejected in accordance with SECN 9.5.4R(7). That report must be based on the most recent reported information, must exclude any reported securitisation that has been rejected in accordance with SECN 9.5.4R(7) and must include at least the following information:
(a) the unique identifier assigned in accordance with SECN 11.12.1R; (b) the ISIN codes of the tranches, bonds or subordinated loans of the securitisation, where available; (c) the sum of current principal balances of all tranches, bonds or subordinated loans of the securitisation, in GBP, using the exchange rates published on the website of the Bank of England for the previous working day; (d) the securitisation name; (e) whether the securitisation is an ABCP transaction, an ABCP programme or a non-ABCP securitisation; (f) whether the securitisation structure type is type ‘M’ for a Master Trust as reported in field SESS9 of 11 Annex 14R or type ‘s’ for all other securitisations; (g) whether the securitisation risk transfer method is ‘T’ for a true sale as reported in field IVSS11 of 11 Annex 12R or ‘S’ for a synthetic securitisation as reported in field SESV11 of 11
Annex 14R, or ‘ABCP’ for ABCP transactions or ABCP
programmes;
(h) the name and legal entity identifiers (LEI) of the originator, sponsor and SSPE;

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(i) the most recent interest payment date in ISO 8601 date format; (j) the timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the most recent data submission received by the securitisation repository or, where there are multiple data submissions referenced against the same data cut-off date, the timestamps, in ISO 8601 date and time (UCT) format, of the earliest and most recent data submissions having the same data cut-off date; (k) the data cut-off date, in ISO 8601 date format, of the most recent data submission received by the securitisation repository; (l) the number of data submissions received by the securitisation repository that are referenced against the same data cut-off date set out in (k); (m) the data completeness score referred to in SECN 9.5.3R of the most recent data submission received by the securitisation repository; (n) for non-ABCP securitisations, the country of establishment of the originator or original lender; (o) for ABCP transactions or ABCP programmes, the country of establishment of the relevant sponsor of the ABCP programme; (p) the country where the majority of the underlying exposures is located, in terms of underlying exposure current principal balance; and (q) the most prevalent type of the underlying exposures in the securitisation, in terms of current principal balance. (2) For the purposes of (n), where the securitisation’s underlying exposures are a combination of exposures from multiple originators or original lenders, the country of establishment of the originator or original lender must be the country of establishment of the originator or original lender that has the largest amount of exposures in terms of current principal balance in the securitisation. (3) Securitisation repositories must make the end-of-day report available in XML format. (4) Timestamps referred to in SECN 9.5.2R must not diverge by more than one second from the UTC issued and maintained by one of the timing centres listed in the latest Bureau International des Poids et Mesures (BIPM) Annual Report on Time Activities. Scoring of completeness of data

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9.5.3 R Securitisation repositories must calculate a data completeness score for each
data submission by using the scoring matrix set out in Table 1 of SECN 9
Annex 3R and the following inputs:
Where:
denotes the total number of fields in a data submission containing the respective ‘No Data Option’ values that are reported in accordance with SECN 11.10.3R. N denotes the total number of fields in the data submission where any ‘No Data Option’ values (ND1 to ND4) are permitted to be reported in accordance with SECN 11.10.3R. For the purposes of calculating the data completeness score, fields completed using the format of ‘ND4-YYYY-MM-DD’ must be understood as ‘ND4’. Verification of completeness and consistency of information
9.5.4 R (1) Securitisation repositories must verify the completeness and
consistency of information reported to them by verifying the following:
(a) the name of the reporting entity, as reported in field IVSS4 of SECN 11 Annex 12R or in field IVAS3 of SECN 11 Annex 13R; and (b) whether the submission item code as reported in Table 3 of SECN 11 Annex 1R is correct. (2) With regard to the information referred to in SECN 6.2.1R(1), SECN 6.2.1R(5), SECN 6.2.1R(6) and SECN 6.2.1R(7), securitisation repositories must also verify the completeness and consistency of information by:
(a) verifying whether the information reported complies with the structure and format of the templates set out in SECN 12 Annex 2R to 15R; (b) comparing the information reported:
(i) across different fields for the same data cut-off date and the same underlying exposure, investor report, inside

FCA 2023/XX information or significant event information item; (ii) across different underlying exposures, investor report, inside information or significant event information items for the same field and the same data cut-off date; (iii) across the same underlying exposure, investor report, inside information or significant event information items for the same field and different data cut-off dates; and (iv) across similar securitisations; (c) verifying whether the data cut-off date of the information reported and the timestamp of the submission comply with SECN 11.11; (d) verifying that the ‘No Data Options’ set out in SECN 11.10.3R are only used where permitted and do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation. For ABCP transactions and ABCP programmes, references in (2) to underlying exposures must be construed as references to underlying exposure types. (3) Securitisation repositories must verify the completeness and consistency of the documentation made available to them under SECN 6.2.1R(2) by requesting from reporting entities a written confirmation of the following:
(a) that all items referred to in Table 3 of SECN 11 Annex 1R and required to be made available pursuant to SECN 6.2.1R(2) have been provided to the securitisation repository; and (b) that the documentation is consistent with the actual arrangements and features of the securitisation. (4) The written confirmation referred to in (3) must be requested within the following timeframes:
(a) within 5 working days of the first issuance of securities under the securitisation or, for ABCP transactions or ABCP programmes, within 5 working days of the first issuance of securities under the relevant ABCP programme; (b) every 12 months from the dates of the requests referred to in (a); (c) within 5 working days of a new document being made available pursuant to SECN 6.2.1R(2).

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(5) A securitisation repository that has not received a written confirmation within 14 days of the date of any request referred to in (3) must request the reporting entity to provide it with the written confirmation within 14 days. (6) Securitisation repositories must verify whether the STS notification referred to in SECN 6.2.1R(4), which has been made available to that securitisation repository, complies with the structure and format of the templates set out in SECN 2 Annex 4R, 5R and 6R. (7) A securitisation repository must reject a submission of information that is incomplete or inconsistent pursuant to (1), (2) and (5), except for (2)(b)(iii) and (2)(b)(iv). The securitisation repository must assign submissions rejected pursuant to this paragraph to one of the rejection categories set out in Table 2 of SECN 9 Annex 3R. (8) The securitisation repository must notify the entities referred to in SECN 9.3 without undue delay of the following:
(a) that the submitted information is incomplete or inconsistent pursuant to (2)(b)(iii) and (2)(b)(iv); and (b) that the securitisation repository has not received the written confirmation referred to in (3). (9) Within one hour of the receipt of the information referred to in SECN 6 securitisation repositories must provide reporting entities with detailed feedback on the results of the verifications performed under (1), (2), (3) and (5) including any rejection category assigned pursuant to (6). That feedback must also include at least the following:
(a) the unique identifier of the securitisation assigned in accordance with SECN 11.12.1R; (b) the item code(s) referred to in Table 3 of SECN 11 Annex 1R; and (c) the submission timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the information reported. (10) By 19.00.00 UTC each Monday, securitisation repositories must produce a report on all information rejected by it since 19.00.00 UTC on the previous Monday. That report must include at least the following items:
(a) the unique identifier of the securitisation assigned in accordance with SECN 11.12.1R; (b) the securitisation name;

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(c) the ISIN codes of the tranches or bonds or subordinated loans of the securitisation, where available; (d) the name and LEI of the originator, sponsor and SSPE; (e) the timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the submitted information; (f) the submission item code referred to in Table 3 of SECN 11
Annex 1R;
(g) the rejection category referred to in Table 2 of SECN 9 Annex 3R and the specific circumstances for assigning that rejection category; and (h) any explanation(s) provided by the reporting entity before
17.00.00 UTC on the Monday of the report publication date as
to why the reported information is incomplete or inconsistent, or as to why the written confirmation referred to in (3) has not been provided. Details of information to which access is to be granted
9.5.5 R The details of information referred to in SECN 9.3.1R are the following:
(1) all information received by the securitisation repository from reporting entities in accordance with SECN; (2) the end-of-day report referred to in SECN 9.5.2R, the data completeness score referred to in SECN 9.5.3R and any information resulting from the verifications carried out pursuant to SECN 9.5.4R; and (3) all formulae and calculation and aggregation methods used to produce the information referred to in (1) and (2). Terms and conditions for access to details of information
9.5.6 R (1) Access to the information referred to in SECN 9.5.5R must be granted
on request. The request for access must include the following information:
(a) the name of the requesting entity; (b) the contact person at the requesting entity; (c) the type of requesting entity as referred to SECN 9.3 that requests access; (d) the names of the persons at the requesting entity who will have access to the requested information;

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(e) credentials for secure SSH File Transfer Protocol connection as required by SECN 9.5.7R(2); (f) whether the request is an ad hoc or predefined periodic request; (g) the identification of the information requested based on any combination of the criteria in (4); and (h) any other technical information relevant to the requesting entity’s access. (2) For the purposes of (1), securitisation repositories must:
(a) designate a person or persons responsible for liaising with the entities referred to in SECN 9.3.1R; (b) publish on their website the terms and conditions for accessing the information and the instructions for submitting a request for accessing that information; (c) provide access only to the information specified in the request for access; and (d) as soon as possible, but no later than 30 days following a request to set up access to that information, establish the technical arrangements necessary to enable the entities referred to in SECN 9.3.1R to submit requests to access that information. (3) Access to the information referred to in SECN 9.5.5R must be granted within the following timeframes:
(a) no later than 19.00.00 UTC of the day to which the report relates for an ad hoc or predefined periodic request for an endof-day report as referred to in SECN 9.5.2R; (b) no later than 12.00.00 UTC on the first day following the day of receipt of the request for access where the information concerns a securitisation that has either not yet been priced or has not yet matured or has matured less than 1 year before the date on which the request was submitted; (c) no later than 3 working days following the day of receipt of the request for access where the information concerns a securitisation that has matured more than 1 year before the date on which the request was submitted; (d) no later than 3 working days following the day of receipt of the request for access where the information concerns several securitisations falling under both (b) and (c).

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(4) Securitisation repositories must grant the entities referred to in SECN 9.3.1R access to the information referred to in SECN 4, based on any combination of the following criteria:
(a) securitisation type:
(i) non-ABCP securitisation; or
(ii) ABCP transaction or ABCP programme; (b) securitisation structure type: either ‘M’ for Master Trust as reported in field SESS9 of SECN 11 Annex 14R or ‘S’ for all other securitisations; (c) securitisation risk transfer method: either type ‘Y’ for true sale as reported in field IVSS11 in SECN 11Annex12R, ‘Y’ for synthetic as reported in field SESV11 in SECN 11Annex14R, or ‘ABCP’ for ABCP transactions or ABCP programmes; (d) securitisation item code; (e) securitisation underlying exposure type; (f) securitisation underlying exposure section; (g) securitisation investor report template section; (h) securitisation inside information or significant event information template section; (i) identifier:
(i) unique identifier;
(ii) transaction identifier;
(iii) International Securities Identification Number; (iv) new or original tranche/bond identifier; (v) new or original underlying exposure identifier; (vi) new or original obligor identifier; (vii) originator legal entity identifier; (viii) sponsor legal entity identifier; (ix) SSPE legal entity identifier; (x) original lender legal entity identifier;

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(xi) CLO manager legal entity identifier; (j) geography:
(i) geographic region;
(ii) governing law;
(k) date and time:
(i) submission timestamp;
(ii) data cut-off date;
(iii) tranche/bond issue date;
(iv) tranche/bond legal maturity; (v) underlying exposure origination date; (vi) underlying exposure maturity date; (l) currency:
(i) tranche/bond currency;
(ii) underlying exposure currency denomination.
(5) Securitisation repositories must make the following information available using XML format:
(a) the information referred to in SECN 6.2.1R(1) and SECN 6.2.1(4) to (7); (b) the information produced by securitisation repositories in accordance with SECN 9.5.2R and SECN 9.5.4R, with the exception of written confirmations received under SECN 9.5.4R(3). Standards for data collection and access
9.5.7 R (1) Securitisation repositories must use electronic signature and data
encryption protocols to receive data from reporting entities or other securitisation repositories and to transfer data to the entities referred to in SECN 9.3. (2) For the purposes of (1), securitisation repositories must establish and maintain a secure machine-to-machine interface and make that interface available to the reporting entities and the entities referred to in SECN 9.3. That interface must make use of the SSH File Transfer Protocol.

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(3) Securitisation repositories must use standardised XML messages to communicate through the interface referred to in (2) and make the information set out in SECN 9.5.6R(5) available to the entities referred to in SECN 9.3. Recordkeeping
9.5.8 R (1) Securitisation repositories must record the following:
(a) verifications pursuant to this SECN 9, and any other validation carried out by the securitisation repository; (b) the written confirmations received by the securitisation repository referred to in SECN 9.5.4R(3); (c) the results provided by the securitisation repository to the reporting entity pursuant to SECN 9.5.4R(7); (d) any explanation provided by the reporting entity as to why the submitted information is incomplete or inconsistent, or as to why there is no written confirmation as referred to in SECN 9.5.4R(8); (e) in a reporting log, the details of any corrections or cancellations submitted by the reporting entity; and (f) any other information produced or submitted pursuant to SECN. (2) Each record must be retained for 10 years following the termination of the securitisation to which that record relates. (3) The reporting log referred to in SECN 9.5.8R(1)(d) must include the unique identifier of the securitisation, the item code, the timestamp of the affected submission, the timestamp of the changes and a clear description of the changes to the submitted information, including the previous and new contents of that information.
9.6 Details of the application for registration of a securitisation repository and
the details of the simplified application for an extension of registration of a trade repository Interpretation
9.6.1 D (1) For the purposes of SECN 9.6, the following definitions apply:
(a) ‘user’, in relation to a securitisation repository, means any of the following:
(i) any entity listed in SECN 9.3; (ii) any reporting entity in relation to that securitisation

FCA 2023/XX repository; or
(iii) any other client of the securitisation repository who uses core securitisation services provided by the securitisation repository; (b) ‘core securitisation services’ means services for which registration as a securitisation repository is required under SECN; (c) ‘ancillary securitisation services’ means services provided by a securitisation repository that are directly related to and arise from the delivery of core securitisation services provided by that securitisation repository; (d) ‘ancillary non-securitisation services’ means services that are neither core securitisation services nor ancillary securitisation services; (e) ‘senior management’ means the person or persons who effectively direct the business of the securitisation repository, and the executive member or members of its board. (2) For the purposes of SECN 9.6, the following expressions have the meaning given to that expression in Article 2 of EMIR:
(a) ‘group’;
(b) ‘parent undertaking’;
(c) ‘subsidiary’;
(d) ‘capital’;
(e) ‘close links’;
(f) ‘board’;
Identification, legal status and type of securitisation
9.6.2 D (1) An application for registration as a securitisation repository must
identify the applicant and the activities that the applicant intends to carry out for which registration as a securitisation repository is required. (2) For the purposes of SECN 9.6.2D(1), the application must contain the following:
(a) the corporate name of the applicant, its legal address within the United Kingdom and the corporate name and legal address of any subsidiaries and branches of the applicant;

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(b) the applicant’s legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation; (c) the uniform resource locator (URL) of the applicant’s website; (d) an excerpt from the relevant commercial or court register showing the place of incorporation and scope of business activity of the applicant, or some other form of certified evidence of the place of incorporation and scope of business activity of the applicant, valid in either case as at the date of the application for registration as a securitisation repository; (e) the securitisation types (ABCP transaction or non-ABCP securitisation), risk transfer methods (traditional securitisation or synthetic securitisation) and underlying exposure types (residential real estate, commercial real estate, corporate, leasing, consumer, automobile, credit card, esoteric) for which the applicant wishes to be registered; (f) whether the applicant is authorised or registered by the PRA or the FCA in the United Kingdom and, if so, any reference number(s) related to the authorisation(s) or registration(s); (g) the articles of incorporation or equivalent terms of establishment and, where relevant, other statutory documentation stating that the applicant is to conduct core securitisation services; (h) the name and contact details of the person(s) responsible for compliance, or any other staff involved in compliance assessments for the applicant, in relation to its provision of core securitisation services; (i) the name and contact details of the contact person for the purposes of the application; (j) the programme of operations, including the location of the main business activities of the applicant; (k) any ancillary securitisation or ancillary non-securitisation service that the applicant provides or intends to provide; and (l) any information on any pending judicial, administrative, arbitration or any other litigation proceedings irrespective of their type, that the applicant may be party to, particularly as regards tax and insolvency matters and where significant financial or reputational costs may be incurred, or any nonpending proceedings, that may still have any material impact on securitisation repository costs. (3) On request, the applicant must provide the FCA with additional

FCA 2023/XX information during the examination of the application for registration where such information is needed for the assessment of the applicant’s ability to comply with the applicable requirements of SECN and for the FCA to duly interpret and analyse the documentation to be submitted or already submitted. (4) Where an applicant considers that a requirement under SECN does not apply to it, it must clearly indicate that requirement in its application and explain why that requirement does not apply. Organisational chart
9.6.3 D (1) An application for registration as a securitisation repository must
contain a chart detailing the organisational structure of the applicant, including that of any ancillary securitisation services and of any ancillary non-securitisation services. (2) The chart referred to in (1) must include information about the identity of the person responsible for each significant role, including the identity of each member of its senior management and of persons who effectively direct the business of any subsidiaries and branches. Corporate governance
9.6.4 D (1) An application for registration as a securitisation repository must
contain information regarding the applicant’s internal corporate governance policies and the procedures and terms of reference which govern its senior management, including the board, its nonexecutive members and, where established, committees. (2) The information referred to in (1) must describe the selection process, appointment, performance evaluation and removal of senior management (3) Where the applicant adheres to a recognised corporate governance code of conduct, the application for registration as a securitisation repository must identify the code and provide an explanation for any situations where the applicant deviates from that code. Internal control
9.6.5 D (1) An application for registration as a securitisation repository must
contain detailed information about the internal control system of the applicant, including information regarding its compliance function, risk assessment, internal control mechanisms and the arrangements of its internal audit function. (2) The detailed information referred to in (1) must contain:
(a) the applicant’s internal control policies and the procedures to ensure the consistent and effective implementation of those

FCA 2023/XX policies;
(b) any policies, procedures and manuals for monitoring and evaluating the adequacy and effectiveness of the applicant’s systems; (c) any policies, procedures and manuals for controlling and safeguarding the applicant’s information processing systems; and (d) the identity of the internal bodies in charge of evaluating any internal control findings. (3) An application for registration as a securitisation repository must contain the following information with respect to the applicant’s internal audit activities:
(a) where there is an Internal Audit Committee, its composition, competences and responsibilities; (b) its internal audit function charter, methodologies, standards and procedures; (c) an explanation of how its internal audit function charter, methodology and procedures are developed and applied, taking into account the nature and extent of the applicant’s activities, complexities and risks; and (d) a work plan for the Internal Audit Committee for the 3 years following the date of application, focusing on the nature and extent of the applicant’s activities, complexities and risks. Conflicts of interest
9.6.6 D (1) An application for registration as a securitisation repository must
contain the following information on the policies and procedures put in place by the applicant to manage conflicts of interest:
(a) policies and procedures with respect to the identification, management, elimination, mitigation and disclosure of conflicts of interest without delay; (b) a description of the process used to ensure that the relevant persons are aware of the policies and procedures referred to in (a); (c) a description of the level and form of separation that exists between the various business functions within the applicant’s organisation, including a description of:

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(i) the measures taken to prevent or control the exchange of information between functions where a risk of a conflict of interest may arise; (ii) the supervision of those whose main functions involve interests that are potentially in conflict with those of a client; and (d) any other measures and controls put in place to ensure the policies and procedures referred to in (a) with respect to conflicts of interest management and the process referred to in (b) are followed. (2) An application for registration as a securitisation repository must contain an up-to-date inventory, at the time of the application, of existing and potential material conflicts of interest in relation to any core or ancillary securitisation services as well as any ancillary nonsecuritisation services provided or received by the applicant and a description of how those conflicts are, or will be, managed. The inventory must include conflicts of interest arising from the following situations:
(a) any situation where the applicant may realise a financial gain or avoid a financial loss, to the detriment of a client; (b) any situation where the applicant may have an interest in the outcome of a service provided to a client, which is distinct from the client’s interest in that outcome; (c) any situation where the applicant may have an incentive to prioritise its own interests or the interest of another user or group of users rather than the interests of the client to whom a service is provided; and (d) any situation where the applicant receives or may receive an incentive from any person other than the client, in relation to a service provided to the client, in the form of money, goods or services, but excluding incentives by way of commission or fees received for the service. (3) Where an applicant is part of a group, the inventory must include any existing and potential material conflicts of interest arising from other undertakings within the group and how those conflicts are being managed and mitigated. Ownership of the securitisation repository
9.6.7 D (1) An application for registration as a securitisation repository must
contain:
(a) a list containing the name of each person or entity who directly

FCA 2023/XX or indirectly holds 5% or more of the applicant’s capital or of its voting rights or whose holding makes it possible to exercise a significant influence over the applicant’s management; (b) a list of any undertakings in which a person referred to in (a) holds 5% or more of the capital or voting rights or over whose management they exercise a significant influence. (2) Where the applicant has a parent undertaking or an ultimate parent undertaking, the applicant must:
(a) identify the LEI registered with the Global Legal Entity Identifier Foundation, and legal address of the parent undertaking or the ultimate parent undertaking; (b) indicate whether the parent undertaking or ultimate parent undertaking is authorised or registered and subject to supervision and, when this is the case, state any reference number and the name of the responsible supervisory authority. Ownership chart
9.6.8 D (1) An application for registration as a securitisation repository must
contain a chart showing the ownership links within the applicant’s group, including between the ultimate parent undertaking, parent undertaking, subsidiaries and any other associated entities or branches. (2) The undertakings in the chart referred to in (1) must be identified by their full name, legal status, legal address and LEI registered with the Global Legal Entity Identifier Foundation. Policies and procedures
9.6.9 D Policies and procedures that are to be provided as part of an application for
registration as a securitisation repository must contain the following:
(1) evidence that the board approves the policies and that senior management approves the procedures and is responsible for the implementation and maintenance of those policies and procedures; (2) a description of how those policies and procedures are communicated within the applicant’s organisation, how compliance with those policies and procedures is ensured and monitored on a day-to-day basis, and who is responsible for compliance with those policies and procedures; (3) any records indicating that staff members (including those operating under any outsourcing arrangement) are aware of those policies and procedures;

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(4) a description of the measures to be taken in the event of a breach of those policies and procedures; (5) a description of the procedure for reporting to the FCA any material breach of the policies or procedures which may result in a breach of the conditions for registration; and (6) a description of the arrangements for notifying the FCA promptly of any planned material changes to the applicant’s information technology systems, before their implementation. Regulatory compliance
9.6.10 D An application for registration as a securitisation repository must contain the
following regarding the applicant’s policies and procedures for ensuring compliance with SECN:
(1) a description of the roles of the persons responsible for compliance and of any other staff involved in the compliance assessments, including a description of how the independence of the compliance function from the rest of the business is ensured; (2) the internal policies and procedures designed to ensure that the applicant, including its managers and employees, complies with SECN, including a description of the role of the board and senior management; (3) where available, the most recent internal report on compliance with SECN prepared by the persons responsible for such compliance or by any other staff involved in such compliance assessments within the applicant’s organisation. Staffing policies and procedures
9.6.11 D An application for registration as a securitisation repository must contain the
following:
(1) a copy of the remuneration policy for senior management, board members and for staff employed in risk and control functions of the applicant; (2) a description of the measures put in place by the applicant to mitigate the risk of overreliance on any individual employee. Information about the applicant’s staff members involved in the provision of core securitisation services
9.6.12 D An application for registration as a securitisation repository must contain the
following information about the applicant’s staff members involved in the provision of core securitisation services:

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(1) a general list of staff members directly employed by the applicant, including their role and qualifications per role; (2) a specific description of the information technology staff members directly employed to provide core securitisation services, including the role and the qualifications of each individual and written evidence of the information technology experience of at least 1 staff member responsible for information technology matters; (3) a description of the roles and qualifications of each individual who is responsible for internal audit, internal controls, compliance, risk assessment and internal review; (4) the identity of staff members and the identity of staff members who are operating under any outsourcing arrangement; and (5) details of training provided to staff members on the applicant’s policies and procedures as well as on the securitisation repository business, including any examination or other type of formal assessment required for staff members regarding the conduct of core securitisation services. Financial reports and business plans
9.6.13 D (1) An application for registration as a securitisation repository must
contain the following financial information:
(a) a complete set of financial statements of the applicant, prepared in conformity with:
(i) UK-adopted international accounting standards; or (ii) UK accounting standards as defined by section 464 of the Companies Act 2006; (b) where the financial statements of the applicant are subject to an audit of annual accounts or consolidated accounts insofar as required by the law of the United Kingdom, the financial statements must contain the audit report on the annual and consolidated financial statements; (c) where the applicant is audited, the name and the national registration number of the external auditor. (2) Where the financial information referred to in (1) is not available, an application for registration as a securitisation repository must contain the following information about the applicant:
(a) a pro-forma statement demonstrating proper resources and expected business status in the six months following registration as a securitisation repository;

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(b) an interim financial report where the financial statements are not yet available for the period of time required under the acts specified in (1); and (c) a statement of financial position, such as a balance sheet, income statement, changes in equity and of cash flows, a summary of accounting policies and other explanatory notes required under the acts specified in (1). (3) An application for registration as a securitisation repository must contain a financial business plan, containing different business scenarios for the provision of core securitisation services over a minimum 3-year reference period and including the following information for each scenario:
(a) the expected revenue from each of the following categories of service provided by the applicant, stated separately for each category:
(i) core securitisation services; (ii) ancillary securitisation services; (iii) core trade repository services of centrally collecting and maintaining the records of derivatives under EMIR; (iv) ancillary trade repository services that are directly related to and arising from centrally collecting and maintaining the records of derivatives under EMIR; (v) core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulations; (vi) ancillary trade repository services that are directly related to and arising from centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; (vii) combined ancillary services that are directly related to and arising from each of the following combinations of service:
(A) both core securitisation services and core trade repository services of centrally collecting and maintaining the records of derivatives under EMIR;

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(B) both core securitisation services and core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; (C) both core trade repository services of centrally collecting and maintaining the records of derivatives under EMIR and core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; (viii) any ancillary non-securitisation services, whether or not provided in the United Kingdom, that are subject to registration and to supervision by a public authority; (b) the number of securitisation transactions that the applicant expects to be made available to users listed in SECN 9.3; and (c) the fixed and variable costs for providing core securitisation services. (4) The different business scenarios identified in the financial business plan must include a base revenue scenario, positive and negative variations of at least 20% from that base revenue scenario, and positive and negative variations of at least 20% from the base expected number of securitisation transactions identified in the financial business plan. (5) An application for registration as a securitisation repository must contain the audited annual financial statements of any parent undertaking for the 3 financial years preceding the date of the application, where available. (6) An application for registration as a securitisation repository must contain the following information about the applicant:
(a) a description of any future plans for the establishment of subsidiaries and the location of those subsidiaries; and (b) a description of planned business activities, including business activities of any subsidiaries or branches. Information technology resources
9.6.14 D An application for registration as a securitisation repository must contain the
following information about information technology resources:
(1) a detailed description of the information technology system used by

FCA 2023/XX the applicant to provide core securitisation services, including a description of which information technology system will be used for which securitisation type and underlying exposure type as referred to in SECN 9.6.2D(2)(e); (2) the relevant business requirements, the functional and technical specifications, the storage capacity, the system scalability (both for performing its functions and handling increases in information to process and access requests), the maximum limits on the size of data submissions made in accordance with SECN 9.6, the architectural and technical design of the system, the data model and data flows and the operations and administrative procedures and manuals; (3) a detailed description of user facilities developed by the applicant in order to provide services to users; (4) the investment and renewal policies and procedures on information technology resources of the applicant, including the review and development cycle of the applicant’s systems and versioning and testing policies; (5) a document describing in detail how the applicant has implemented the reporting templates, via an Extensible Markup Language (XML) schema, set out in the Annexes to SECN 12, the Annexes to SECN 2.7 and any additional XML messages, using the specifications made available by the FCA; and (6) the policies and procedures for handling any changes to the reporting templates set out in the Annexes to SECN 12. Information collection and availability mechanisms
9.6.15 D (1) An application for registration as a securitisation repository must
contain:
(a) a detailed description of the procedure and of the resources, methods and channels that the applicant will use to ensure the timely, structured and comprehensive collection of data from reporting entities, including a copy of any reporting manual to be made available to reporting entities; (b) a description of the resources, methods and channels that the applicant will use to ensure direct and immediate access to the information referred to in SECN 11.3R to SECN 11.9R to the entities listed in SECN 9.3R, including a copy of any user manual and internal procedures that are needed for obtaining such access; and (c) a description of the procedures that the applicant will use to calculate the data completeness scores referred to in SECN 9.5.3R and a description of the resources, methods and channels

FCA 2023/XX that the applicant will use to ensure direct and immediate access to those data completeness scores to the entities listed in SECN
9.3 in accordance with that Section, including a copy of any
user manual and internal procedures that are needed for obtaining such access. (2) The detailed description referred to in SECN 9.6.15D(1)(a) must:
(a) distinguish between automated and manual resources, methods, and channels; and (b) where any of the resources, methods or channels are manual:
(i) describe how those resources, methods or channels are scalable as referred to in SECN 9.6.14D(2); and (ii) describe the specific procedures put in place by the applicant to ensure that those resources, methods and channels comply with SECN 9.6.24D. Ancillary services
9.6.16 D Where an applicant for registration as a securitisation repository, an
undertaking within the applicant’s group, or an undertaking with which the applicant has an agreement relating to core securitisation services, offers, or plans to offer, ancillary securitisation services or ancillary non-securitisation services, the application for registration must contain:
(1) a description of the ancillary securitisation services or ancillary nonsecuritisation services that the applicant, or the undertaking within its group, performs or plans to perform, and a description of any agreement that the applicant may have with undertakings offering any such services, as well as copies of those agreements; and (2) the procedures and policies that will ensure the necessary level of operational separation in terms of resources, systems, information and procedures between the applicant’s core securitisation services and any ancillary securitisation or ancillary non-securitisation services, irrespective of whether that service is provided by the applicant, an undertaking within its group, or any other undertaking with which it has an agreement. Senior management and members of the board
9.6.17 D (1) An application for registration as a securitisation repository must
contain the following information in respect of each member of the senior management:
(a) a copy of the member’s curriculum vitae, including the following information to the extent relevant in assessing the

FCA 2023/XX adequacy of the member’s experience and knowledge for the purposes of performing their responsibilities:
(i) an overview of the member’s post-secondary education; (ii) the member’s employment history with dates, identification of positions held and a description of the functions occupied; and (iii) any professional qualification held by the member, together with the date when that qualification was acquired and the status of any membership in a relevant professional body; (b) detailed information on knowledge and experience on securitisation matters and on IT management, operations and development; (c) details regarding any criminal convictions in connection with the provision of financial or data services or in relation to acts of fraud or embezzlement, in particular in the form of an official certificate, if available; (d) a declaration signed by the member that states whether they:
(i) have been convicted of any criminal offence in connection with the provision of financial or data services or in relation to acts of fraud or embezzlement; (ii) have been subject to any adverse decision in any proceedings of a disciplinary nature brought by a regulatory authority or government body or agency or is the subject of any such proceedings which are not concluded; (iii) have been subject to an adverse judicial finding in civil proceeding before a court in connection with the provision of financial or data services, or for impropriety or fraud in the management of a business; (iv) have been part of the board or senior management of an undertaking whose registration or authorisation was withdrawn by a regulatory body; (v) have been refused the right to carry on activities which require registration or authorisation by a regulatory body; (vi) have been part of the board or senior management of an undertaking which has gone into insolvency or liquidation, either while the member was connected to

FCA 2023/XX the undertaking or within a year of the member’s ceasing to be connected to the undertaking; (vii) have been part of the board or senior management of an undertaking which was subject to an adverse decision or penalty by a regulatory body; (viii) have been otherwise fined, suspended, disqualified, or been subject to any other sanction in relation to fraud, embezzlement or in connection with the provision of financial or data services, by a government or regulatory or professional body; and (ix) have been disqualified from acting as a director, disqualified from acting in any managerial capacity, or dismissed from employment or other appointment in an undertaking as a consequence of misconduct or malpractice; and (e) a declaration of any potential conflicts of interests that the member may have in performing their duties and how these conflicts are managed. Transparency of access rules
9.6.18 D (1) An application for registration as a securitisation repository must
contain:
(a) the policies and procedures pursuant to which different types of user will report and access the information centrally collected, produced and maintained in the securitisation repository, including any process for users to access, view, consult or modify the information maintained by the securitisation repository, as well as the procedures used to authenticate the identity of users accessing the securitisation repository; (b) a copy of the terms and conditions which determine the rights and obligations of the different types of user in relation to information maintained by the securitisation repository; (c) a description of the different categories of access available to users; (d) a detailed description of the access policies and procedures to ensure that users have non-discriminatory access to information maintained by the securitisation repository, including:
(i) any access restrictions;

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(ii) variations in access conditions or restrictions across reporting entities and across the different entities listed in SECN 9.3R; (iii) how the access policies and procedures ensure that access is restricted to the least possible extent and which procedures exist to question and reverse a restriction or denial of access; (e) a detailed description of the access policies and procedures pursuant to which other service providers have nondiscriminatory access to information maintained by the securitisation repository where the relevant reporting entity has provided its written, voluntary and revocable consent, including:
(i) any access restrictions;
(ii) variations in access conditions or restrictions; and (iii) how the access policies and procedures ensure that access is restricted to the least possible extent and which procedures exist to question and reverse a restriction or denial of access; and (f) a description of the channels and mechanisms to publicly disclose to potential and actual users the procedures by which those users may ultimately access the information maintained by the securitisation repository and to publicly disclose to potential and actual reporting entities the procedures by which they may ultimately make available information via the applicant. (2) The information referred to in (1)(a) to (d) must be specified for each of the following categories of user:
(a) staff and other personnel affiliated with the applicant, including within the same group; (b) originators, sponsors and SSPEs (as a single category); (c) the entities listed in SECN 9.3R; (d) other service providers; and (e) each other category of user identified by the applicant (with the information specified separately for each such category). Pricing policy transparency
9.6.19 D An application for registration as a securitisation repository must contain a

FCA 2023/XX description of the following:
(1) the applicant’s pricing policy, including any existing discounts, rebates and conditions to benefit from such reductions; (2) the applicant’s fee structure for providing core and ancillary securitisation services, including the estimated cost of each of those services, along with the details of the methods used to account for the separate cost that the applicant may incur when providing core securitisation services and ancillary securitisation services, as well as the fees charged by the applicant for transferring information to another securitisation repository and for receiving information transferred from another securitisation repository; and (3) the methods used by the applicant to make the information referred to in (1) and (2) publicly available, including a copy of the fee structure separated according to core securitisation services and, where these are provided, ancillary securitisation services. Operational risk
9.6.20 D (1) An application for registration as a securitisation repository must
contain:
(a) a detailed description of the resources available and procedures designed to identify and mitigate operational risk and any other material risk to which the applicant is exposed, including a copy of any relevant policies, methodologies, internal procedures and manuals drawn up for that purpose; (b) a description of the liquid net assets funded by equity to cover potential general business losses in order to continue providing core securitisation services as a going concern; (c) an assessment of the sufficiency of the applicant’s financial resources to cover the operational costs of a wind-down or reorganisation of the critical operations and services over a period of at least 9 months; (d) the applicant’s business continuity plan and a description of the policy for updating that plan, including:
(i) all business processes, resources, escalation procedures and related systems which are critical to ensuring the core securitisation services of the applicant, including any relevant outsourced service and including the applicant’s strategy, policy and objectives for the continuity of those processes;

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(ii) any arrangements in place with other financial market infrastructure providers including other securitisation repositories; (iii) the arrangements to ensure a minimum service level of the critical functions and the expected timing of the full recovery of those functions; (iv) the maximum acceptable recovery time for business processes and systems, taking into account the deadlines for reporting laid down in SECN 9.3 and the volume of information that the applicant needs to process within the quarterly period; (v) the procedures to deal with incident logging and reviews; (vi) a periodic testing programme, ensuring that sufficient tests will be carried out to cover an adequate range of possible scenarios, in the short and medium term, including but not limited to system failures, natural disasters, communication disruptions, loss of key staff and inability to use the premises regularly used and providing for the tests to identify how hardware, software and communications respond to potential threats, together with the results and follow-up actions resulting from any tests and those systems that have been shown to be unable to cope with the specific scenarios being tested; (vii) the number of alternative technical and operational sites available, their location, the resources of those sites when compared with the main site and the business continuity procedures in place in the event that alternate sites need to be used; (viii) information on access to a secondary business site to enable staff to ensure continuity of core securitisation services if a main office location is not available; (ix) plans, procedures and arrangements for handling emergencies and ensuring safety of staff; (x) plans, procedures and arrangements to manage crises, to coordinate the overall business continuity efforts and to determine their timely (within the recovery time objective set by the applicant) and effective activation, mobilisation and escalation capabilities; (xi) plans, procedures and arrangements to recover the applicant’s system, application and infrastructure

FCA 2023/XX components within the recovery time objective set by the applicant; (xii) details on staff training on the operation of the business continuity arrangements, and individuals’ roles in that regard, including specific security operations staff ready to react immediately to a disruption of services; (e) a description of the arrangements for ensuring the applicant’s core securitisation services in case of disruption and the involvement of its users and other third parties in those arrangements; (f) a description of the applicant’s arrangements for publishing on its website and promptly informing the FCA and other users of any service interruptions or connection disruptions as well as the time estimated to be needed to resume regular service; (g) a description of the applicant’s arrangements permitting its staff to continuously monitor in real-time the performance of its information technology systems. (2) An application for registration as a securitisation repository must include a copy of policies and procedures to ensure the orderly transfer of information to other securitisation repositories and the redirection of reporting flows to other securitisation repositories. Outsourcing
9.6.21 D (1) An application for registration as a securitisation repository must
demonstrate that, where an applicant arranges for activities to be performed on its behalf by third parties, including by undertakings with which it has close links, the applicant ensures that the third party has the ability and the capacity to perform those activities reliably and professionally. (2) The application for registration as a securitisation repository must specify or contain all of the following:
(a) a description of the scope of the activities to be outsourced as well as the detail and extent to which those activities are outsourced; (b) a copy of the relevant service level agreements with clear roles and responsibilities, metrics and targets for every key requirement of the applicant that is outsourced, the methods employed to monitor the service level of the outsourced functions and the measures or actions to be taken in the event of not meeting service level targets; (c) a copy of the contracts governing those service level agreements, including the identification of the third party

FCA 2023/XX service provider;
(d) a copy of any external reports on the outsourced activities, where available; (e) details of the organisational measures and policies with respect to outsourcing and the risks posed by it as specified in (4) (3) The application for registration must demonstrate that the outsourcing does not reduce the applicant’s ability to perform senior management or management body functions. (4) The application for registration as a securitisation repository must contain information sufficient to demonstrate how the applicant remains responsible for any outsourced activity and a description of the organisational measures taken by the applicant to ensure the following:
(a) that the third party service provider is carrying out outsourced activities effectively and in compliance with applicable laws and regulatory requirements and that the third party service provider adequately addresses identified failures; (b) the identification by the applicant of risks in relation to outsourced activities and the adequate periodic monitoring of those risks; (c) that there are adequate control procedures with respect to outsourced activities, including effective supervision of those activities and of their risks within the applicant; (d) the adequate business continuity of outsourced activities. (5) For the purposes of (4)(d), the applicant must provide information on the business continuity arrangements of the third party service provider, including the applicant’s assessment of the quality of those business continuity arrangements and, where needed, any improvements to those business continuity arrangements that have been requested by the applicant. (6) Where the third party service provider is supervised by a regulatory authority, the application for registration must also contain information demonstrating that the third party service provider cooperates with that authority in connection with outsourced activities. Security
9.6.22 D (1) An application for registration as a securitisation repository must
contain proof of the following:

FCA 2023/XX
(a) that its information technology systems are protected from misuse or unauthorised access; (b) that its information systems are protected against attacks; ‘information systems’ means a device or group of interconnected or related devices, one or more of which, pursuant to a programme, automatically processes computer data, as well as computer data stored, process, retrieved or transmitted by that device or group of devices for the purpose of its or their operation, use, protection and maintenance; (c) that unauthorised disclosure of confidential information is prevented; and (d) that the security and integrity of the information received by it under SECN is ensured. (2) The application must contain proof that the applicant has arrangements in place to identify and manage the risks referred to in (1) in a prompt and timely manner. (3) With respect to breaches in the physical and electronic security measures referred to in (1) and (2), the application must contain proof that the applicant has arrangements in place to do the following in a prompt and timely manner:
(a) notify the FCA of the incident giving rise to the breach; (b) provide the FCA with an incident report, indicating the nature and details of the incident, the measures adopted to cope with the incident and the initiatives taken to prevent similar incidents; (c) notify its users of the incident where they have been affected by the breach. Verification procedure
9.6.23 D (1) An application for registration as a securitisation repository must
contain a description of the policies and procedures the applicant has put in place to:
(a) authenticate the identity of the user accessing the applicant’s systems; (b) authorise and permit the recording of information received by the applicant under SECN for the relevant securitisation; (c) comply with SECN 9.5.2R to SECN 9.5.4R; (d) verify and highlight duplicate submissions;

FCA 2023/XX
(e) identify information not received by it where there is an obligation to make that information available under SECN 6.2. (2) The application must also contain documentation providing several detailed example test cases, including graphics, that demonstrate the applicant’s ability to comply with the obligations set out in (1). With regard to (1)(c) several detailed example test cases must be provided for each of the verifications listed in SECN 9.5.4R. Quality of information produced
9.6.24 D With respect to information produced by the applicant pursuant to SECN 9.5,
an application for registration as a securitisation repository must contain a detailed description of the procedures put in place by the applicant to ensure that it accurately makes available the information received from reporting entities, without itself introducing any errors or omitting information. Confidentiality
9.6.25 D (1) An application for registration as a securitisation repository must
contain a detailed description of the internal policies, procedures and mechanisms preventing:
(a) any use of the information maintained by the applicant for illegitimate purposes; (b) disclosure of confidential information; and (c) the commercial use of information maintained by the applicant where such use is prohibited. (2) The description referred to in (1) must contain a description of the internal procedures on staff permissions for using passwords to access the information, specifying the staff purpose and the scope of the information being viewed and any restrictions on the use of information. (3) Applicants must provide the FCA with information on the processes to keep a log identifying each staff member accessing the information maintained by the applicant, the time of access, the nature of the information accessed and the purpose. Record-keeping policy
9.6.26 D (1) An application for registration as a securitisation repository must
contain the following information:
(a) the record-keeping systems, policies and procedures that are used in order to ensure that the information made available by a reporting entity under SECN by means of the applicant is recorded and maintained by the applicant in accordance with

FCA 2023/XX
Article 80(3) of EMIR, as applied by regulation 15(3) of the
Securitisation Regulations;
(b) a detailed description of the record-keeping systems, policies and procedures that are used in order to ensure that information made available by a reporting entity under SECN by means of the applicant is modified appropriately and in accordance with relevant legislative or regulatory requirements; and (c) information about the receipt and administration of information made available by a reporting entity under SECN by means of the applicant, including a description of any policies and procedures put in place by the applicant to ensure the following:
(i) the timely and accurate recording of the information received; (ii) the record-keeping of all information received that relates to the receipt, modification or termination of a securitisation transaction in a reporting log; (iii) that the information is maintained both online and offline; and (iv) that the information is adequately copied for business continuity purposes. (2) The application for registration must also include the applicant’s policies and procedures to promptly record, and maintain for at least 10 years following the termination of the securitisation, the verifications, validations and information produced by the applicant under SECN 9.5. Payment of fees
9.6.27 D An application for registration as a securitisation repository must contain
proof of payment of the registration fees referred to in FEES. Verification of the accuracy and completeness of the application
9.6.28 D (1) Any information submitted to the FCA during the registration process
must be accompanied by a letter signed by a member of the board of the applicant and a member of the applicant’s senior management, attesting that the information submitted is accurate and complete to the best of their knowledge, as of the date of submission. (2) The information must also be accompanied, where relevant and available, with the relevant corporate legal documentation certifying the accuracy of the application information.

FCA 2023/XX
Information requirements for a registered trade repository seeking to provide core securitisation services
9.6.29 D (1) An application under regulation 15(2) of the Securitisation
Regulations for an extension of registration for the purposes of SECN 6 must contain the information and documentation required by the following provisions:
(a) SECN 9.6.2D, except SECN 9.6.2D(2)(d); (b) SECN 9.6.3D; (c) SECN 9.6.5D, except SECN 9.6.5D(2)(d); (d) SECN 9.6.6D; (e) SECN 9.6.9D; (f) SECN 9.6.10D(2); (g) SECN 9.6.12D; (h) SECN 9.6.13D(2); (i) SECN 9.6.14D, SECN 9.6.15D and SECN 9.6.16D; (j) SECN 9.6.17D(1)(b) and SECN 9.6.17D(1)(e); (k) SECN 9.6.18D – SECN 9.6.24D; (l) SECN 9.6.25D(2); (m) SECN 9.6.26D, SECN 9.6.27D and SECN 9.6.28D. (2) Information and documentation required by any provisions of SECN
9.6 that are not covered by (1) must be included in an application
only insofar as there is a difference in the content of that particular information or documentation as at the time when the application is made, compared with the content as last provided to the FCA most recently before that time under Chapter 1 of Title VI of EMIR or
Chapter III of the Securities Financing Transactions Regulation, as
applicable.
(3) For the purposes of this section, references in- SECN 9.6.2D(3), SECN 9.6.2D(4) and in SECN 9.6.3D to SECN 9.6.28D to an application for registration must be taken to include reference to an application for an extension of registration.

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9 Annex Applications for registration as a securitisation repository 1D
Table 1: General Information
Date of application
Corporate name of securitisation repository Place of incorporation and scope of business activity Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation Legal address of the securitisation repository Legal address of any subsidiaries of the securitisation repository Legal address of any branches of the securitisation repository Uniform resource locator (URL) of the securitisation repository’s website The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered If the applicant is authorised or registered in the United Kingdom, the reference number related to the authorisation or registration Name of the person(s) responsible for the application Contact details of the person(s) responsible for the application Name of person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository) Contact details of the person(s) responsible for the securitisation repository compliance, or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services Name of any parent undertaking LEI registered with the Global Legal Entity Identifier Foundation of any parent undertaking Legal address of any parent undertaking

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Table 2: Document references
For all information required in SECN 9.6D, except SECN 9.6.2D(1) (a), (b), (c), (e), (f), (h) and (i) and SECN 9.6.7D (2) Provision of Commission SECN 9.6.1D – SECN 9.6.29D containing the information requirement to which the document relates Unique reference number of document Title of the document
Chapter or section or page of the
document where the information is provided or reason why the information is not provided

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Table 1: General Information
Date of application
Date of registration of the applicant as a trade repository Corporate name of securitisation repository Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation Legal address of the securitisation repository Legal address of any subsidiaries of the securitisation repository Legal address of any branches of the securitisation repository Uniform resource locator (URL) of the securitisation repository’s website Legal Entity Identifier (LEI) registered with the Global Legal Entity Identifier Foundation The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered If the applicant is authorised or registered in the United Kingdom, the reference number related to the authorisation or registration Name of the person(s) responsible for the application Contact details of the person(s) responsible for the application Name of person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services) Contact details of the person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository) 9 Annex Applications from trade repositories applying for an extension of 2D registration

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Table 2: Document references
(For all information required in SECN 9.6 with the exception of SECN 9.6.2D (2)(a) – (c), (f), (h), (i) and SECN 9.6.7D (2) Provision of SECN 9.6.1D – 9.6.29D containing the information requirement to which the document relates Unique reference number of document Title of the document
Chapter or section or page of
the document where the information is provided or reason why the information is not provided

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9 Annex Scoring of completeness of data and rejection categories 3R
Table 1: Data completeness scoring matrix
Input 1: Percentage of fields entered as "ND1" Input 1 = 0 % 0 % < Input 1 ≤ 10 % 10 % < Input 1 ≤ 30 % Input 1 > 30 % Input 2: Per centage of fields entered as "ND2", "ND3", or "ND4- YYYYMMDD" Input 2 = 0 % A1 B1 C1 D1 0 % < Input 2 ≤ 20 % A2 B2 C2 D2 20 % < Input 2 ≤ 40 % A3 B3 C3 D3 Input 2 > 40 % A4 B4 C4 D4
Table 2: Rejection categories
Rejection categories Reason
Schema The submission of information has been rejected because of a noncompliant schema. Permission The submission of information has been rejected because the reporting entity has not been granted permission to report on behalf of the originator, sponsor or SSPE. Logical The submission of information has been rejected because the item code does not match the available values in Table 3 of SECN 11
Annex 1R.
Business The submission of information has been rejected because the data submission does not comply with one or more content validations. Representativeness The submission of information has been rejected pursuant to SECN 9.5.4(7)R.

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10 Requirements on third party verifiers
10.1 Application
10.1.1 G This chapter applies to third party verifiers.
10.3 Identification of the third party
10.3.1 D (1) An application for registration as referred to in regulation 30(6) of the
Securitisation Regulations must contain the following information, to the extent relevant:
(a) the corporate name of the third party and its legal form; (b) the third party’s Legal Entity Identifier (LEI) or, where not available, another identifier required by United Kingdom law; (c) the third party’s legal address as well as the addresses of any of its offices whether within the United Kingdom or in a third country; (d) the Uniform Resource Locator (URL) of the third party’s website; (e) an excerpt from a relevant commercial or court register, or another form of certified evidence, valid at the date of application, confirming the place of incorporation and the scope of business activity of the third party; (f) the articles of incorporation of the third party, or other statutory documentation, stating that the third party is to assess the compliance of securitisations against the STS criteria; (g) the most recent annual financial statements of the third party, including individual and consolidated financial statements, where available, and where the financial statements of the third party are subject to a statutory audit as required by the law of the United Kingdom, the audit report on these financial statements; (h) the name, title, address, email address and the telephone number(s) of the contact person for the purposes of the application; (i) the list of types of securitisation for which the third party intends to provide STS compliance services, distinguishing between non-ABCP securitisations and ABCP transactions/ABCP programmes; (j) a description of any services, other than providing STS compliance services, that the third party provides or intends to

FCA 2023/XX provide; and
(k) a list of parties to whom the third party provides (or intends to provide) advisory, audit or equivalent services.
10.3.2 D An application for registration must include the following documentation as
attachments:
(1) a list containing the name and business address of each person or entity that holds 10% or more of the third party’s capital or 10% or more of its voting rights, or the holding of which makes it possible to exercise a significant influence over the third party, together with:
(a) the percentage of the capital and voting rights held, and, where applicable, a description of the arrangements enabling the person or entity to exercise a significant influence over the third party’s management; and (b) the nature of the business activities of the persons and entities referred to in (1)(a); (2) a list containing the name and business address of any entity in which a person or entity referred to in (1) holds 20% or more of the capital or voting rights and a description of that entity’s activities; and (3) a completed copy of the table set out in Table 1: Document references.
Table 1: Document references
Provision of SECN
Unique reference number of document Title of the document
Chapter or section or page of the
document where the information is provided or reason why the information is not provided
10.3.3 D Where the third party has a parent undertaking, the application referred to in
SECN 10.3.1D must state whether the immediate parent undertaking or ultimate parent undertaking is authorised, registered or subject to supervision, and where this is the case, state any associated reference number and the name of the responsible supervisory authority.
10.3.4 D Where the third party has subsidiaries or branches, the application for
registration must identify the names and business addresses of those subsidiaries or branches and must describe the areas of business activities of

FCA 2023/XX each subsidiary or branch.
10.3.5 D An application for registration must include a chart showing the ownership
links between the third party and:
(1) its parent undertaking;
(2) its ultimate parent undertaking; (3) its subsidiaries and affiliates; and (4) any other persons and entities associated with or connected with a network.
10.3.6 D The chart in SECN 10.3.5D must identify those undertakings by their full
name, the LEI or, where not available, another identifier required under the law, legal form and business address in the United Kingdom.
10.4 Composition of the management body and the organisational structure
10.4.1 D The application referred to in SECN 10.3 must include the third party’s
internal governance policies and the terms of procedure which govern its management body, its independent directors and, where established, the committees or substructures of its management bodies.
10.4.2 D The application referred to in SECN 10.3 must identify the members of the
management body, including independent directors and, where applicable, the members of committees or other substructures set-up within that management body. For each member of the management body, including its independent directors, the application must describe the position held within the management body, the responsibilities allocated to that position and the time that will be devoted to fulfilling those responsibilities.
10.4.3 D The application referred to in SECN 10.3 must contain a chart detailing the
organisational structure of the third party, which clearly identifies the roles of each member of the management body of that third party. Where the third party provides or intends to provide other services than STS compliance services, the organisational chart must detail the identity and responsibility of the members of the management body in respect of those services.
10.4.4 D The application referred to in SECN 10.3 must contain the following
information in respect of each member of the management body:
(1) a copy of each member’s curriculum vitae, including:
(a) an overview of the member’s relevant education; (b) the member’s complete employment history with relevant dates, positions held and a description of the positions occupied; (c) any professional qualification held by the member, together

FCA 2023/XX with the date of acquisition and, where applicable, the status of any membership in a relevant professional body; (2) details of any criminal convictions, in particular in the form of an official criminal record certificate; (3) a declaration signed by the member, stating whether they:
(a) have been subject to an adverse decision in any proceedings of a disciplinary nature brought by a regulatory authority, government body, agency or professional body; (b) have been subject to an adverse judicial finding in civil proceedings before a court, including for impropriety or fraud in the management of a business; (c) have been part of the management body (board or senior management) of an undertaking whose registration or authorisation was withdrawn by a regulatory authority, government body, or agency; (d) have been refused the right to perform activities which require registration or authorisation by a regulatory authority, government body, agency, or professional body; (e) have been a member of the management body of an undertaking that has gone into insolvency or liquidation, either while they were part of that undertaking’s management body or within a year of him or her ceasing to be a member of that management body; (f) have been a member of the management body of an undertaking which has been subject to an adverse decision or penalty by a regulatory authority, government body, agency, or professional body; (g) as a consequence of misconduct or malpractice, have been disqualified from acting as a director, disqualified from acting in any managerial capacity, or dismissed from employment or other appointment in an undertaking; (h) have been otherwise fined, suspended, disqualified, or been subject to any other sanction, including in relation to fraud or embezzlement, by a regulatory authority, government body, agency, or professional body; (i) are subject to any current investigation, or pending judicial, administrative, disciplinary or other proceedings, including relation to fraud or embezzlement by a regulatory authority, government body, agency, or professional body;

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(j) have been part of the management body (board or senior management) of an undertaking whose registration or authorisation was withdrawn by a regulatory authority, government body, or agency; (k) have been refused the right to perform activities which require registration or authorisation by a regulatory authority, government body, agency, or professional body; (l) have been a member of the management body of an undertaking that has gone into insolvency or liquidation, either while they were part of that undertaking’s management body or within a year of them ceasing to be a member of that management body; (4) a signed declaration of any potential conflict of interest that the member may have in performing their duties and how those conflicts will be managed, including an inventory of any positions held in other undertakings; (5) where not already included in (1), a description of the member’s knowledge of and experience in the tasks relevant for the third party’s provision of STS compliance services, and in particular, knowledge of and experience in different types of securitisation or securitisations of different underlying exposures.
10.4.5 D The application referred to in SECN 10.3 must contain the following, in
respect of each independent director:
(1) evidence of the director’s independence within the management body; (2) disclosures of any past or present business, employment or other relationship that creates or might create a potential conflict of interest; and (3) disclosures of any business, family or other relationship with the third party, its controlling shareholder or the management of either, that creates or might create a conflict of interest.
10.5 Corporate governance
10.5.1 D Where the third party adheres to a corporate governance code of conduct for
the appointment and role of the independent directors and the management of conflicts of interest, the application referred to in SECN 10.3 must identify that code and provide an explanation for any deviation by the third party from that code.
10.6 Independence and avoidance of conflicts of interest
10.6.1 D The application referred to in SECN 10.3 must contain detailed information

FCA 2023/XX about the applicant’s internal control systems for the management of conflicts of interest, including a description of the third party’s compliance function and its risk assessment arrangements.
10.6.2 D The application referred to in SECN 10.3 must contain information about the
policies and procedures for the identification, management, elimination, mitigation and disclosure of existing or potential conflicts of interest and threats to the independence of the third party’s provision of STS compliance services.
10.6.3 D The application referred to in SECN 10.3 must contain a description of any
other measures and controls applied to ensure the proper and timely identification, management and disclosure of conflicts of interest.
10.6.4 D The application referred to in SECN 10.3 must contain an up-to-date
inventory of any potential or existing conflicts of interest identified by the third party in accordance with regulation 30(2)(f) of the Securitisation Regulations, and must include:
g (1) a description of any actual or potential conflicts of interest involving the third party, shareholders, owners or members of the third party, members of the management body, managers, staff of the third party or any other natural person whose services are placed at the disposal or under the control of the third party; and (2) a description of any actual or potential conflicts of interest arising from existing or envisaged business relationships of the third party, including any existing or envisaged outsourcing arrangements or from the third party’s other activities.
10.6.5 D The application referred to in SECN 10.3 must provide details on policies or
procedures that aim to ensure that the third party does not provide any form of advisory, audit or equivalent services to the originator, sponsor, or the SSPE involved in the securitisation whose STS compliance the third party assesses.
10.6.6 D The application referred to in SECN 10.3 must provide details on the
following:
(1) revenue from other non-STS related services provided by the third party, disaggregated into the revenue from non-securitisation-related services and the revenue from securitisation-related services, over each of the 3 annual reporting periods preceding the date of submission of the application, or where not available, since the incorporation of the third party; and (2) the projected proportion of revenue from STS compliance services compared with the total projected revenue for the forthcoming 3 years’ reference period.
10.6.7 D The application referred to in SECN 10.3 must include, where applicable, the

FCA 2023/XX following information on the concentration of revenue from a single undertaking or a group of undertakings:
(1) information identifying any undertaking, or any group of economically connected undertakings, that provided more than 10% of the third party’s total revenue over each of the 3 annual reporting periods preceding the date of the submission of the application or, where not available, since the incorporation of the third party; and (2) a statement whether an undertaking, or a group of economically connected undertakings, is projected to provide at least 10% of the third party’s projected revenue from the provision of STS compliance services over each of the next 3 years.
10.6.8 D Where applicable, the application referred to in SECN 10.3 must contain an
assessment of how a concentration of revenue from a single undertaking or a group of economically connected undertakings identified in SECN 10.6.7D is compatible with the third party’s policies and procedures on the independence of the STS compliance services referred to in SECN 10.6.2D.
10.7 Fee structure
10.7.1 D The application referred to in SECN 10.3 must contain information on the
pricing policies for providing the STS compliance services and must include all of the following:
(1) pricing criteria and a fee structure or a fee schedule for the STS compliance services for each type of securitisation for which such services are offered (distinguishing non-ABCP securitisations from ABCP transactions and ABCP programmes), including any internal guidelines or procedures governing how the pricing criteria are used to determine or set individual fees; (2) details of the methods used to record any specific costs incurred when providing STS compliance services, including additional incidental expenses related to the provision of STS compliance services, including transport and accommodation, and, where the third party intends to outsource parts of its provision of STS compliance services, a description as to how that outsourcing is to be taken into account in the pricing criteria; (3) a detailed description of any established procedures for the modification of fees or for departing from the fee schedule, including under any frequent use programme; (4) a detailed description of any established procedures or internal controls which ensure and monitor compliance with the pricing policies, including any procedures or internal controls which monitor the development of individual fees over time and across different customers to which STS compliance services are provided;

FCA 2023/XX
(5) a detailed description of any processes for reviewing and updating both the costing system and pricing policies; and (6) a detailed description of any procedures and internal controls for maintaining records relating to fee schedules, individual fees applied, or modifications to the third party’s pricing policies.
10.7.2 D The application referred to in SECN 10.3 must provide information on the
following:
(1) whether the fees are set in advance of the provision of the STS compliance service; (2) whether prepaid fees are non-refundable; and (3) any operational safeguards aimed at ensuring that contractual agreements between the third party and an originator, sponsor or SSPE for the provision of STS compliance services exclude a contractual termination clause or provide for breach of the contract or non-performance of the contract where the result of the STS compliance assessment demonstrates that the securitisation does not comply with the STS criteria.
10.8 Operational safeguards and internal processes to assess STS compliance
10.8.1 D The application referred to in SECN 10.3 must include a detailed summary of
any policies, procedures and manuals on the controls and operational safeguards established to ensure the independence of the third party’s assessment of STS compliance and the integrity of its assessment.
10.8.2 D The application referred to in SECN 10.3 must contain any information that
demonstrates that the third party has established operational safeguards and internal processes to enable it to properly assess STS compliance, including the following:
(1) a description of any measures established by the third party to mitigate the risk of over-reliance on any individual staff members for providing STS compliance services; (2) details on the policies and procedures established by the third party regarding:
(a) the independence of individual staff members; (b) the termination of employment contracts, including any measures to ensure the independence and integrity of the STS assessment process associated with the termination of the employment, including policies and procedures related to negotiating future employment contracts with other undertakings for staff directly involved in the STS assessment;

FCA 2023/XX
(c) the qualification requirements for staff directly involved in providing STS compliance activities, distinguished by position type; (d) training and development policies for staff directly involved in the provision of STS compliance services; (e) the performance evaluation and compensation policies of staff directly involved in STS compliance services; (3) a description of any measures established by the third party to mitigate the risk of over-reliance on any individual staff members for providing STS compliance services; (4) the following information where the third party relies, in any STS assessment, on outsourcing or external experts:
(a) details on any policies and procedures with regards to the outsourcing of activities and the engagement of external experts; (b) a description of any outsourcing arrangements entered into or envisaged by the third party, accompanied by a copy of the contracts governing those outsourcing arrangements; (c) a description of the services to be provided by the external expert, including the scope of those services and the conditions under which those services should be rendered; and (d) a detailed explanation of how the third party intends to identify, manage and monitor any risks posed by outsourcing and a description of the safeguards put in place to ensure independence of the STS assessment process; (5) a description of any measures to be used in the event of a breach of any of the policies or procedures referred to in SECN 10.8.2D(2) and SECN 10.8.2D(4)(a); (6) a description of any policies on the reporting to the FCA of any material breach of the policies or procedures referred to in SECN 10.8.2D(2) and SECN 10.8.2D(4)(a) or any other fact, event or circumstance which is likely to amount to a breach of the conditions of the authorisation of the third party; and (7) a description of any arrangements established to ensure that the relevant persons are aware of the policies and procedures referred to in SECN 10.8.2D(2) and SECN 10.8.2D(4)(a), and a description of any arrangement relating to the monitoring, review and updating of those policies and procedures.
10.8.3 D The application referred to in SECN 10.3 must contain the following for each

FCA 2023/XX securitisation type for which the third party intends to provide STS compliance services:
(1) a description of the STS assessment methodology to be applied, including any procedures and methodology for the quality assurance of that assessment; and (2) a template of the STS verification report to be provided to the originator, sponsor or the SSPE.
10.9 Format of the application
10.9.1 D (1) A third party must allocate a unique reference number to each
document it submits to the FCA as part of its application. (2) A third party must include a substantiated explanation in its application for any requirement of this Chapter considered nonapplicable.
10.9.2 D The application referred to in SECN 10.3 must be accompanied by a letter
signed by a member of the third party’s management body confirming that:
(1) the submitted information is accurate and complete to the best of their knowledge, as of the date of the submission of the application; and (2) the applicant is neither a regulated entity as defined in point (4) of
Article 2 of Directive 2002/87/EC, nor a credit rating agency as
defined in Article 3(1)(b) of the CRA Regulation. 11 Information and the details of a securitisation, which the originator, sponsor and SSPE must make available
11.1 Application
11.1.1 G This chapter applies to originators, sponsors and SSPEs.
11.1.2 R The requirements specified in SECN 11.3 to SECN 11.5 and SECN 11.10 to
SECN 11.14 apply to all securitisations.
11.1.3 R The requirements specified in SECN 11.6 to SECN 11.9 apply to
securitisations for which section 85 of the Act and rules made by the FCA for the purposes of Part 6 of the Act require a prospectus to be drawn up.
11.2 Interpretation
11.2.1 R (1) For the purposes of SECN 11, the following definitions apply:
(a) ‘data cut-off date’ means the reference date of the information being reported in accordance with SECN 11; (b) ‘active underlying exposure’ means an underlying exposure which, at the data cut-off date, may be expected to generate

FCA 2023/XX cash inflows or outflows in the future; (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; (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; (e) ‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buyto-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. (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. (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. (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.
11.3 Information on underlying exposures
11.3.1 R (1) The information to be made available for a non-ABCP securitisation
pursuant to SECN 6.2.1R(1) is specified in:
(a) SECN 11 Annex 2R for loans to private households secured by residential real estate, regardless of the purpose of those loans; (b) SECN 11 Annex 3R for loans for the purposes of acquiring commercial real estate or secured by commercial real estate; (c) SECN 11 Annex 4R for corporate underlying exposures, including underlying exposures to micro, small- and mediumsized enterprises;

FCA 2023/XX
(d) SECN 11 Annex 5R for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles; (e) SECN 11 Annex 6R for consumer underlying exposures; (f) SECN 11 Annex 7R for credit card underlying exposures; (g) SECN 11 Annex 8R for leasing underlying exposures; (h) SECN 11 Annex 9R for underlying exposures that do not fall within any of the categories set out in (a) to (g). (2) For the purposes of (1)(a), residential real estate means any immovable property, available for dwelling purposes (including buyto-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate. (3) For the purposes of (1)(b), commercial real estate means any incomeproducing real estate, either existing or under development, and excludes social housing and property owned by end-users. (4) 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.
11.3.2 R (1) Except 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) Where the pool of underlying exposures for a non-ABCP securitisation is comprised entirely of 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) Except in the circumstances contemplated in (2), where the pool of underlying exposures for a non-ABCP securitisation is comprised entirely of leasing underlying exposures, the information specified in SECN 11 Annex 8R must be provided in respect of the entire pool.
11.3.3 R The reporting entity for a non-performing exposure securitisation must make
available the information specified in:
(1) the Annexes referred to in SECN 11.3.1R(1)(a) to (h), as relevant to the underlying exposure type;

FCA 2023/XX
(2) SECN 11 Annex 10R.
11.3.4 R For 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) 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) (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; (b) credit impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 as contained in UK-adopted international accounting standards; (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 (d) financial assets accounted for as credit-impaired under UK generally accepted accounting principles.
11.3.5 R The reporting entity for an ABCP transaction must make available the
information specified in SECN 11 Annex 11R.
11.3.6 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.3.1 to SECN 11.3.4 and the required information under SECN 11.3.5.
11.3.7 R The information to be made available pursuant to SECN 11.3must be on:
(1) active underlying exposures as at the data cut-off date; (2) inactive underlying exposures that were active underlying exposures at the immediately preceding data cut-off date.
11.4 Information on investor reports
11.4.1 R The reporting entity for a non-ABCP securitisation must make available the
information on investor reports specified in SECN 11 Annex 12R.
11.4.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the information on investor reports specified in SECN 11

FCA 2023/XX
Annex 13R.
11.4.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.4.1 and the required information under SECN 11.4.2.
11.5 Information granularity
11.5.1 R (1) The reporting entity must make available the information specified in
SECN 11 Annexes 2R to 10R and 12R on the following:
(a) underlying exposures, in relation to each individual underlying exposure; (b) collateral, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:
(i) the underlying exposure is secured by a guarantee; (ii) the underlying exposure is secured by physical or financial collateral; (iii) the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor; (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; (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; (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; (f) tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties. (2) For the purposes of SECN 11.5.1R(1)(a) and (d), securitised loan parts must be treated as individual underlying exposures. (3) For the purposes of SECN 11.5.1R(1)(b), each property acting as security for loans referred to in regulation 3(1) of the Securitisation Regulations must be treated as a single item of collateral.
11.5.2 R The reporting entity must make available the information specified in SECN

FCA 2023/XX
11 Annexes 11R and 13R on the following:
(1) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date; (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) 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; (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 11Annex 11R.
11.6 Item codes
11.6.1 R 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.
11.7 Inside information
11.7.1 R The reporting entity for a non-ABCP securitisation must make available the
inside information specified in SECN 11 Annex 14R.
11.7.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the inside information specified in SECN 11 Annex 15R.
11.7.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.7.1R and the required information under SECN 11.7.2R.
11.8 Information on significant events
11.8.1 R The reporting entity for a non-ABCP securitisation must make available the
information on significant events specified in SECN 11 Annex 14R.
11.8.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the information on significant events specified in SECN 11
Annex 15R.
11.8.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.8.1 and the required

FCA 2023/XX information under SECN 11.8.2R.
11.9 Information granularity
11.9.1 R The reporting entity must make available the information specified in SECN
11 Annex 14R on the following:
(1) 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) accounts, for each account in the securitisation; (3) counterparties, for each counterparty in the securitisation; (4) where the securitisation is a synthetic non-ABCP securitisation:
(a) synthetic coverage, for as many protection arrangements as exist in the securitisation; (b) issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement; (5) where the securitisation is a Collateralised Loan Obligation (CLO) non-ABCP securitisation:
(a) the CLO manager, for each CLO manager in the securitisation; (b) the CLO securitisation.
11.9.2 R For the purposes of SECN 11.9.1R(4)(b), each asset for which an
International Securities Identification Number 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.
11.9.3 R The reporting entity must make available the information specified in SECN
11 Annex 15R on the following:
(1) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date; (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) 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

FCA 2023/XX
11.10
11.10.
11.10.
11.10.
11.10. has been assigned and for each subordinated loan in the ABCP
programme;
(4) accounts, for each account in each ABCP transaction; (5) counterparties, for each counterparty in each ABCP transaction. Information completeness and consistency R The information made available pursuant to SECN 6 and this Chapter must be complete and consistent. R Where 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. R 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) 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) 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) 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) 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 at which the required information will be made available; (5) value ‘ND5’, where the required information is not applicable to the item being reported. R (1) For 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) 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.

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11.11 Information timeliness
11.11. R Where a securitisation is a non-ABCP securitisation, the information made
1 available pursuant to this Chapter must not have a data cut-off date later than two months before the submission date.
11.11. R Where a securitisation is an ABCP transaction or ABCP programme:
(1) the information specified in SECN 11 Annex 11R and in the ‘transaction information section’ in SECN 11 Annexes 13R and 15R must not have a data cut-off date later than two months before the submission date; (2) the information specified in all sections of SECN 11 Annexes 13R and 15R other than the ‘transaction information section’ must not have a data cut-off date later than one month before the submission date.
11.12 Unique identifiers
11.12. R Each securitisation must be assigned a unique identifier composed of the
1 following elements, in sequential order:
(1) the Legal Entity Identifier of the reporting entity; (2) the letter ‘A’ where the securitisation is an ABCP programme or the letter ‘N’ where the securitisation is a non-ABCP securitisation; (3) the 4-digit year corresponding to:
(a) the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation; or (b) the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP programme; (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.
11.12. R Each ABCP transaction in an ABCP programme must be assigned a unique
2 identifier composed of the following elements, in sequential order:
(1) the Legal Entity Identifier of the reporting entity; (2) the letter ‘T’;

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(3) the 4-digit year corresponding to the first closing date of the ABCP transaction; and (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.
11.12. R Unique identifiers must not be amended by the reporting entity.
11.13 Classifications reporting
11.13. R The information relating to the System of Accounts classification must be
1 made available using the codes set out in Table 1 of SECN 11 Annex 1R.
11.13. R The information relating to the Servicer Watchlist classifications must be
2 made available using the codes set out in Table 2 of SECN 11 Annex 1R.

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In this Annex, all the text is new and is not underlined. Classifications reporting and item codes
Annex
1R
Table 1: System of Accounts Secure Codes
Sectors Sub-sectors SA Code
Nonfinancial corporations
Public non-financial corporations S.11001 National private non-financial corporations S.11002 Foreign controlled non-financial corporations S.11003 Monetary financial institutions (MFIs) Central bank S.121 Public deposit-taking corporations except the central bank S.12201 National private deposit-taking corporations except the central bank S.12202 Foreign controlled deposit-taking corporations except the central bank S.12203 Public money market funds (MMFs) S.12301 National private money market funds (MMFs) S.12302 Foreign controlled money market funds (MMFs) S.12303 Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs) Public non-MMF investment funds S.12401 National private non-MMF investment funds S.12402 Foreign controlled non-MMF investment funds S.12403 Public other financial intermediaries, except insurance corporations and pension funds S.12501 National private other financial intermediaries, except insurance corporations and pension funds S.12502 Foreign controlled other financial intermediaries, except insurance corporations and pension funds S.12503 Public financial auxiliaries S.12601 National private financial auxiliaries S.12602

FCA 2023/XX
Table 1: System of Accounts Secure Codes
Sectors Sub-sectors SA Code
Foreign controlled financial auxiliaries S.12603 Public captive financial institutions and money lenders S.12701 National private captive financial institutions and money lenders S.12702 Foreign controlled captive financial institutions and money lenders S.12703 ICPFs Public insurance corporations S.12801 National private insurance corporations S.12802 Foreign controlled insurance corporations S.12803 Public pension funds S.12901 National private pension funds S.12902 Foreign controlled pension funds S.12903 Other General government S.13 Central government (excluding social security funds) S.1311 State government (excluding social security funds) S.1312 Local government (excluding social security funds) S.1313 Social security funds S.1314 Households S.14 Employers and own-account workers S.141+S.142 Employees S.143 Recipients of property and transfer income S.144 Recipients of property income S.1441 Recipients of pensions S.1442 Recipients of other transfers S.1443 Non-profit institutions serving households S.15

FCA 2023/XX
Table 1: System of Accounts Secure Codes
Sectors Sub-sectors SA Code
Member States of the European Union S.211 Institutions and bodies of the European Union S.212 Non-member countries and international organisations nonresident in the European Union S.22

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Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 1A Delinquent P&I payment 2 payments behind Arrears cleared and loan is current. Remain on Watchlist for 2 quarters/periods 1B Delinquent insurance renewal or forced placed coverage 30 days overdue Receipt of proof of satisfactory insurance 1C Interest Coverage Ratio below dividend trap.

Interest Coverage
Ratio < required loan covenant
(cash trap or default level);
Interest Coverage
Ratio < 1.00 on a loan by loan basis Interest Coverage Ratio above threshold 1D Debt Service Coverage Ratio absolute level
Debt Service
Coverage Ratio <
1.00;
Debt Service
Coverage Ratio <
1.20 for
healthcare and lodging;
or on a loan by
loan basis
Debt Service Coverage
Ratio above threshold
1E Debt Service Coverage
Ratio decreases from
‘Securitisation Date’
Debt Service Coverage
Ratio < 80% of the
‘Securitisation Date’
Debt Service Coverage
Ratio
Debt Service Coverage
Ratio above threshold.
Remain on Watchlist for
2 quarters/periods
1F Defaulted, matured, or discovery of previous undisclosed subordinate lien including mezzanine loan. When notice received by servicer Default has been cured or subordinate debt approved by servicer 1G Any unplanned draw on a letter of credit, debt service reserve, or Any occurrence on a loan by loan basis. After funds or Letter of Credit replaced if required by the

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Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold working capital to pay debt service documents otherwise after two Interest Payment Dates with no further draws 2A Absolute required repairs reserved for at closing, or otherwise disclosed to servicer, but not completed by due date If required repair is not completed with 60 days following the due date (including extensions approved by the Servicer) and it is the lesser of 10 % of the unpaid principal balance or €250,000 Satisfactory verification that repairs have been completed 2B Any required spending plan deficiencies (i.e.:
capex, FF&E)
Any knowledge of deficiency that adversely affects the performance or value of property; on a loan by loan basis/material (> 5 % of loan outstanding balance) When plan deficiencies are cured 2C Occurrence of any trigger event in the mortgage loan documents. (e.g. required loan pay down, posting of additional reserves, minimum thresholds breached, etc.) Any occurrence Cure of the event that required action under the mortgage documents 2D Verification of financial performance. Unsatisfactory or nondelivery of tenancy schedules or operating statements, etc. Any occurrence for 6 months or greater Cure of the event that required action under the mortgage documents 2E Operating licence or franchise agreement default When notice received by servicer New franchise or licence in place, or default under franchise or licence has been cured –Relationship agreement

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Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 2F Borrower/owner/sponsor bankruptcy or similar event (e.g. insolvency arrangement/proceedings, bankruptcy, receivership, liquidation, company voluntary arrangement (CVA)/individual voluntary arrangement (IVA)), becomes the subject of winding up order bankruptcy petition or other. When notice received by servicer Retain on Watchlist until Interest Payment Date following cure. 3A(i) Inspection reveals poor condition Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI) In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed 3A(ii) Inspection reveals poor accessibility Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI) In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed 3B Inspection reveals harmful environmental issue Any occurrence In Servicer’s discretion that property deficiencies cured 3C Properties affected by major casualty or compulsory purchase proceeding affecting future cash flows, value/blight/caution. When servicer becomes aware of issue and it affects > 10 % of value or €500,000 In Servicer’s discretion that all necessary repairs have been completed satisfactorily or that condemnation proceedings have been completed and the asset can perform satisfactorily 4A Overall property portfolio occupancy decrease 20 % less than ‘Securitisation Date’ level; on a loan by loan basis When condition no longer exists

FCA 2023/XX
Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 4B Any 1 tenant or combination of TOP 3 TENANTS (based on gross rental) with leases > 30 % expiring within the next 12 months. Only applies to office, industrial and retail. When condition no longer exists or Servicer’s discretion. 4C Major tenant lease or leases that are in default, terminated or are dark (Not occupied, but rent being paid)

30 % Net Rental
Income
When condition no longer exists, or Servicer’s discretion. 5A Pending loan maturity < 180 days until maturity Loan is paid off.

FCA 2023/XX
Table 3: Item types and codes
Item type Article(s) of
Regulation (EU)
2017/2402
Item code
Underlying exposures or underlying receivables or credit claims 7(1)(a) 1 Investor report 7(1)(e) 2 Final offering document; prospectus; closing transaction documents, excluding legal opinions 7(1)(b)(i) 3 Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust 7(1)(b)(ii) 4 Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator 7(1)(b)(iii) 5 Servicing; back-up servicing; administration and cash management agreements 7(1)(b)(iv) 6 Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value 7(1)(b)(v) 7 Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements 7(1)(b)(vi) 8 Any other underlying documentation that is essential for the understanding of the transaction 7(1)(b) 9 Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402 7(1)(d) 10 Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with
Article 17 of Regulation (EU) No 596/2014 of the European
Parliament and of the Council
7(1)(f) 11
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach; (ii) a change in the structural features that can materially impact the 7(1)(g) 12

FCA 2023/XX
Table 3: Item types and codes
Item type Article(s) of
Regulation (EU)
2017/2402
Item code performance of the securitisation; (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where the competent authority has taken remedial or administrative actions; (v) any material amendment to transaction documents.

FCA 2023/XX
11 Annex Underlying Exposures Information – Residential Real Estate (RRE) 2R Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Underlying exposures information section RREL1 Unique Identifier The unique identifier assigned by the reporting entity in accordance with
Article 11(1) of Commission
Delegated Regulation (EU)
2020/1224.
NO NO
RREL2 Original
Underlying
Exposure
Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO RREL3 New Underlying Exposure Identifier If the original identifier in field RREL2 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 RREL2. The reporting entity must not amend this unique identifier. NO NO RREL4 Original Obligor Identifier Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO RREL5 New Obligor Identifier If the original identifier in field RREL4 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 RREL4. The reporting entity must not amend this unique identifier. NO NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREL6 Data Cut-Off
Date
The data cut-off date for this data submission.
NO NO
RREL7 Pool Addition
Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of:
(i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. NO YES RREL8 Date Of Repurchase Date on which the underlying exposure was repurchased from the pool. NO YES RREL9 Redemption Date Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. NO YES RREL10 Resident Is the primary obligor a resident of the country in which the collateral and underlying exposure reside? YES NO RREL11 Geographic Region – Obligor The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in RREL12 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? day, should be used for new exposures acquired after IP completion day. RREL12 Geographic Region Classification Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3
2013. 2016 should be entered for new
exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. YES NO RREL13 Employment Status Employment status of the primary obligor:

Employed –– Private Sector
(EMRS)
Employed –– Public Sector
(EMBL)
Employed –– Sector Unknown
(EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is
Legal Entity (NOEM)
Student (STNT)
YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Pensioner (PNNR)
RREL14 Credit
Impaired
Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to its non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and (ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? the first subparagraph of
Article 7(1) explicitly sets
out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; (b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or (c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. RREL15 Customer Type Customer type at origination:

New customer and not an
employee/affiliated with the originator’s group (CNEO) YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

New customer and an
employee/affiliated with the originator’s group (CEMO)
New customer and
employee/affiliation not recorded (CNRO)
Existing customer and not an
employee/affiliated with the originator’s group (ENEO)
Existing customer and an
employee/affiliated with the originator’s group (EEMO)
Existing customer and
employee/affiliation not recorded (ENRO)
Other (OTHR)
RREL16 Primary
Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO RREL17 Primary Income Type Indicate what income in RREL16 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax
and social security) (NITS)
Net annual income (net of tax
only) (NITX)
Net annual income (net of
social security only) (NTIN)
YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Estimated net annual income
(net of tax and social security)
(ENIS)
Estimated net annual income
(net of tax only) (EITX)
Estimated net annual income
(net of social security only)
(EISS)
Disposable Income (DSPL)
Borrower is legal entity
(CORP)
Other (OTHR)
RREL18 Primary
Income
Currency
Currency in which the primary obligor’s income or revenue is paid. YES NO RREL19 Primary Income Verification Primary Income Verification:
Self-certified no Checks
(SCRT)
Self-certified with
Affordability Confirmation
(SCNF)
Verified (VRFD)
Non-Verified Income or Fast
Track (NVRF)
Credit Bureau Information or
Scoring (SCRG)
Other (OTHR)
YES NO
RREL20 Secondary
Income
Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligor is a legal person/entity, enter that obligor’s annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? combined income across all obligors in this field. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL21 Secondary Income Verification Income Verification for secondary income:

Self-certified no Checks
(SCRT)
Self-certified with
Affordability Confirmation
(SCNF)
Verified (VRFD)
Non-Verified Income or Fast
Track (NVRF)
Credit Bureau Information or
Scoring (SCRG)
Other (OTHR)
YES NO
RREL22 Special
Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. YES YES RREL23 Origination Date Date of original underlying exposure advance. YES NO RREL24 Maturity Date The date of maturity of the underlying exposure or expiry of the lease. NO YES RREL25 Original Term Original contractual term (number of months) at the origination date. YES YES RREL26 Origination Channel Origination channel of the underlying exposure:
Office or Branch Network
(BRAN)
Central or Direct (DRCT)
YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Broker (BROK)
Internet (WEBI)
Package (TPAC)
Third Party Channel but
Underwriting Performed
Entirely by the Originator
(TPTC)
Other (OTHR)
RREL27 Purpose The reason for the obligor taking out the loan:
Purchase (PURC)
Remortgage (RMRT)
Renovation (RENV)
Equity Release (EQRE)
Construction (CNST)
Debt Consolidation (DCON)
Remortgage with Equity
Release (RMEQ)
Business Funding (BSFN)
Combination Mortgage
(CMRT)
Investment Mortgage (IMRT)
Right to Buy (RGBY)
Government Sponsored Loan
(GSPL)
Other (OTHR)
YES NO
RREL28 Currency
Denomination
The underlying exposure currency denomination.
NO NO
RREL29 Original
Principal
Balance
Original underlying exposure balance (inclusive of fees). This is referring to the balance of the underlying exposure at the underlying YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL30 Current Principal Balance Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts. Current balance includes the principal arrears. However, savings amount is to be deducted if a sub-participation exists. (i.e. underlying exposure balance = underlying exposure +/- sub-participation; +/- 0 if no subparticipation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL31 Prior Principal Balances Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES RREL32 Pari Passu Underlying Exposures Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? this pool). If there are no balances ranking pari passu, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL33 Total Credit Limit For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL34 Purchase Price Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. NO YES RREL35 Amortisation Type Type of amortisation of the underlying exposure including principal and interest.

French –– i.e. Amortisation in
which the total amount – principal plus interest – repaid YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? in each instalment is the same.
(FRXX)

German –– i.e. Amortisation in
which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule ––
i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet –– i.e. Amortisation in
which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
RREL36 Principal
Grace Period
End Date
If applicable as at the data cut-off date, indicate the principal grace period end date. NO YES RREL37 Scheduled Principal Payment Frequency Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO YES
RREL38 Scheduled
Interest
Payment
Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Other (OTHR)
RREL39 Payment Due This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL40 Debt To Income Ratio Debt defined as the amount of underlying exposure outstanding as of data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are
part of the principal in the
securitisation these are to be added.
Excluding any interest arrears or penalty amounts. Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income. YES YES RREL41 Balloon Amount Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES RREL42 Interest Rate Type Interest rate type:
Floating rate underlying
exposure (for life) (FLIF)
Floating rate underlying
exposure linked to one index that will revert to another index in the future (FINX) NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Fixed rate underlying exposure
(for life) (FXRL)
Fixed with future periodic
resets (FXPR)
Fixed rate underlying exposure
with compulsory future switch to floating (FLCF)
Floating rate underlying
exposure with floor (FLFL)
Floating rate underlying
exposure with cap (CAPP)
Floating rate underlying
exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
RREL43 Current
Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. NO YES RREL44 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)
NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

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)
RREL45 Current
Interest Rate
Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

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)
RREL46 Current
Interest Rate
Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. NO YES RREL47 Interest Rate Reset Interval Number of months between each interest rate reset date on the underlying exposure. NO YES RREL48 Interest Rate Cap Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES RREL49 Interest Rate Floor Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES RREL50 Revision Margin 1 The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. RREL51 Interest Revision Date Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). YES YES RREL52 Revision Margin 2 The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. YES YES RREL53 Interest Revision Date Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. This is not the next LIBOR/EURIBOR/index reset date). YES YES RREL54 Revision Margin 3 The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
(e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin. RREL55 Interest Revision Date Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). YES YES RREL56 Revised Interest Rate Index Next interest rate index

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)
YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

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)
RREL57 Revised
Interest Rate
Index Tenor
Tenor of the next 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)
YES YES
RREL58 Number Of
Payments
Before
Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation. YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREL59 Percentage Of
Prepayments
Allowed Per
Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of prepayments (i.e. 10 %) before charges are incurred. YES YES RREL60 Prepayment Lock-Out End Date The date after which the lender allows prepayment of the underlying exposure. YES YES RREL61 Prepayment Fee Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL62 Prepayment Fee End Date The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. YES YES RREL63 Prepayment Date The latest date on which an unscheduled principal payment was received. YES YES RREL64 Cumulative Prepayments Total prepayments collected as at the data cut-off date (prepayments is defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREL65 Date Of
Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. YES YES RREL66 Date Last In Arrears Date the underlying exposure was last in arrears. YES YES RREL67 Arrears Balance Current balance of arrears, which is defined as:

Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the
account
LESS total payments received
to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO RREL68 Number Of Days In Arrears Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. NO NO RREL69 Account Status Current status of the underlying exposure that has been securitised:
Performing (PERF)
NO NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Restructured - No Arrears
(RNAR)
Restructured - Arrears (RARR)
Defaulted according to Article
178 of Regulation (EU) No
575/2013 (DFLT)
Not defaulted according to
Article 178 of Regulation (EU)
No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to
Article 178 of Regulation (EU)
No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another
definition of default (DADB)
Arrears (ARRE)
Repurchased by Seller -
Breach of Representations and
Warranties (REBR)
Repurchased by Seller -
Defaulted (REDF)
Repurchased by Seller -
Restructured (RERE)
Repurchased by Seller -
Special Servicing (RESS)
Repurchased by Seller - Other
Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. RREL70 Reason for Default or Foreclosure If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is
unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is
more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is
considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) YES YES RREL71 Default Amount Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL72 Default Date The date of default. NO YES RREL73 Allocated Losses The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL74 Cumulative Recoveries Total recoveries (regardless of their source) on the (defaulted/chargedoff/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL75 Litigation Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this is to be re-set to N). NO YES RREL76 Recourse Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure? YES YES RREL77 Deposit Amount The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL78 Insurance Or Investment Provider Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures). YES YES RREL79 Original Lender Name Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREL80 Original
Lender Legal
Entity
Identifier
Provide the L (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. YES YES RREL81 Original Lender Establishment Country Country where the original lender is established. YES YES RREL82 Originator Name Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO NO RREL83 Originator Legal Entity Identifier Provide the L (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. NO NO RREL84 Originator Establishment Country Country where the underlying exposure originator is established. NO NO Collateral-level information section RREC1 Unique Identifier Report the same unique identifier here as the one entered into field RREL1. NO NO RREC2 Underlying Exposure Identifier Unique identifier for each underlying exposure. This must match field RREL3. NO NO RREC3 Original Collateral Identifier The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The NO NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? reporting entity must not amend this unique identifier. RREC4 New Collateral Identifier If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier. NO NO RREC5 Collateral Type The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle
(NACM)
Nautical Leisure Vehicle
(NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment
(ENEQ)
Commercial Building (CBLD)
NO NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory
(OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to
Security Over All Assets of the
Obligor (MIXD)
Other (OTHR)
RREC6 Geographic
Region –
Collateral
The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. YES YES RREC7 Occupancy Type Type of property occupancy:
Owner Occupied i.e. owned by
a private household with the purpose of providing shelter to its owner (FOWN)
Partially Owner Occupied (A
property which is partly rented) (POWN) YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?

Non-Owner Occupied or BuyTo-Let (TLET)
Holiday or Second Home
(HOLD)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. RREC8 Lien Highest lien position held by the originator in relation to the collateral. If the collateral being reported is not property collateral, enter ND5. YES YES RREC9 Property Type Property type:
Residential (House, detached
or semi-detached) (RHOS)
Residential (Flat or Apartment)
(RFLT)
Residential (Bungalow)
(RBGL)
Residential (Terraced House)
(RTHS)
Multifamily House (properties
with more than four units securing one underlying exposure) (MULF)
Partial Commercial use
(property is used as a residence as well as for commercial use where less than 50 % of its value derived from commercial use, e.g. doctor’s surgery and house) (PCMM)
Commercial or Business Use
(BIZZ)
Land Only (LAND)
Other (OTHR)
NO YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
If the collateral being reported is not property collateral, enter ND5. RREC10 Energy Performance Certificate Value The energy performance certificate value of the collateral at the time of origination:

A (EPCA)
B (EPCB)
C (EPCC)
D (EPCD)
E (EPCE)
F (EPCF)
G (EPCG)
Other (OTHR)
YES YES
RREC11 Energy
Performance
Certificate
Provider
Name
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. YES YES RREC12 Current LoanTo-Value Current loan to Value ratio (LTV). For non-first lien loans this is the combined or total LTV. Where the current loan balance is negative, enter 0. If the collateral being reported is not property collateral, enter ND5. YES YES RREC13 Current Valuation Amount The most recent valuation of the collateral as assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the collateral can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of collateral; if such real estate value index is also not YES YES

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed? available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral. If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator. If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREC14 Current Valuation Method The method of calculating the most recent value of the collateral, as provided in RREC13:

Full, internal and external
inspection (FIEI)
Full, only external inspection
(FOEI)
Drive-by (DRVB)
Automated Value Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate
Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREC15 Current
Valuation
Date
The date of the most recent valuation, as provided in RREC13. YES YES RREC16 Original Loan-ToValue Originator’s original underwritten loan To Value ratio (LTV). For nonfirst lien loans, this is the combined or total LTV. If the collateral being reported is not property collateral, enter ND5. YES YES RREC17 Original Valuation Amount The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO RREC18 Original Valuation Method The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:

Full, internal and external
inspection (FIEI)
Full, only external inspection
(FOEI)
Drive-by (DRVB)
Automated Value Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate
Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO

FCA 2023/XX
Field code
Field name Content to report ND1- ND4 allowed?
ND5 allowed?
RREC19 Original
Valuation
Date
The date of original valuation of the collateral, as provided in RREC17. YES NO RREC20 Date Of Sale The date of sale of the foreclosed collateral. YES YES RREC21 Sale Price Price achieved on sale of collateral in case of foreclosure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREC22 Collateral Currency This is the currency in which the valuation amount provided in RREC13 is denominated. NO YES RREC23 Guarantor Type Guarantor Type:

No Guarantor (NGUA)
Individual – Family Relation
(FAML)
Individual – Other (IOTH)
Government (GOVE)
Bank (BANK)
Insurance Product (INSU)
Nationale Hypotheek Garantie
Guarantee Scheme (NHGX)
Fonds de Garantie de
l’Accession Sociale (FGAS)
Caution (CATN)
Other (OTHR
YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE)
Annex
3R
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Underlying exposures information section CREL1 Unique Identifier The unique identifier assigned by the reporting entity in accordance with
Article 11(1) of Delegated Regulation
(EU) 2020/1224
NO NO
CREL2 Original
Obligor
Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CREL3 New Obligor Identifier If the original identifier in field CREL2 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 CREL2. The reporting entity must not amend this unique identifier. NO NO CREL4 Original Underlying Exposure Identifier Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CREL5 New Underlying Exposure Identifier If the original identifier in field CREL4 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 CREL4. The reporting entity must not amend this unique identifier. NO NO CREL6 Data Cut-Off Date The data cut-off date for this data submission. NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL7 Pool Addition Date The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. NO YES CREL8 Date Of Restructuring Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. YES YES CREL9 Date Of Repurchase Date on which the underlying exposure was repurchased from the pool. NO YES CREL10 Date Of Substitution If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution. NO YES CREL11 Redemption Date Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. NO YES CREL12 Geographic Region – Obligor The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CREL13 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. CREL13 Geographic Region Classification Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3
2013. 2016 should be entered for new
exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. YES NO CREL14 Special Scheme If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. YES YES CREL15 Origination Date Date of original underlying exposure advance. YES NO CREL16 Start Date Of Amortisation The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date). YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL17 Maturity Date At Securitisation Date The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date on which may be allowed under the underlying exposure agreement. NO YES CREL18 Maturity Date The date of maturity of the underlying exposure or expiry of the lease. NO YES CREL19 Original Term Original contractual term (number of months) at the origination date. YES YES CREL20 Duration Of Extension Option Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure. NO YES CREL21 Nature Of Extension Option Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20:

Minimum Interest Coverage
Ratio (MICR)
Minimum Debt Service Coverage
Ratio (MDSC)
Maximum Loan-To-Value
(MLTV)
Multiple Conditions (MLTC)
Other (OTHR)
NO YES
CREL22 Currency
Denomination
The underlying exposure currency denomination.
NO NO
CREL23 Current
Principal
Balance
Outstanding principal balance of the securitised underlying exposure. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts. Current balance includes the principal arrears. However, savings amount are to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation+/- 0 if no subparticipation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL24 Original Principal Balance Original underlying exposure balance (inclusive of fees)This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREL25 Original Principal Balance At Securitisation Date Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL26 Committed Undrawn Facility Underlying Exposure Balance The total whole underlying exposure remaining facility/Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment date on which the obligor can still draw upon. Include the currency in which the amount is denominated, using NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? {CURRENCYCODE_3} format. CREL27 Total Other Amounts Outstanding Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) that have been expended by SSPE/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or SSPE and not yet reimbursed by the obligor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL28 Purchase Price Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. NO YES CREL29 Latest Utilisation Date Date of the most recent utilisation/drawdown of the underlying exposure facility agreement. NO YES CREL30 Purpose Underlying exposure purpose – In the event of multiple purposes, report the option that best describes the arrangement:

Acquisition for investment
(ACQI)
Acquisition for Liquidation
(ACQL)
Refinancing (RFIN)
Construction (CNST)
Redevelopment (RDVL)
Other (OTHR)
YES NO
CREL31 Structure Underlying Exposure Structure:
Whole loan – not split into
subordinated debt items/notes
(LOAN)
Participated mortgage underlying
exposure with pari passu debt
YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? outside the issuance vehicle (PMLP)

Participated mortgage underlying
exposure with subordinate debt outside the issuance vehicle (PMLS)
A Loan; as part of an A/B
participation structure (AABP)
B Loan; as part of an A/B
participation structure (BABP)
A Loan; as part of an A/B/C
participation structure (AABC)
B Loan; as part of an A/B/C
participation structure (BABC)
C Loan; as part of an A/B/C
participation structure (CABC)
Structural mezzanine financing
(MZZD)
Subordinate debt with separate
loan documentation outside the issuance vehicle (SOBD)
Other (OTHR)
CREL32 Waterfall A-B
Pre
Enforcement
Scheduled
Interest
Payments
Waterfall pre-enforcement schedule for interest payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO YES
CREL33 Waterfall A-B
Pre
Enforcement
Scheduled
Principal
Payments
Waterfall pre-enforcement schedule for principal payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO YES
CREL34 Principal
Payment
Allocation To
Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Senior Loan loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC). CREL35 Waterfall Type Type of waterfall governing the overall lending arrangement:

Interest A, principal A, interest B,
principal B (IPIP)
Interest A, interest B, principal A,
principal B (IIPP)
Other (OTHR)
NO YES
CREL36 Defaulted
Underlying
Exposure
Purchase Price
If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter the purchase price as per the applicable colender/intercreditor agreement. NO YES CREL37 Cure Payments Possible? Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below:
No possibility to make cure
payment (NCPP)
Cure payment can be made up to
a fixed number limit over the lifetime of the underlying exposure (FNLP)
Cure payment can be made
without limit over the lifetime of the underlying exposure (NLCP)
Other (OTHR)
YES NO
CREL38 Restrictions On
Sale Of
Subordinated
Loan?
Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party? NO YES CREL39 Subordinated Loan Holder Affiliated To Obligor? Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) to the commercial NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? mortgage obligor? CREL40 Subordinated Loan Holder Control Of Workout Process Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral? NO YES CREL41 Do NonPayments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure? Do Non-payments on Prior Ranking Claims Constitute a Default of the underlying exposure? NO YES CREL42 Do NonPayments On Equal Ranking Underlying Exposures Constitute Default Of Property? Do Non-payments on Equal Ranking underlying exposures Constitute Default of Property? NO YES CREL43 Noteholder Consent Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure’s payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms) YES NO CREL44 Noteholder Meeting Scheduled What date is the next noteholder meeting scheduled for? NO YES CREL45 Syndicated Is the underlying exposure syndicated? YES NO CREL46 Participation Of SSPE Method used by the SSPE to acquire ownership in the syndicated underlying exposure:
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Assignment (ASGN)
Novation (NOVA)
Equitable Assignment (EQTB)
Funded Participation (pari passu
interest) (PARI)
Junior Participation Interest
(JUNP)
Legal Assignment (LGAS)
Notified Assignment (NOTA)
Sub Participation (SUBP)
Risk Participation (RSKP)
Sale Event (SALE)
Other (OTHR)
CREL47 Consequence
For Breach Of
Financial
Covenant
The consequence for the financial covenant breach:
Event of Default (EDFT)
Additional Amortisation
(AAMR)
Cash Trap Reserve (CTRS)
Terminate Property Manager
(TPRM)
Other (OTHR)
NO YES
CREL48 Financial
Information
NonSubmission
Penalties
Are there are monetary penalties for obligor’s failure to submit required financial information (Op. Statement,
Schedule, etc.) as per underlying
exposure documents?
YES NO
CREL49 Recourse Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure? YES YES CREL50 Recourse - 3rd Party Is there recourse (full or limited) to another party (e.g. guarantor) in the event the obligor defaults on an obligation under the underlying exposure agreement? YES YES CREL51 Servicing Standard Does the servicer of this securitised underlying exposure also service the NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? whole underlying exposure or only one/several components of the whole underlying exposure (e.g. A or B component; or one of the pari-passu components)? CREL52 Amounts Held In Escrow Total balance of the legally charged reserve accounts as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL53 Collection Of Escrows Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement. YES NO CREL54 Collection Of Other Reserves Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the underlying exposure agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such underlying exposure? NO NO CREL55 Trigger For Escrow To Be Held Type of trigger event leading to amounts to be paid into escrow:

No Trigger (NONE)
Loan to Value Trigger (LVTX)
Interest Coverage Trigger (ICVR)
Debt Service Coverage Trigger
(DSCT)
Net Operating Income Trigger
(NOIT)
Other (OTHR)
YES NO
CREL56 Target Escrow
Amounts/Reser
Target escrow amounts/reserves.
Include the currency in which the amount NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? ves is denominated, using {CURRENCYCODE_3} format. CREL57 Escrow Account Release Conditions Release conditions of the escrow account. If multiple conditions, each condition must be provided in accordance with the XML schema. NO YES CREL58 Conditions Of Drawing Cash Reserve When the Cash Reserve can be used:

Financial Covenant Breach
(FICB)
Trigger Event (TREV)
Other (OTHR)
NO YES
CREL59 Escrow
Account
Currency
Escrow account currency denomination. NO YES CREL60 Escrow Payments Currency Currency of the Escrow payments. Fields CREL52 and CREL56. NO YES CREL61 Total Reserve Balance Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC’s for reserves. to be completed if field CREL54 (‘Collection of Other Reserves’) is equal to ‘Y’ = Yes. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL62 Reserve Balance Currency Reserve account currency denomination. NO YES CREL63 Escrow Trigger Event Occurred Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? underlying exposure agreement. CREL64 Amounts Added To Escrows In Current Period Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date of this data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL65 Revenue Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL66 Operating Expenses At Securitisation Date Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL67 Capital Expenditures At Securitisation Date Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL68 Financial Statement Currency The currency used in the initial financial reporting of fields CREL65 – CREL66. YES NO CREL69 Obligor Reporting Breach Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No. YES NO CREL70 Debt Service Coverage Ratio Method Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter the A-loan method.

Current Period (CRRP)
Projection - 6 month forward
calculation (PRSF)
Projection - 12 month forward
calculation (PRTF)
Combo 6 – Current period and a
6 month forward calculation
(CMSF)
Combo 12 – Current period and
a 6 month forward calculation
(CMTF)
Historical - 6 month forward
calculation (HISF)
Historical - 12 month forward
calculation (HITF)
Modified – Includes a reserve
injection or a percentage rental income probability calculation (MODI)
Multiple Period – Consecutive
period calculation (MLTP)
Other (OTHR)
YES NO
CREL71 Debt Service
Coverage Ratio
Indicator At
Securitisation
Date
How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Partial – Not all properties
received financials, servicer to leave empty (PRTL)
Average – Not all properties
received financials, servicer allocates debt service only to properties where financials are received (AVER)
Full – All statements collected
for all properties (FULL)
Worst Case – Not all properties
received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)
None Collected – No financials
were received (NCOT)
Consolidated – All properties
reported on one ‘rolled up’ financial from the obligor (COND)
Whole loan based on loan
agreements (WLAG)
Whole loan based on other
method (WLOT)
Trust Note based on loan
agreement (TNAG)
Trust Note based on other
method (TNOT)
Other (OTHR)
CREL72 Most Recent
Debt Service
Coverage Ratio
Indicator
How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:
Partial - Not all properties
received financials, servicer to leave empty (PRTL)
Average - Not all properties
received financials, servicer allocates debt service only to properties where financials are received (AVER) NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Full - All statements collected
for all properties (FULL)
Worst Case - Not all properties
received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)
None Collected - No financials
were received (NCOT)
Consolidated - All properties
reported on one ‘rolled up’ financial from the obligor (COND)
Whole loan based on loan
agreements (WLAG)
Whole loan based on other
method (WLOT)
Trust Note based on loan
agreement (TNAG)
Trust Note based on other
method (TNOT)
Other (OTHR)
CREL73 Debt Service
Coverage Ratio
At The
Securitisation
Date
The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation. YES NO CREL74 Current Debt Service Coverage Ratio Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation. YES NO CREL75 Original LoanTo-Value The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date. YES NO CREL76 Current LoanTo-Value Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount). YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL77 Interest Coverage Ratio At The Securitisation Date The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date. YES NO CREL78 Current Interest Coverage Ratio Current Interest Coverage Ratio calculation for the securitised underlying exposure. YES NO CREL79 Interest Coverage Ratio Method Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation:

Current Period (CRRP)
Projection - 6 month forward
calculation (PRSF)
Projection - 12 month forward
calculation (PRTF)
Combo 6 – Current period and a
6 month forward calculation
(CMSF)
Combo 12 – Current period and
a 6 month forward calculation
(CMTF)
Historical - 6 month forward
calculation (HISF)
Historical - 12 month forward
calculation (HITF)
Modified – Includes a reserve
injection or a percentage rental income probability calculation (MODI) NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Multiple Period – Consecutive
period calculation (MLTP)
Other (OTHR)
CREL80 Number Of
Properties At
Securitisation
Date
The number of properties that serve as security for the underlying exposure at the Securitisation Date. NO YES CREL81 Number Of Properties At Data Cut-Off Date The number of properties that serve as security for the underlying exposure. YES NO CREL82 Properties Collateralised To The Underlying Exposure Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema. NO NO CREL83 Property Portfolio Value At Securitisation Date The valuation of the properties securing the underlying exposure at the Securitisation Date as described in the Offering Circular. If multiple properties then sum the value of the properties. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL84 Property Portfolio Valuation Currency At Securitisation Date The currency of the valuation in CREL83. NO YES CREL85 Status Of Properties Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties.
Lasting Power of Attorney
(LPOA)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Receivership (RCVR)
In Foreclosure (FCLS)
Real Estate Owned (REOW)
Defeased (DFSD)
Partial Release (PRLS)
Released (RLSD)
Same as at Securitisation Date
(SCDT)
In special servicing (SSRV)
Other (OTHR)
CREL86 Valuation Date
At
Securitisation
Date
The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date. NO YES CREL87 Amortisation Type Type of amortisation of the underlying exposure including principal and interest.
French – i.e. Amortisation in
which the total amount – principal plus interest – repaid in each instalment is the same. (FRXX)
German – i.e. Amortisation in
which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule –
i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet – i.e. Amortisation in
which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL88 Principal Grace Period End Date If applicable as at the data cut-off date, indicate the principal grace period end date. NO YES CREL89 Grace Days Allowed The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for example). NO YES CREL90 Scheduled Principal Payment Frequency Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO YES
CREL91 Scheduled
Interest
Payment
Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO YES
CREL92 Number Of
Payments
Before
Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation. YES NO CREL93 Prepayment Terms Description Must reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? %(12), 0,5 %(24), 0,25 %(36). CREL94 Prepayment Lock-Out End Date The date after which the lender allows prepayment of the underlying exposure. YES YES CREL95 Yield Maintenance End Date Date after which underlying exposure can be prepaid without yield maintenance. NO YES CREL96 Prepayment Fee Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL97 Prepayment Fee End Date The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. YES YES CREL98 Unscheduled Principal Collections Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL99 Liquidation/ Prepayment Date The most recent date on which an unscheduled principal payment was received or liquidation proceeds are received. NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL100 Liquidation/ Prepayment Code Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period:

Partial Liquidation (Curtailment)
(PTLQ)
Payoff Prior to Maturity (PTPY)
Liquidation or Disposition
(LQDP)
Repurchase or Substitution
(RPSB)
Full Payoff at Maturity (FLPY)
Discounted Payoff (DPOX)
Payoff with Penalty (PYPN)
Payoff with Yield Maintenance
(YLMT)
Curtailment with Penalty
(CTPL)
Curtailment with Yield
Maintenance (CTYL)
Other (OTHR)
NO YES
CREL101 Prepayment
Interest
Excess/
Shortfall
Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date:
Shortfall – The difference by
which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs). NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Excess – Interest collected in
excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL102 Payment Date The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure. NO YES CREL103 Next Payment Adjustment Date For adjustable rate underlying exposures, the next date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date. NO YES CREL104 Next Payment Date Date of next underlying exposure payment. NO YES CREL105 Payment Due This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL106 Original Interest Rate Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure. YES NO CREL107 Interest Rate At The Securitisation The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Date exposure for the first Interest Payment Date after the Securitisation Date. CREL108 First Payment Adjustment Date For adjustable rate underlying exposures, the first date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date on which the amount of scheduled principal or interest is due (not the first date after securitisation on which it could change). YES YES CREL109 Interest Rate Type Interest rate type:

Floating rate underlying
exposure (for life) (FLIF)
Floating rate underlying
exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure
(for life) (FXRL)
Fixed with future periodic resets
(FXPR)
Fixed rate underlying exposure
with compulsory future switch to floating (FLCF)
Floating rate underlying
exposure with floor (FLFL)
Floating rate underlying
exposure with cap (CAPP)
Floating rate underlying
exposure with both floor and cap
(FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Other (OTHR)
CREL110 Current
Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. NO YES CREL111 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)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

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)
CREL112 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
CREL113 Current
Interest Rate
Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. NO YES CREL114 Interest Rate Reset Interval Number of months between each interest rate reset date on the underlying exposure. NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL115 Current Index Rate The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102. NO YES CREL116 Index Determination Date If the underlying exposure Agreement states specific dates for the index to be set, enter the next index determination date. NO YES CREL117 Rounding Increment The incremental percentage by which an index rate is to be rounded in determining the interest rate as set out in the underlying exposure agreement. NO YES CREL118 Interest Rate Cap Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES CREL119 Interest Rate Floor Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES CREL120 Current Default Interest Rate Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102. NO YES CREL121 Accrual Of Interest Allowed Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised? YES NO CREL122 Day Count Convention The ‘days’ convention used to calculate interest:

30/360 (A011)
Actual/365 (A005)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Actual/360 (A004)
Actual/Actual ICMA (A006)
Actual/Actual ISDA (A008)
Actual/Actual AFB (A010)
Actual/366 (A009)
Other (OTHR)
CREL123 Total
Scheduled
Principal &
Interest Due
Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL124 Total Scheduled Principal & Interest Paid Scheduled Principal & Interest payment paid on the securitised underlying exposure on the most recent payment date, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL125 Negative Amortisation Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL126 Deferred Interest Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL127 Total Shortfalls In Principal & Interest Outstanding Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL128 Date Last In Arrears Date the obligor was last in arrears. YES YES CREL129 Arrears Balance Current balance of arrears, which is defined as:

Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the
account
LESS total payments received to
date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL130 Number Of Days In Arrears Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. NO NO CREL131 Reason for Default or If the underlying exposure is in default as per Article 178 of Regulation (EU) No YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Foreclosure 575/2013, select the appropriate reason:

In default because the debtor is
unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is
more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is
considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with
Article 178 of Regulation (EU)
No 575/2013. (UPPD)
CREL132 Default
Amount
Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL133 Default Date The date of default. NO YES CREL134 Interest In Arrears Is the interest that accrues on the underlying exposure paid in arrears? NO NO CREL135 Actual Default Interest Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL136 Account Status Current status of the underlying exposure that has been securitised:

Performing (PERF)
Restructured - No Arrears
(RNAR)
Restructured - Arrears (RARR)
Defaulted according to Article
178 of Regulation (EU) No
575/2013 (DFLT)
Not defaulted according to
Article 178 of Regulation (EU)
No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to
Article 178 of Regulation (EU)
No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another
definition of default being met
(DADB)
Arrears (ARRE)
Repurchased by Seller - Breach
of Representations and
Warranties (REBR)
Repurchased by Seller -
Defaulted (REDF)
Repurchased by Seller -
Restructured
(RERE)Repurchased by Seller -
Special Servicing (RESS)
Repurchased by Seller - Other
Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. CREL137 Allocated Losses The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL138 Net Proceeds Received On Liquidation Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL139 Liquidation Expense Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Securitisation Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL140 Expected Timing Of Recoveries The underlying exposure servicer’s expected recovery timing in months. NO YES CREL141 Cumulative Recoveries Total recoveries (regardless of their source) on the (defaulted/chargedoff/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL142 Enforcement Start Date The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the obligor. NO YES CREL143 Workout Strategy Code Work-out strategy:

Modification (MODI)
Enforcement (ENFR)
Receivership (RCVR)
Insolvency (NSOL)
Extension (XTSN)
Loan Sale (LLES)
Discounted Pay Off (DPFF)
Property in Possession (PPOS)
Resolved (RSLV)
Pending Return to Servicer
(PRTS)
Deed in Lieu of Foreclosure
(DLFR)
Full Pay Off (FPOF)
Representations and Warranties
(REWR)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Other (OTHR)
CREL144 Modification Type of modification:
Maturity Date Extension
(MEXT)
Amortisation Change (AMMC)
Principal Write-off (PWOF)
Temporary Rate Reduction
(TMRR)
Capitalisation of Interest (CINT)
Capitalisation of Costs
Advanced (e.g. insurance, ground rent) (CPCA)
Combination (COMB)
Other (OTHR)
NO YES
CREL145 Special
Servicing
Status
As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced? NO NO CREL146 Most Recent Special Servicer Transfer Date The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this is the last date transferred to special servicing. NO YES CREL147 Most Recent Primary Servicer Return Date The date an underlying exposure becomes a ‘corrected mortgage underlying exposure’, which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this is the last date returned to the master/primary Servicer from special servicing. NO YES CREL148 Non Recoverability Indicator (Yes/No) as to whether the Servicer or Special Servicer has YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Determined determined that there will be a shortfall in recovering any advances it has made and the outstanding underlying exposure balance and any other amounts owing on the underlying exposure from proceeds upon sale or liquidation of the property or underlying exposure. CREL149 Covenant Breach/Trigger Type of Covenant Breach/Trigger:

Interest Coverage Ratio (ICRX)
Debt Service Coverage Ratio
(DSCR)
Loan-to-Value (LLTV)
Interest Coverage Ratio or Debt
Service Coverage Ratio (ICDS)
Interest Coverage Ratio or Debt
Service Coverage Ratio or Loanto-Value (ICDL)
Property Level Breach (PROP)
Obligor Level Breach (OBLG)
Tenant or Vacancy Level Breach
(TENT)
Other (OTHR)
NO YES
CREL150 Date Of
Breach
The date on which any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach. YES YES CREL151 Date Of Breach Cure The date on which any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured. NO YES CREL152 Servicer Watchlist Code If the underlying exposure has been entered onto the servicer watchlist, enter the most appropriate corresponding code from Table 2 in Annex I of this Regulation. If multiple criteria are applicable, list the most detrimental NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? code. CREL153 Servicer Watchlist Date Determination date on which an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry date. NO YES CREL154 Interest Rate Swap Provider If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL155 Interest Rate Swap Provider Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider. NO YES CREL156 Interest Rate Swap Maturity Date Date of maturity for the interest rate underlying exposure level swap. NO YES CREL157 Interest Rate Swap Notional Interest rate underlying exposure level swap notional amount Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL158 Currency Swap Provider If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL159 Currency Swap Provider Legal Entity Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Identifier underlying exposure currency swap provider. CREL160 Currency Swap Maturity Date Date of maturity for the currency underlying exposure level swap. NO YES CREL161 Currency Swap Notional Currency underlying exposure level swap notional amount Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL162 Exchange Rate For Swap The exchange rate that has been set for a currency underlying exposure level swap. NO YES CREL163 Other Swap Provider The full legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL164 Other Swap Provider Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure ‘other’ swap provider. NO YES CREL165 Obligor Must Pay Breakage On Swap Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter the most appropriate value.

Total Indemnification from
obligor (TOTL)
Partial Indemnification from
obligor (PINO)
No Indemnification from obligor
(NOPE)
YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL166 Full Or Partial Termination Event Of Swap For Current Period If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter the most appropriate value.

Swap Terminated due to Ratings
Downgrade of Underlying
Exposure Swap Provider
(RTDW)
Swap Terminated due to
Payment Default to Underlying
Exposure Swap Provider
(PYMD)
Swap Terminated due to Other
Type of Default by Underlying
Exposure Swap Counterparty
(CNTD)
Swap Terminated due to Full or
Partial Prepayment by Obligor
(PRPY)
Swap Terminated due to Other
Type of Default by Obligor
(OBGD)
Other (OTHR)
NO YES
CREL167 Net Periodic
Payment Made
By Swap
Provider
Net amount of payment made by the swap counterparty securitised underlying exposure, on the underlying exposure Payment Date as required by the swap contract. This does not include any breakage or termination payments. In the event of multiple swaps, enter the sum across all swaps. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL168 Breakage Costs Due To Amount of any payment due from the obligor to the swap counterparty for NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Underlying Exposure Swap Provider partial of full termination of the swap. In the event of multiple swaps, enter the most appropriate value. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL169 Shortfall In Payment Of Breakage Costs On Swap Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter the sum across all swaps. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL170 Breakage Costs Due From Swap Counterparty Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter the most appropriate value. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL171 Next Swap Reset Date Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter the most appropriate value. NO YES CREL172 Sponsor The name of the underlying exposure sponsor. NO YES CREL173 Agent Bank Of Syndication Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure. NO YES CREL174 Servicer Legal Entity Provide the Legal Entity Identifier (as specified in the Global Legal Entity NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Identifier Foundation (GLEIF) database) of the underlying exposure servicer. CREL175 Servicer Name Give the full legal name of the underlying exposure servicer. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL176 Originator Name Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO NO CREL177 Originator Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. NO NO CREL178 Originator Establishment Country Country where the underlying exposure originator is established. NO NO CREL179 Original Lender Name Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. YES YES CREL180 Original Lender Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. YES YES CREL181 Original Lender Establishment Country Country where the original lender is established. YES YES Collateral-level information section

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC1 Unique Identifier Report the same unique identifier here as the one entered into field CREL1. NO NO CREC2 Underlying Exposure Identifier Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier. NO NO CREC3 Original Collateral Identifier The original unique identifier assigned to the collateral. The reporting entity must not amend this unique identifier. NO NO CREC4 New Collateral Identifier If the original identifier in field CREC3 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 CREC3. The reporting entity must not amend this unique identifier. NO NO CREC5 Collateral Type The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle
(NACM)
Nautical Leisure Vehicle
(NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
NO NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment
(ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory
(OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to
Security Over All Assets of the
Obligor (MIXD)
Other (OTHR)
CREC6 Property Name The name of the property that serves as security for the underlying exposure. If the collateral being reported is not property collateral, enter ND5. NO YES CREC7 Property Address The address of the property that serves as security for the underlying exposure. If the collateral being reported is not property collateral, enter ND5. NO YES CREC8 Geographic Region – Collateral The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. CREC9 Property Post Code The primary property full postal code. If the collateral being reported is not property collateral, enter ND5. NO YES CREC10 Lien Highest lien position held by the originator in relation to the collateral. YES YES CREC11 Property Status Status of property:

Lasting Power of Attorney
(LPOA)
Receivership (RCVR)
In Foreclosure (FCLS)
Real Estate Owned (REOW)
Defeased (DFSD)
Partial Release (PRLS)
Released (RLSD)
Same as at Securitisation Date
(SCDT)
In Special Servicing (SSRV)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. NO YES CREC12 Property Type Property type:
Caravan Park (CRVP)
Car Park (CARP)
Health Care (HEAL)
Hospitality or Hotel (HOTL)
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed?

Industrial (IDSR)
Land Only (LAND)
Leisure (LEIS)
Multifamily (MULF)
Mixed Use (MIXD)
Office (OFFC)
Pub (PUBX)
Retail (RETL)
Self Storage (SSTR
Warehouse (WARE)
Various (VARI)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. CREC13 Property Form Of Title The relevant form of property title. A lease on land only, in which the obligor usually owns a building or is required to build as specified in the lease. Such leases are usually long-term net leases; the obligor’s rights and obligations continue until the lease expires or is terminated through default:
Leasehold (LESH)
Freehold (FREE)
Mixed (MIXD)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. NO YES CREC14 Current Valuation Date The date of the most recent valuation. YES YES CREC15 Current Valuation Amount The most recent valuation of the property as assessed by an independent external or internal appraiser; if such assessment is YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? not available, the current value of the property can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of property; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of property can be used after application of a suitably chosen mark-down to account for the depreciation of the property. If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREC16 Current Valuation Method The most recent method of calculating the value of the collateral provided in field CREC15.

Full, internal and external
inspection (FALL)
Full, only external inspection
(FEXT)
Drive-by (DRVB)
Automated Valuation Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent
(MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC17 Current Valuation Basis The most recent Valuation Basis:

Open Market (OPEN)
Vacant Possession (VCNT)
Other (OTHR)
YES NO
CREC18 Original
Valuation
Method
The method of calculating the value of the collateral at the time of underlying exposure origination:
Full, internal and external
inspection (FALL)
Full, only external inspection
(FEXT)
Drive-by (DRVB)
Automated Valuation Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent
(MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO
CREC19 Collateral
Securitisation
Date
Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date. YES NO CREC20 Allocated Percentage Of Underlying Exposure At Securitisation Date Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income. YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC21 Current Allocated Underlying Exposure Percentage Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement. , otherwise assign by valuation (Net Operating Income). NO YES CREC22 Valuation At Securitisation The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC23 Name Of Valuer At Securitisation Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation. NO YES CREC24 Date Of Valuation At Securitisation The date the valuation was prepared for the values disclosed in the Offering Circular. NO YES CREC25 Year Built Year the property was built per the valuation report or underlying exposure document. YES YES CREC26 Year Last Renovated Year that last major renovation/new construction was completed on the property per the valuation report or underlying exposure document. YES YES CREC27 Number Of Units For property type:

Multifamily, enter number of units
Hospitality/Hotel/Healthcare – beds
Caravan Parks – units
Lodging - rooms
Self Storage - units.
NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC28 Net Square Metres The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report. NO YES CREC29 Commercial Area The total net Commercial rentable area of the property in square metres that serves as security for the underlying exposure per the most recent valuation report. NO YES CREC30 Residential Area The total net Residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report. NO YES CREC31 Net Internal Floor Area Validated Has the valuer (of the most recent valuation) verified the net internal floor area of the property? YES YES CREC32 Occupancy As Of Date Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported. NO YES CREC33 Economic Occupancy At Securitisation The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent). NO YES CREC34 Physical Occupancy At Securitisation At securitisation, the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated), if disclosed in Offering Circular. To be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information. NO YES CREC35 Vacant Vacant possession value at Date of NO YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Possession Value At Securitisation Date Securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREC36 Date Of Financials At Securitisation The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months). YES YES CREC37 Net Operating Income At Securitisation Revenue less Operating Expenses at Securitisation Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC38 Most Recent Financials As Of Start Date The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). YES YES CREC39 Most Recent Financials As Of End Date The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). YES YES CREC40 Most Recent Revenue Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC41 Most Recent Operating Expenses Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? landlord; capital expenditures and leasing commissions are excluded. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREC42 Most Recent Capital Expenditure Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC43 Ground Rent Payable If property is leasehold, provide the current annual leasehold rent payable to the lessor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC44 Weighted Average Lease Terms Weighted average lease terms in years, using as weights the latest-available outstanding value of the lease. NO YES CREC45 Property Leasehold Expiry Provide the earliest date the leasehold interest expires. NO YES CREC46 Contractual Annual Rental Income The contractual annual rental income derived from the most recent obligor tenancy schedule. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC47 Income Expiring 1-12 Months Percentage of income expiring in 1 to 12 months. YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC48 Income Expiring 13-24 Months Percentage of income expiring in 13 to 24 months. YES YES CREC49 Income Expiring 25-36 Months Percentage of income expiring in 25 to 36 months. YES YES CREC50 Income Expiring 37-48 Months Percentage of income expiring in 37 to 48 months. YES YES CREC51 Income Expiring 49+ Months Percentage of income expiring in 49 or more months. YES YES Tenant-level information section CRET1 Unique Identifier Report the same unique identifier here as the one entered into field CREL1. NO NO CRET2 Underlying Exposure Identifier Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier. NO NO CRET3 Collateral Identifier Unique identifier for the collateral. This field must match CREC4, to allow mapping. NO NO CRET4 Tenant Identifier Unique identifier for the tenant. The identifier must be different from any external identification number, ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CRET5 Tenant Name Name of current tenant. If tenant is a natural person, then this field must be entered with the same entry as field CRET4. YES NO CRET6 SIC Industry Code Tenant industry SIC Code, as set out in the condensed SIC Code list used by UK YES YES

FCA 2023/XX
Underlying Exposures Information – Commercial Real Estate (CRE) Field code Field name Content to report ND1- ND4 allowed? ND5 allowed? Companies House Refers to the condensed version of Standard Industrial Classification (SIC) codes used by UK Companies House to classify business establishments and other standard units by the type of economic activity in which they are engaged, as presented in the document “Nature of business: Standard Industrial Classification (SIC) codes.” http://resources.companieshouse.gov.uk/ sic/. CRET7 Date Of Lease Expiration Expiration date of lease of current tenant. NO YES CRET8 Rent Payable Annual Rent payable by current tenant. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CRET9 Rent Currency Rent currency denomination. NO YES

Lineage