CP26/6: Rules for reforming the UK Securitisation Framework

Consultation Paper
CP26/6*
Rules for reforming the UK Securitisation
Framework
17 February 2026

How to respond
We are asking for comments on this Consultation Paper (CP) by 18 May 2026. You can send them to us using the form on our website. Or in writing to:
Securitisation Policy
Financial Conduct Authority
12 Endeavour Square
London E20 1JN
Email:
cp26-6@fca.org.uk.
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Contents
Chapter 1 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 4
Chapter 2 The Wider Context . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 9
Chapter 3 Due Diligence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 11
Chapter 4 Transparency Requirements . . . . . . . . . . . . . . . . . . . . . . . . . Page 20
Chapter 5 STS Notifications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 39
Chapter 6 Resecuritisation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 40
Chapter 7 Credit Granting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 42
Chapter 8 L-Shaped Risk Retention . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 43
Chapter 9 Implementation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 44
Chapter 10 Discussion chapter: Scope of Securitisation Rules . . . . . . . . . . . Page 47
Annex 1 Questions in this paper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 52
Annex 2 Cost Benefit Analysis (CBA) . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 57
Annex 3 Compatibility Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Page 98
Annex 4 Abbreviations used in this paper . . . . . . . . . . . . . . . . . . . . . . . Page 103
Appendix 1 Draft Handbook text

Chapter 1
Summary
Why we are consulting
1.1 Securitisation markets play an important role in facilitating lending to UK businesses and
households. Securitisation allows financial institutions to manage their funding, which helps them to serve the financing needs of their customers, and to create investments that are attractive to a broad range of investors. In doing so, effective and robust securitisation markets help to promote sustainable UK economic growth.
1.2 We want to support the issuance of, and investment in, securitisations by ensuring that
their regulation is clear, proportionate and results in high standards, thereby giving investors and issuers confidence to use these markets. In doing so it is important to learn lessons from the past. Securitisation markets played a role in the Global Financial Crisis (GFC), which then led to a new regulatory framework being implemented. Our proposals for reform seek to maintain the core objectives of the post-GFC regulatory framework, introducing more principles-based requirements and making measured adjustments that reflect lessons learned from the operation of the existing rules. This will ensure that the framework is effective, responsive and fit for purpose.
1.3 This consultation paper (CP) builds upon CP 23/17 and subsequent policy statement
(PS) PS 24/4, which transferred firm-facing securitisation rules to the FCA Handbook. Via this earlier consultation and extensive industry engagement we have identified a number of proposed changes to UK securitisation rules, which are set out in this CP.
1.4 Industry feedback has for some time pointed to aspects of the securitisation framework
that are highly prescriptive and create material burden for institutional investors and firms involved with issuing securitisations without necessarily achieving material benefits. In line with this feedback, the FCA considers that it is possible to streamline securitisation rules and give firms more flexibility in the way they implement the rules, while preserving high standards in these markets.
1.5 Accordingly, this CP proposes a material simplification of our rules. In particular, we want
to enable firms to issue securitisations and provide essential information about them without unnecessary burdens. We also want UK investors to understand and assess the risks of investing in securitisations without being overly prescriptive about how they should do that. Moreover, we want UK investors to have access to a broad range of investments to enable them to compete with their global counterparts and deliver competitive risk-adjusted returns.
1.6 To achieve this, we are consulting on proposals to:
– Simplify due diligence requirements. Appropriate and adequate due diligence is critical to ensure investors understand the risk they are taking when investing in a securitisation, but we want to allow institutional investors more flexibility

in how they conduct this due diligence. Imposing prescriptive due diligence rules on sophisticated institutional investors is a unique requirement because such investors are typically deemed to be able to make informed decisions and because the risks stemming from information asymmetry are considered lower. These entities are already subject to internal governance, risk frameworks and regulatory oversight. Therefore, additional due diligence obligations can be seen as disproportionate and duplicative, adding burden without a corresponding risk-mitigation benefit. We are proposing to replace requirements on institutional investors to verify compliance with UK rules or similar standards with an obligation to assess the risks involved in the securitisation to confirm it meets the investor’s risk appetite and that it maintains sufficient alignment of interest between manufacturer and investor. A more proportionate approach to due diligence will also enable institutional investors to access a more diverse range of assets, improving their ability to balance risk and return effectively. This shift away from the existing rules that restrict the type of securitisations that an investor can invest in — which are atypical internationally — will strengthen the competitiveness of FCA-regulated institutional investors by permitting access to securitisations from other jurisdictions, as long as a mechanism is present to align the interest of the investor and that of the manufacturer. – Streamline transparency requirements whilst maintaining the obligation to provide comprehensive reporting of information for the protection of investors. This includes reducing the number of specified templates, simplifying retained templates and their format, introducing a new template for collateralised loan obligations (CLOs), removing the delineation between public and private securitisations, and no longer requiring reporting to Securitisation Repositories (SRs). We consider that the changes to the transparency rules have the potential to better align disclosures with evolving market practices. At the same time, our proposals recognise that a degree of comparability and standardisation is appropriate for more mature asset classes where we are proposing to retain certain templates. The streamlining of transparency obligations should materially lower the cost of compliance, making it easier for smaller entities to originate securitisations and potentially attract more manufacturers to the securitisation market (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 Securitisation Regulations 2024 (UK SR 2024) (SI 2024/102)). More flexible transparency should deliver a more proportionate regime, while maintaining robust market transparency for investors and regulators, and minimise frictions for UK manufacturers who want to attract overseas
investors. – Introduce a number of other changes to allow an additional modality for risk retention, to introduce certain exceptions to the ban on resecuritisation and to provide further clarity on the application of the credit granting criteria.
1.7 This CP also includes a discussion chapter on the scope of the application of the
securitisation conduct rules as well as the proposed legal instrument.

1.8 We have worked closely with the Prudential Regulation Authority (PRA) who is publishing
a parallel consultation paper with proposals that would affect the firms authorised by the PRA. When making conduct rules in relation to the securitisation market, the FCA and the PRA are required by the UK legislation, i.e., the UK SR 2024, to 'have regard' to the coherence of the overall UK securitisation framework. We have coordinated our approaches to create a streamlined and coherent framework for the regulation of UK securitisations.
1.9 While the PRA and the FCA have different corporate styles and rule drafting approaches,
we have sought to ensure coherence between our respective draft instruments for consultation. Differences in drafting style are not reflective of a divergence in policy intentions between the two authorities.
1.10 While most of the rules we and the PRA are proposing to amend are in our Handbook
and the PRA Rulebook respectively, some provisions of the securitisation framework are contained in legislation.
1.11 Following discussions with HM Treasury (the Treasury), we understand they intend to lay
before Parliament a Statutory Instrument (SI) which will amend relevant parts of the UK SR 2024 to enable us, subject to consultation, to make the rules proposed in this paper.
1.12 This CP reflects our ongoing commitment to enhancing the UK’s position in
global wholesale markets. We aim to ensure that the UK remains a jurisdiction of choice, recognised by the quality, resilience, and competitiveness of its securitisation framework. Who this applies to
1.13 This consultation will affect:

Authorised firms that are involved in securitisation markets either as institutional
investors or as manufacturers.
Unauthorised entities acting as an original lender, originator or SSPE of a
securitisation subject to the FCA rules in SECN.
Individuals holding offices or positions involving responsibility for taking
management decisions at firms involved in securitisation markets.
UK Securitisation Repositories (SRs).
Outcome we are seeking
1.14 Our approach in reforming the securitisation rules aims to 1) maintain high transparency
standards to preserve market integrity, 2) support innovation and new entrants and 3) simplify and streamline our rules and regulatory approach to eliminate unnecessary costs.

1.15 We have done so by:

Making the securitisation rules more proportionate.
Reducing barriers to issuing and investing in securitisations.
Maintaining appropriate protections for investors.
Providing a clearer framework for market participants.
1.16 Our proposals aim to ensure the market can operate with greater confidence and
efficiency, reducing legal and operational uncertainty and fostering a favourable environment for the securitisation market. Higher volumes of issuances within a robust framework should deepen liquidity and foster a resilient financial system that supports lending to the real economy. Measuring success
1.17 Securitisation is an important source of funding for UK businesses, aiding capital raising,
liquidity and risk management for manufacturers. Sound securitisation structures are a channel for diversifying funding sources and allow for a broader distribution of risk to investors. Securitisation can also help free up originators’ balance sheets to allow for further lending to the economy. A well-functioning market that balances the needs of originators and investors will be a key measure of success.
1.18 Regulation is not the sole driver in origination or investment choices, and we recognise
that macroeconomic and other factors have a significant impact on securitisation market trends. We will assess the impact of our proposals:
In the short term, success will be reflected in firms’ ability to comply with
simplified rules.
In the longer term, by monitoring the size and breadth of the UK securitisation
market and UK institutional investor activity. Indicators include increased issuance volumes across asset classes, greater diversity of originators and sponsors, and broader investor participation.
1.19 More specifically, in relation to the transparency rules, we will seek to measure impact
by monitoring key metrics in the securitisation market and by canvassing views from stakeholders, including institutional investors, to gauge how the quality of reporting has evolved.
1.20 We will assess the success of changes to the due diligence framework by monitoring
how due diligence is performed by FCA regulated institutional investors and whether the changes have been effective in achieving more flexibility without leading to lower standards.

1.21 Finally, we will continue to monitor market developments to understand how the
exemptions from the ban on resecuritisations have impacted the availability of new products in the market.
1.22 Other measures of success include improved perceptions of our regulatory
effectiveness and metrics outlined in our FCA outcomes and metrics 2025 to 2030. Next steps
1.23 This consultation closes on Monday 18 May 2026. We invite feedback on the proposals
set out in this consultation and the draft Handbook text.
1.24 Please respond by completing the response form on our website or by sending a
response to cp26-6@fca.org.uk.
1.25 We welcome engagement with market participants during the consultation period.
Please contact the above inbox if you wish to discuss the consultation.
1.26 We will consider your feedback and expect to make final rules in H2 2026.

Chapter 2
The Wider Context
Continuing the Securitisation Reforms
2.1 The Securitisation Regulations 2018 (UK SR 2018) (SI 2018/1288) were implemented
in 2019 to promote the development of a well-functioning securitisation market, balancing the needs of originators and protections for investors. They 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 disclosures and the misalignment between manufacturers and investors’ interests.
2.2 However, the UK SR 2018 ended up being too complex and burdensome, which may
have contributed to stifling the UK securitisation market. Over the last few years, we have engaged with industry extensively to understand how regulation can support the growth of the securitisation market while preserving the safeguards that were put in place to avoid a repeat of the GFC.
2.3 In 2024, most firm-facing provisions of the UK SR 2018 were transferred to the FCA
and PRA rulebooks following the repeal and replacement of assimilated law (i.e., retained European Union (EU) law). The remaining provisions, such as the scope and key definitions remained in legislation.
2.4 Together with the PRA, we took the opportunity of this transfer to make targeted policy
changes to our securitisation rules, including in relation to the information required for investors’ due diligence, to clarify aspects of risk retention and the scope of application and some other additional technical changes.
2.5 We believe that more should be done to support the UK securitisation market. Although
the policy objectives underpinning the rules are widely accepted, in practice the current requirements have led to excessive complexity and high compliance costs without always achieving their intended purpose. In addition, removing unnecessary barriers to securitisation issuance could make UK lenders more competitive, particularly in relation to other international markets which have less burdensome rules and a fastergrowing market. Interaction with other regimes
2.6 Despite the changes made to the UK regime in 2024, the UK and the EU securitisation
frameworks are currently broadly aligned.
2.7 The EU is currently going through its legislative process to reform its own securitisation
framework. The objectives of the EU reforms are similar to those of the UK and aim to support the growth of the securitisation market while preserving the safeguards put in place post GFC.

2.8 The focus of the EU proposals is also similarly around the simplification of the reporting
regime and of the due diligence requirements. However, whilst the EU legislative process has not reached its conclusion yet, it is likely that the UK and EU regimes will differ. Given the important linkages between UK and EU securitisation markets, in formulating our proposals we have sought to minimise the frictions from operating on a cross-border basis where possible, for example by proposing flexibility in transparency requirements where a UK firm’s compliance with EU rules would be deemed sufficient to satisfy UK requirements.
2.9 As to the EU non-legislative materials, our position remains the same as set out in PS
24/4, i.e., that market participants should continue to refer to the guidance (Brexit: our approach to EU non-legislative materials) and take a pragmatic approach to the same where the regulators have amended the policy. The PRA consultation and amendments to Legislation
2.10 This consultation must be read in conjunction with the concomitant PRA consultation
paper setting out their proposals for PRA authorised persons.
2.11 We are discussing with the Treasury to assess whether an amendment to the UK
SR 2024 is desirable, for example to make the due diligence requirements on the occupational pensions schemes similar to those that will be agreed for FCA and PRA institutional investors as a result of this consultation.
2.12 This, in turn, is then relevant for how UK institutional investors who may be FCA (or PRA)
regulated firms should consider their obligations as agents (i.e., as delegated asset managers) under SECN 4.5.

Chapter 3
Due Diligence
3.1 Due diligence is the process through which an investor or a potential investor conducts
an assessment of a securitisation, prior to investing in it and on an ongoing basis while holding the securitisation.
3.2 During the GFC, it became clear in a number of instances that investors were not
sufficiently informed as to the risks they were exposed to when holding a securitisation position. Since then, regulatory efforts sought to address this by placing requirements on institutional investors (mainly FCA and PRA regulated entities) to conduct adequate due diligence prior to investing in the securitisation market.
3.3 As part of the repeal and replacement of assimilated law (as set out in PS 24/4), our
rules in the SECN sourcebook published in April 2024 amended the existing due diligence requirements with a view to simplifying our approach and to ensuring a more proportionate framework for investments in overseas securitisations. However, we believe that there is scope to further simplify the requirements while maintaining the original policy intent. Overview of current regulatory requirements relating to due diligence
3.4 Institutional investors must perform appropriate due diligence checks before investing
in a securitisation position and on an ongoing basis. Key aspects include:

verification of manufacturers’ compliance with certain standards and applicable
provisions, including in relation to disclosed information, credit granting criteria and risk retention;
prior to investing, assessment of the risks involved such as credit, structural
and legal; and
assessment of performance of the securitisation and ability to demonstrate
compliance on an ongoing basis.
3.5 We have engaged with market participants, including through CP23/17, with a view
to revisit our rules on due diligence. Feedback overall indicates that the current requirements are perceived as disproportionately onerous. Comments focused primarily on the following areas:
Some stakeholders view the granularity of the due diligence rules as
disproportionate as well as unique across wholesale financial markets. Some argue that the rules in effect force investors to act as pseudo-supervisors in verifying that manufacturers of securitisations have adhered to certain standards and complied with applicable rules.
Some investors have argued that the time and resources it takes them to comply
with the current, prescriptive due diligence rules are limiting their ability to make timely investment decisions in times of stress, undermining their competitiveness and the overall liquidity of the market.
Some investors point out that the due diligence rules prevent them from investing
in certain overseas securitisations; for example, the majority of U.S. CLOs, which are not subject to risk retention requirements. Certain investors, therefore, argue that these rules limit their ability to diversify investments, potentially reducing risk adjusted returns. They also note that the rules negatively impact the ability of UK asset managers to compete internationally.
3.6 We have considered the feedback and are proposing changes to the due diligence
rules which aim to make them more proportionate and avoid putting UK firms at a competitive disadvantage.
3.7 We believe that it remains critical for institutional investors to 1) require, receive and
review the appropriate amount of information about a securitisation, 2) understand and assess the risks they are taking and whether they fit within their investment objectives and appetite and 3) monitor the performance of their investment throughout its holding period.
3.8 We propose to move away from the prescriptive nature of the current framework and
instead adopt a more principles-based approach where the depth and extent of the due diligence more closely align to the level of risk of the investment and to the requirements already applicable to other investment products. Verification of manufacturers’ compliance with standards and rules
3.9 The current rules require that, prior to holding a securitisation position, an institutional
investor verifies:
that originators are granting credits on the basis of sound and well-defined criteria
and through clearly established processes;
that the manufacturer of the securitisation retains a material net economic interest
of no less than 5% in the securitisation; and
that the manufacturer 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 available on an ongoing basis, as appropriate. The rules set minimum standards for the nature and frequency at which such information must be provided.
3.10 Verifying manufacturers’ compliance with the requirements of the securitisations’
conduct rules is not only perceived by some stakeholders as highly burdensome and duplicative of the obligations falling onto the manufacturers but also as a quasisupervisory responsibility not suitable to be performed by investors. In the context of the current framework, it is also the mechanism through which UK institutional

investors are prevented from investing in overseas securitisations that do not conform to UK standards.
3.11 We are of the view that this is an unnecessary and disproportionate burden on FCAregulated institutional investors.
3.12 Accordingly, we propose to remove the verification requirements for credit granting,
transparency and risk retention in their current form and replace them with obligations or guidance that we consider will deliver on our objectives in a more proportionate manner as set out below. Verification that sufficient information is made available
3.13 The current rules require institutional investors to verify that the manufacturers have
made available sufficient information to enable them to independently assess the risks of the securitisation. They must also verify that the manufacturers have committed to make further information available on an ongoing basis. Finally, the rules include a list of information that must be included at a minimum together with the frequency at which such information must be provided.
3.14 We propose to continue to require that the investors ensure they receive sufficient
information to assess their risk. We believe that it is essential for investors to be able to understand the risk they are taking and that to perform an adequate analysis of the risk, they must have enough relevant information at their disposal. Similarly, we believe that investors must ensure that they are able to monitor the performance of their investment and as such, must have access to ongoing information.
3.15 Consequently, we are proposing to specify that institutional investors must be satisfied
that manufacturers make available sufficient information to enable the institutional investor independently to assess the risks of holding the securitisation position and are committed to make further information available on an ongoing basis, to enable the monitoring of the performance of the securitisation position and the underlying exposures. Such commitment could be obtained in writing or agreed on the basis of other accepted market practices.
3.16 However, we don’t believe that a prescriptive list of information that needs to be
provided is flexible enough to account for the type of investment, the risk or size of the investment and the predicted holding period. Therefore, we are proposing to add a guidance provision which sets out that the information made available to undertake the initial due diligence assessment which also provides that the information should be proportionate to the risk of the investment. We are also proposing to no longer specify the information that, as a minimum, manufacturers must make available to investors and the frequency with which such information must be obtained. Instead, we propose to offer guidance as to the type of information that investors should consider obtaining from manufacturers.

3.17 We have reflected these changes in SECN 4.2.1R (1)(e) as well as in guidance at 4.2.1A G.
Question 1: Do you agree with our proposals and their focus on ensuring that institutional investors obtain sufficient information from the manufacturer of the securitisation? Please elaborate on your response. Question 2: Do you agree with the proposal to remove the table at SECN 4.2.1 R (1)(e) and the addition of corresponding guidance? Please elaborate on your response. Verification of credit granting standards
3.18 The current rules require that the institutional investors verify the originator's or
original lender’s compliance with applicable credit granting standards. This requirement currently differs depending on whether the manufacturer of the securitisation is established in the UK or not, and this requirement does not apply where the originator or originator lender is a UK established CRR firm or FCA investment firm.
3.19 We propose to remove the requirement to verify compliance with the credit granting
criteria. Instead, we are proposing that, unless the originator or original lender is a UK established CRR firm or FCA investment firm, institutional investors must consider originators’ credit granting standards and processes and form their own view as to whether they are robust enough to suit their risk appetite. This approach aligns with our view that the due diligence rules need to be less prescriptive and rely on sectoral due diligence requirements, including rules deriving from UCITSD and AIFMD which already set requirements on due diligence that apply across financial instruments and do not single out securitisation specifically.
3.20 This change is reflected in SECN 4.2.2R(1)(h).
3.21 For Asset-backed Commercial Paper (ABCP) transactions, we propose to apply the
same approach to sponsors, under SECN 4.3.1(R)(2).
Question 3: Do you agree with our proposals to require institutional investors to form their own view on the robustness of the credit granting processes without prescribing how this should be done? Please elaborate on your response. Verification of risk retention requirements
3.22 The current rules require that institutional investors verify that the originator, sponsor
or original lender retains a material net economic interest of no less than 5% in their securitisation.

3.23 Risk retention is the only method of ensuring alignment of interest between a
manufacturer and the investors in securitisations that is currently permitted under our rules. As a result, UK institutional investors are unable to gain exposure to securitisations that are not subject to risk retention requirements similar to those applicable in the UK.
3.24 This is perceived by some institutional investors as limiting their ability to compete with
overseas firms.
3.25 We consider that features that ensure alignment of interests between the
manufacturers of a securitisation and the investors are an important safeguard against bad practices, including the “originate to distribute model”. We therefore want to ensure that, before investing in a securitisation, UK institutional investors give due consideration to the structural features in place to ensure alignment of interest. But we do not consider the current approach to be appropriately calibrated as it prevents UK institutional investors from exercising their judgement as to whether an investment is appropriate in the context of their mandate and risk appetite, and in line with all applicable sectoral rules.
3.26 Accordingly, we propose that, as part of their due diligence assessment, institutional
investors must be satisfied that a non-UK originator, sponsor or original lender maintains, on an ongoing basis, a sufficient and appropriate alignment of commercial interest in the performance of the securitisation. This proposed provision in SECN 4.2.1R(1)(d) is then supported by guidance in SECN 4.2.1 BG where we set out, in a non-exhaustive manner, how, for the purposes of SECN 4.2.1R(1)(d), a sufficient and appropriate alignment of commercial interest could be achieved between manufacturers and investors, in the absence of which the UK institutional investor should refrain from investing.
3.27 We note that these proposals do not modify existing requirements applicable to UK
manufacturers as regards risk retention. A broader discussion on the scope of the securitisation framework can be found in chapter 10 of this CP.
3.28 We consider that these changes will expand the universe of potential investments for UK
investors, enabling them to better diversify their portfolios and, potentially, to improve their risk-adjusted returns. Question 4: Do you agree with our proposal to replace the requirement for institutional investors to verify manufacturers’ compliance with the 5% risk retention rule with a requirement that the investor satisfy itself that a mechanism exists that aligns their commercial interest to that of the manufacturer of the securitisation? Please elaborate on your response. Question 5: Do you agree with our proposed guidance in SECN 4.2.1B G on how such alignment can be achieved? Please elaborate on your response.

Due diligence before investing
3.29 Beyond verification of certain manufacturers’ obligations, the current framework sets
out a number of requirements on investors to assess their prospective investment in a securitisation. These include conducting:

an assessment of the securitisation and its underlying exposures’ credit risk,
including credit quality, diversification and historical performance;
an assessment of the securitisation’s structural features, such as credit
enhancement features, liquidity support features, cash flow waterfalls, investor voting rights and triggers affecting the securitisation; and
if relevant, an assessment of compliance with Simple, Transparent, and Standardised
(STS) securitisation criteria.
3.30 We propose changes to make these provisions less prescriptive and instead more
proportionate to the level of risk of the investment. Whilst we still require that investors consider and understand all structural features and risk characteristics of the securitisation investment, we propose to no longer make it a requirement for investors to review a specified list of structural features.
3.31 We seek to achieve this by deleting the list of the structural features that investors
must assess under SECN 4.2.2R(1)(b). In its place, we lay down guidance, set down in SECN 4.2.2B G, as to the type of structural features that can materially impact the performance of the securitisation. This is intended to afford institutional investors more discretion as to which specific features of their investment they deem important to assess in line with financial materiality considerations, and other factors.
3.32 Prior to holding a securitisation position, the current rules specify that an institutional
investor must assess compliance with the STS requirements set out in SECN 2 for a UK STS securitisation, or, alternatively, assess that securitisations which appear to be overseas STS securitisations are compliant with specific rules. In making these assessments, a UK institutional investor can rely, to an appropriate extent, on certain notifications and on the information disclosed by the manufacturer, without solely or mechanistically relying on that notification or information.
3.33 We propose to remove the requirements placed on investors to verify the STS status of
a securitisation. We would achieve this by deleting SECN 4.2.2R(1)(c) to (g).
3.34 We consider that the STS status of a securitisation should not automatically impact
the level of due diligence an investor must undertake. Investors should conduct an appropriate amount of due diligence on their securitisation investments. Whether such due diligence ought to include matters related to STS status, should, in our opinion, depend, among other things, on whether such status (or lack thereof) could have a material impact on the performance of the investment.

Question 6: Do you agree with our proposal to no longer prescribe the list of structural features investors are required to assess and to simplify due diligence requirements for STS securitisations? Please elaborate on your response. Due diligence while holding a securitisation position
3.35 SECN sets out a number of due diligence requirements that must be satisfied on an
ongoing basis for as long as an institutional investor holds a securitisation position. These obligations apply both to investors that have invested in a securitisation at issuance and to those that have purchased it in the secondary market. In brief, these requirements currently entail:

establishing written procedures to monitor compliance for the risk management
of the securitisation position and for maintaining records of the verifications and due diligence;
stress testing of the securitisation’s cash flows and underlying exposures, or, for fully
supported ABCP programmes, the solvency and liquidity of the sponsor;
ensuring internal reporting to the investor’s management body; and
investors being able to demonstrate, upon request, that they have a comprehensive
and thorough understanding of the securitisation position and its underlying exposures and that they have implemented written policies and procedures for the risk management of the securitisation position and to maintain records of the verifications and due diligence in accordance with SECN 4.2.1R and SECN 4.3 and of any other relevant information.
3.36 These ongoing requirements in relation to the performance of the securitisation are
prescriptive. Whilst we continue to require investors to monitor the performance of their securitisation investments and associated underlying exposures, we consider that this level of detail is overly granular and duplicative of more general requirements contained in sectoral legislation and applicable to all financial instruments, including securitisations.
3.37 In our view, the current approach also fails to take into account the degree of actual
risk that investors are exposed to. We think that investors should be able to conduct different forms of monitoring for ongoing due diligence, where the level of risk attached to a specific securitisation justifies a different approach.
3.38 Similarly, the rules currently specify that investors must perform stress tests on a
securitisation position’s underlying exposures or ABCP programme sponsor. For similar reasons to the ones set out above, we believe this does not need be prescribed.
3.39 Our rules include a requirement that investors establish written policies and internal
reporting procedures up to its management body regarding ongoing monitoring of securitisation positions. We consider that such a requirement is justified where the actual level of risk the institutional investor is exposed to warrants it and should not be imposed on institutional investors beyond what is already required of them by other rules.

3.40 We therefore propose to continue to require institutional investors to monitor, on an
ongoing basis, the performance of the securitisation position and of the underlying exposures in a manner proportionate to the risk profile of the securitisation position they hold. As part of this, we propose to remove the current prescriptive requirements.
3.41 Regarding the requirement to demonstrate a comprehensive and thorough
understanding of securitisation positions and their underlying exposures, we are of the view that institutional investors must still achieve this when holding a securitisation position. We note that institutional investors are already subject to rules that require them to demonstrate such comprehensive and thorough understanding of their investments (eg, in SYSC 6.1.1R and SYSC 9.1.1).
3.42 The purpose of a due diligence assessment is to provide investors with a comprehensive
and thorough understanding of the risks involved. Accordingly, we have included wording reflecting this outcome within SECN 4.2.2R(1). We also continue to expect investors to have effective internal reporting mechanisms in line with existing requirements. In practice this should result neither in imparting a higher standard of due diligence nor a lowering in requirements.
3.43 This would result in us:

no longer specifying the credit quality attributes that investors must monitor as
requirements, recasting SECN 4.4.1R(1)(a)-(k) as guidance instead in SECN 4.4.1A G;
removing the requirement for institutional investors to perform stress tests on a
securitisation’s cash flows, underlying exposures and/or solvency and liquidity of an ABCP programme sponsor;
removing granular requirements for institutional investors to have in place effective
internal reporting to its management body; and
removing the requirement for institutional investors to be able to demonstrate to us
that they have a comprehensive and thorough understanding of their securitisation investments, as such requirements are covered generally under SYSC 6.1.1R and SYSC 9.1.1R, and reformulating the requirement under SECN 4.2.2R(1).
3.44 We consider these changes in aggregate should result in a more effective allocation of
resources in meeting due diligence requirements.
Question 7: Do you agree with our proposal to remove the prescriptive elements in the ongoing due diligence requirements whilst holding a securitisation position? Please elaborate on your response.

Ability to invest in certain resecuritisations
3.45 SECN 7 sets out a general ban on securitisations to include any securitisation positions,
save for legacy instruments issued prior to 2019 and any securitisation in respect of which the FCA has disapplied, modified or dispensed with this ban such that the underlying exposures may include securitisation positions.
3.46 The current rules specify that institutional investors must always apply for a waiver to be
able to invest in any resecuritisation other than those that are permitted which includes resecuritisations that the FCA has already ‘waived’. We are not proposing to change this mechanism.
3.47 However, we are proposing to broaden the universe of resecuritisations that are
permitted under SECN 7.2.1(2) R. Accordingly, investors should consider the proposed changes to the scope of the resecuritisation ban set out in chapter 6.

Chapter 4
Transparency Requirements
4.1 The transparency requirements in the SECN sourcebook are a key part of the UK
regulatory framework for the securitisation market. They are intended to ensure that investors, potential investors and the relevant regulatory authorities are provided with sufficient information about securitisation transactions and their related risks, both in the early life of transactions and on an ongoing basis.
4.2 Through direct engagement with market participants, feedback to our previous
consultation paper CP23/17 and responses to the European Commission’s 2024 consultation, we have identified several areas where we consider change would be desirable in relation to the transparency requirements.
4.3 The changes we are proposing are aimed at making the reporting regime more useful
for investors and less prescriptive for manufacturers. The policy intent has not changed. It is of critical importance for manufacturers to share relevant, comprehensive and good quality information and data about a securitisation to investors, so that investors can understand and assess the risks associated with the transaction. We believe however that more flexibility around how this is done may achieve better outcomes.
4.4 The changes we propose include:

A reduction in the number of reporting templates, in some cases replacing
templates with a principles-based approach;
moving away from the requirement to produce templates in extensible mark up
language (XML) format;
an exemption from making information available through underlying exposure
templates for single-loan securitisations;
a simplification of retained underlying exposures templates and alignment with the
Bank of England loan level data templates;
the introduction of a simplified underlying exposures template for CLOs;
ceasing, in most cases, to treat public and private securitisations differently in the
application of transparency requirements;
taking steps, in coordination with the Treasury, with a view to no longer requiring
information to be reported by manufacturers to regulated SRs; and,
an amended, less prescriptive, approach to the provision of underlying
documentation relating to a securitisation.
4.5 We would also like to take this opportunity to receive feedback on whether it would
be desirable to broaden the existing carve-out from the provision of information on securitisations under SECN 6.2.1R for reasons of confidentiality and data protection as set out in SECN 6.2.5R. We explain our thinking on this at the end of this chapter.

4.6 Manufacturers of securitisations will continue to be required to provide to investors
all documentation essential for the understanding of transactions, underlying exposures information (although not always in a prescribed template depending on the type of exposures), investor reports but not in a prescribed template and inside information or significant event information but not in a prescribed template. In addition, manufacturers will continue to be required to provide STS notifications to investors for STS transactions and the private notifications we currently receive under the 2019 Direction.
4.7 Our intention is that this combination of changes will result in a meaningful shift
towards a simpler, more proportionate and less costly regime for manufacturers while still maintaining a strong level of market transparency to the benefit of investors and regulatory authorities. Reducing the number of templates
4.8 SECN 11 and SECN 12 contain a set of templates which include:

Annexes 2 to 9: Underlying exposures templates for Non-ABCP securitisations;
Annex 10: Add-on underlying exposures template for non-performing exposures;
Annex 11: Underlying exposures template for ABCP securitisations;
Annexes 12 and 13: Investor report templates (Non-ABCP and ABCP
securitisations); and,
Annexes 14 and 15: Inside information or significant event information templates
(Non-ABCP and ABCP securitisations).
4.9 These templates were introduced with the intention of enhancing transparency in
the securitisation market by making standardised and comparable information readily available in centralised repositories, allowing investors to complete their due diligence more easily.
4.10 However, feedback from industry indicates completion of the templates is costly and
burdensome for manufacturers and that not all of the templates are considered useful by investors.
4.11 We have considered simply retiring all reporting templates and relying solely on the
general reporting requirements currently in our rules. However, investors’ feedback was not positive arguing that some templates were helpful and used, and the general disclosure requirements were deemed too high level to serve their needs.
4.12 As discussed below, we therefore propose to delete certain templates and replace them
with a more principles-based approach calibrated for each asset class, create a specific (and simpler) underlying exposures template for CLOs and where other templates are retained, to simplify them and align them more closely to the loan-level templates that the Bank of England requires to be submitted when receiving certain types of collateral in the context of its market operations. We also propose moving away from the requirement to produce templates in XML format and instead requiring any electronic and machine-readable format.

Moving to a principles-based approach for certain Non–ABCP securitisations
4.13 Our rules currently require the information on underlying exposures to be disclosed via
prescribed templates (at SECN 11 and 12 Annexes 2 to 9) for each of the asset classes from which underlying assets are typically drawn, including an ‘esoteric’ template for underlying exposures that do not fall into one of the other asset classes.
4.14 Through focused engagement with relevant market participants, we understand that
investors value standardised reporting of underlying exposures, although they pointed out that there are certain asset classes for which this mechanism is not well suited. Through this engagement, we had the opportunity to discuss the asset classes for which we consider that standardisation of reporting is not suitable and may create a level of burden on manufacturers which is not proportionate to the benefits to investors. For those asset classes, we are proposing to remove the requirement to complete the underlying exposures templates. These include:

Short-term highly granular exposures such as credit card receivables and trade
receivables. Relevant investors’ feedback suggests that underlying exposures information is not normally needed. Investors indicated that they would usually prefer to be provided with aggregated information in tables of stratification data which capture the material credit quality, performance and risk characteristics of the exposure pools as they evolve over time.
Commercial real estate exposures, which tend to include relatively few exposures
and where there can be considerable variation between transactions. Given these characteristics, as well the relatively low volume of transactions, we consider it may be disproportionate to apply a prescribed template for this asset class. We also note attempts by market participants to develop market-driven reporting standards which stalled in part due to the introduction of prescribed templates as well as low volume of transactions. There is reason to think that adequate market-driven reporting standards would develop in this market segment in tandem with market growth. We would welcome such a development.
While we propose a new simplified underlying exposures template for CLOs, which
we intend to be better suited to CLOs than the current SECN 11 and 12 Annex 4, we propose to move away from a prescribed template for securitisations of corporate exposures which are not CLOs. We recognise that the corporate securitisation market is varied, including securitisations of small and medium-sized enterprise (SMEs), of large corporates, of rated or unrated corporates etc. and therefore a standardised template may not be adapted to a heterogenous market. We believe that removing such a template is a more proportionate approach and could allow for the emergence of market-driven reporting in the future.
Esoteric exposures: this template was designed for small or new asset classes for
which there is no relevant underlying exposures template set out in SECN. However, it could cover an incredibly wide range of possible securitisations, including on new

underlying assets. A one-size-fits-all approach may not appropriately reflect the unique nature of each asset class and can act as a barrier to innovation whilst not being meaningful for investors. We also consider it may be disproportionate to apply a prescribed template for asset classes with a low volume of transactions.
4.15 We therefore propose to cease requiring submission of the templates at SECN 11 and
12 Annexes 3, 4, 7 and 9 which correspond to the underlying exposure templates for commercial real estate, corporate, credit cards and esoteric exposures (but introduce a new template for corporate exposures of a CLO at SECN 11 Annex 4A).
4.16 That does not mean that manufacturers should not report on securitisations with those
underlying asset classes but that a unique and prescriptive template may not be the only way to meaningfully report on such underlying assets. We believe that the right outcome for investors may be better achieved by describing the type of information and data that manufacturers must report on but leave it to them to choose the most appropriate way to disclose them in practice. As such, we are proposing to introduce new language into SECN 11.3 reflecting a principles-based approach to disclosure of underlying exposures for those asset classes. This language aims to reflect the following:

For short-term highly granular exposures, we emphasise the need to provide
aggregated information on underlying exposures in tables of stratification data reflecting credit quality and risk characteristics. We are proposing that this is provided through investor reports (without any prescribed template).
For commercial real estate, we emphasise the need to provide information on the
underlying loans, the tenants and the loan security.
For corporate exposures (which are not exposures in a CLO and are not shortterm highly granular exposures), we focus on the need to provide information on
the underlying loans, information on the borrowers including industry and financial information and loan security.
For other small or new asset classes we emphasise the need to provide information
on the contractual terms of the underlying exposures and the loan security if applicable. Question 8: Do you agree with our proposal to move to a more principles-based approach for disclosure of underlying exposures for certain asset classes and delete SECN 11 and 12 Annexes 3, 4, 7 and 9? Please elaborate on your response. Question 9: Do you agree with our proposed changes to SECN 11.3? Please elaborate on your response.

Moving to a principles-based approach for ABCP securitisations
4.17 Due to the high turnover of the underlying exposures in ABCP transactions and
programmes, investors indicated that the underlying exposure template for ABCP may be of limited use because the data quickly becomes stale.
4.18 We therefore propose to stop requiring the compilation of the underlying exposures
template for ABCP (SECN 11 and 12 Annex 11).
4.19 Instead, we propose to require that underlying exposures information be made available
in aggregated form to investors on a monthly basis and that underlying exposure information at individual exposure level be made available to the sponsor and upon request to investors and potential investors. These requirements are now set out in SECN 6.2.1R(1)(b) and 6.2.3R.
4.20 We will continue to require that investor reports are made available for ABCP
securitisations on a monthly basis, including the type of information which we consider to be of a minimum acceptable standard, but we will no longer specify a template by which this information should be made available. An investor report could be the mechanism through which the aforementioned information on underlying exposures is provided. Question 10: Do you agree with our proposal to replace the underlying exposures template for ABCP (SECN 11 and 12 Annex 11) with a more principles-based set of requirements as set out in SECN 6.2.1R(1)(b)? Please elaborate on your response. Moving to a principles-based approach for investor reports and inside information or significant event reporting
4.21 The introduction of prescribed templates for investor reports (SECN 11 and 12 Annexes
12 & 13) and inside information or significant event information (SECN 11 and 12 Annexes 14 & 15) was intended to help standardise the information made available to investors across asset classes thereby making it easier to collate performance information and make comparisons across issuers and transactions. However, this approach does not seem to have achieved the intended outcome. Manufacturers have pointed out that the process of producing the templates is costly and burdensome, particularly for certain asset classes and is not always suited for all asset classes.
4.22 Conversely, we were told by investors that they are generally satisfied with the investor
reports they obtain from administrators or trustees which tend to be tailored to the type of underlying exposures and the specific details of the securitisation liabilities and structural features such as tests and triggers.
4.23 We are of the view that investor reports are critical for informing investors of the
performance of their investments. We recognise however that the information

needed to be produced may vary depending on the underlying asset class, the type of securitisation and established market practices. Prescribing one investor report template across the whole securitisation market may therefore not be flexible enough to reflect the specifics of each securitisation and not very useful to investors.
4.24 Accordingly, we propose to continue to require that investor reports are made available,
including by setting out the type of information which we consider to be of a minimum acceptable standard, but we will no longer specify templates by which this information should be made available.
4.25 Similarly, in the case of the inside information or significant event templates, investors
questioned whether the templates are duplicative where inside information or significant event information should already be provided because of market abuse regulations or required by transaction documents.
4.26 We believe that it is essential that investors are informed of inside information and
significant events in order to monitor their investments and we therefore intend to keep the requirement that such information be made available. However, we do not feel that a prescribed template to communicate this information has proven efficient. We want to be proportionate and ensure that the information is communicated in a timely manner, which we hope can be achieved more easily without the prescribed template. However, we note that for inside information, MAR Article 17 and DTR 6.3.3 require inside information which is publicly disclosed, to be clearly identified.
4.27 We propose therefore to cease requiring manufacturers to compile and submit the
templates at SECN 11 and 12 Annexes 12, 13, 14 and 15. These annexes would be deleted from SECN 11 and 12, but principles-based requirements would remain in SECN 6.2.1R (5), (6) and (7).
4.28 Notifications of inside information and significant events on private securitisations to
the FCA must still be made in the relevant annexes of the private notification template in SECN 6.4 Annex 1R, 2R or 3R. Question 11: Do you agree with our proposal to replace the investor report and inside information or significant event templates (SECN 11 and 12 Annexes 12, 13, 14 and 15) with more principles-based requirements? Please elaborate on your response. Format of templates and data fields
4.29 SECN 12 currently requires that the information provided in the transparency
templates be made available in an electronic and machine-readable form via common XML templates.
4.30 Investor feedback highlighted difficulties accessing and processing data in XML format
especially for smaller investors who may lack dedicated specialist IT resource. We were also told that investors sometimes faced a one-day delay in receiving query results

following the submission of an XML query to an SR and that the results often contained inconsistencies in how manufacturers had completed the templates. These difficulties, generated by the choice of XML, have pushed investors to use alternative sources of information which are available in more accessible formats (e.g. the Bank of England loan-level templates).
4.31 When the templates were introduced, prescribing the format was intended to make it
easier for investors and regulators to collate and aggregate market data across issuers and transactions. Unfortunately, the intended outcome has not been achieved and on the contrary the format has proven to be a burden on manufacturers and investors alike. We considered prescribing a different format to try to achieve the same objective by a different means, but this could also prove burdensome particularly if technological developments resulted in the new prescribed format becoming outdated quickly.
4.32 On balance, we concluded that it is more important that manufacturers can easily
disseminate information to their investors and that investors can easily access and use the information once made available. We therefore propose to stop requiring that transparency templates be made available in XML and to give more flexibility in the choice of format, as long as it is electronic and machine readable.
4.33 SECN 12 also prescribes formats and standards for the data fields within the current
templates. Later in this chapter we discuss our proposal to align those of the underlying exposure templates which we propose to retain with the Bank of England loan level data templates. Accordingly, we propose to adopt the field format conventions used in the Bank of England templates. This data type, format and length requirement for each data field are included in the templates themselves which are shown in SECN 11 of the draft Handbook text (Appendix 1). As a result of the combination of changes we propose to the transparency requirements, SECN 12 would be deleted in its entirety. Question 12: Do you agree with our proposals to (i) stop requiring that transparency templates be made available in XML and (ii) no longer impose a uniform file format? Please elaborate on your response. Question 13: Do you agree with our proposals as regards the format in which the various data fields within the retained templates are to be populated? Please elaborate on your response. Disapplication of underlying exposure templates for singleloan securitisations
4.34 Industry feedback, including to the PRA’s consultation paper CP13/24, noted the
disproportionate operational and cost burden of applying transparency requirements for single loans securitisations under the UK government’s Mortgage Guarantee Scheme (MGS) or private schemes that provide guarantees. Such requirements can deter issuance of mortgages and other loans covered by some form of credit protection as

well as creating other undesirable consequences, including the inability to securitise such loans under the current rules effecting the ban on resecuritisation (please see
chapter 6 for more detail on our proposals on resecuritisations).
4.35 The PRA has previously clarified that it is not minded to enforce the use of disclosure
templates for single loans under the MGS and similar private schemes.
4.36 We, and the PRA, propose to go further and exempt any single-loan securitisations
(whether residential mortgage-backed securities (RMBS) or not, and whether benefiting from credit protection or not) from the requirement to make underlying exposures information available in the prescribed underlying exposure template.
4.37 Firms would, however, remain subject to the broader transparency requirements, which
specify the type of information required to be disclosed in more general terms.
4.38 This proposal would be implemented through an amendment to SECN 11.3.1R(1) to
make an exception to the completion of the retained underlying exposures templates for securitisations which comprise a single underlying exposure. Question 14: Do you agree that provision of underlying exposure information in the proposed amended SECN 11 templates is not useful in the case of a securitisation with a single underlying exposure? Please elaborate on your response. Retaining certain templates while aligning them to the Bank of England templates
4.39 We propose to retain underlying exposure templates for more mature and
homogeneous asset classes where investor feedback indicates standardised reporting is more useful. We propose to retain the requirement on manufacturers to produce and make available templates as will be set out in the proposed amended SECN 11 Annex 2 (Residential Real Estate), Annex 5 (Automobile), Annex 6 (Consumer) and Annex 8 (Leasing).
4.40 While retaining templates for these asset classes, we propose to modify them to
align them to the loan level data templates used by the Bank of England for assessing eligible collateral for its lending facilities. A number of investors indicated that the Bank of England loan level data templates are a good source of underlying exposures information.
4.41 For those manufacturers whose securitisations are likely to be submitted for
assessment as eligible collateral, we also expect the alignment of templates between the Bank of England and the new proposed templates to result in simplified and streamlined regulatory reporting leading to lower overall costs in aggregate.

4.42 Our approach to the harmonisation of the two sets of templates consisted of
these steps:

We retained common fields which previously existed in both templates, but
introduced the Bank of England overall template format, field numbers, field names, field definitions and data types or formats.
Where the Bank of England template included fields which were not included in the
SECN templates, we have generally left those rows blank in the redesigned SECN templates, in order to keep them closely aligned to the Bank of England templates.
Where the SECN templates included fields which were not in the Bank of England
templates, we have carefully assessed the relevance and usefulness of those fields and retained what we consider to be essential fields. For ease of use, these fields are now included at the bottom of the new SECN templates.
In a very small number of instances, we have introduced a new field or amended field
details in response to industry feedback.
In aggregate, these steps generally result in a reduction in the number of fields as
illustrated in the following table.
Underlying exposures type
Number of fields in current template
Number of fields in proposed template
Residential Real Estate 107 96 (71 mandatory) Automobile 84 73 (56 mandatory) Consumer 69 59 (47 mandatory) Leasing 84 86 (69 mandatory)
4.43 In addition, we propose to retain an add-on template for non-performing exposures (the
proposed amended SECN 11 Annex 10 (Non-performing exposures)). While there is no corresponding template used by the Bank of England for assessing eligible collateral, we have redesigned the template so that its overall format is similar to the other new SECN templates. We have made no substantial changes to the content of the template but we would welcome feedback on potential improvements.
4.44 The FCA also proposes to delete SECN 11.3.4 as it exists solely for the purposes of
11.3.3, and instead to use the Handbook Glossary definition of NPE securitisation for the purpose of 11.3.3. This change will ensure consistency by applying a single definition across SECN. The FCA considers that this proposal is unlikely to have any practical impact on firms, while supporting the overall coherence of the rules.
4.45 For those manufacturers whose securitisations are likely to be pre-positioned or used as
collateral with the Bank of England, we expect the transition to the new SECN templates to be straightforward. We plan to further facilitate the transition for such securitisations by introducing guidance in SECN 11.3.8G which allows a reporting entity to satisfy the requirement to provide underlying exposures information in the proposed new SECN 11
Annex 2 for residential real estate by using the Bank of England residential mortgages
/ RMBS loan level data template, as long as it provides alongside that template any

information required by SECN 11 Annex 2 which is not included in the proposed new template (we discuss this in more detail in chapter 9).
4.46 For manufacturers who do not fall into this category and for manufacturers who plan
to market their securitisations to EU investors, we intend to facilitate the transition and are proposing that the current EU templates can continue to be used instead of the new SECN templates for as long as we deem it useful (we discuss this in more detail in
chapter 9). We intend to revisit this position if the EU templates are amended.
4.47 To assist consideration of the above proposals, we have provided online versions of the
proposed new templates which are marked up against the Bank of England loan level data templates and additional information comparing these to the current FCA Excel files available on the Securitisation webpage. The online versions can be found here. Question 15: Do you agree with our proposal to retain underlying exposures templates for Residential Real Estate, Automobile, Consumer, Leasing and Non-performing exposures? Please elaborate on your response. Question 16: Do you agree with our proposal to align the retained templates to the Bank of England loan level data templates? Please elaborate on your response. Question 17: Do you have any comments on the new templates for SECN 11 Annex 2 (Residential Real Estate), Annex 5 (Automobile),
Annex 6 (Consumer), Annex 8 (Leasing) or Annex 10 (Nonperforming exposures), for example on the fields included
or excluded, the order of the fields or the inclusion of blank fields? Please elaborate on your response. Developing a specific template for CLOs
4.48 We have received feedback from CLO managers that the SECN 11 and 12 Annex 4
template for corporate underlying exposures is not well suited to the CLO market, noting that approximately 25% of the data fields are not applicable to CLOs. Further feedback on the Collateral information section of SECN 11 and 12 Annex 4 (which is intended to capture loan or bond security information for each exposure) suggests there are challenges in completing this section with useful information and called into question the validity of attempts to capture this type of information in a prescribed template.
4.49 CLO investors told us that they are generally satisfied with CLO managers’ reports.
There are various degrees of reliance on the underlying exposures information with investors in equity or mezzanine notes sometimes placing more emphasis on the underlying exposures information than investors in the most senior tranches.

4.50 The CLO market is a large and mature market, and the FCA considers that standardised
disclosures of underlying exposures can be beneficial to investors and can facilitate supervisory work by the FCA. We might consider disapplying the requirement to complete this template during the warehouse phase of a CLO and we would welcome feedback on this proposal.
4.51 We propose a new simplified template, SECN 11 Annex 4A for CLOs, which includes 43%
fewer data fields than the current SECN 11 and 12 Annex 4. This reduction is driven by the deletion of fields which are not applicable to CLOs and by the replacement of the Collateral information section with a single data field to capture information on the loan security of each exposure. Our intention is that the proposed new SECN 11 Annex 4A template should be more relevant for the CLO market and simpler for manufacturers to complete.
4.52 While there is no corresponding template used by the Bank of England for assessing
eligible collateral, we have redesigned the template so that its overall format is similar to the other new SECN templates. Question 18: Do you agree that this proposed new template SECN 11
Annex 4A is better suited to CLOs than the current one
in SECN 11 and 12 Annex 4? Please elaborate on your response.
Question 19: Do you have any comments on the proposed fields included in (or excluded from) the proposed new SECN 11 Annex 4A for CLOs? Please elaborate on your response. Question 20: Should the requirement to complete SECN 11 Annex 4A apply during the warehouse phase of a CLO? Please elaborate on your response. Simplification of ‘no data’ rules
4.53 SECN 11 sets out five possible ‘No data options’ to indicate the reason why information
is unavailable for inclusion in the templates. In order to simplify the requirements and to align with the Bank of England loan-level data templates, we propose to adopt the approach taken by the Bank of England by distinguishing between mandatory and optional data fields and by allowing only one type of ‘No data’ response. Question 21: Do you think that some significant information will be lost by making this simplification to the no data rules as they apply to completion of underlying exposure templates? Please elaborate on your response.

Removing the distinction in treatment between public and private securitisations
4.54 SECN 6 draws a distinction in the application of the transparency requirements,
depending on whether a prospectus is required under the FCA’s rules in ‘PRM Admission to Trading on a Regulated Market’ (PRM), i.e. whether they are public or private securitisations. Broadly speaking, public securitisations are those traded on a UK regulated market. Public securitisations are currently subject to more transparency requirements than private securitisations including additional transparency templates (e.g. inside information or significant event template) and the requirement to make information available via a regulated securitisation repository.
4.55 In the discussion chapter of CP23/17 we discussed the delineation between public
and private securitisations and noted two issues with the current framework. First, that there were some securitisations which are public in substance that are not usually captured by the transparency requirements intended for public securitisations. The second issue related to difficulties with the reporting regime for private securitisations such as a perceived lack of proportionality, the content of the information reported and its usefulness to investors. Our intention was to refine the definition of public securitisations and create a lighter transparency regime for private securitisations.
4.56 We discussed three options to change the definition of public (and private)
securitisations and noted our preferred option of expanding the public definition to include more transactions which are public in substance.
4.57 We received diverse feedback from market participants and trade bodies highlighting
difficulties in capturing transactions which are truly public in substance.
4.58 Some responses noted that expanding the public definition to capture transactions
listed on non-UK venues or Multilateral Trading Facility (MTFs) would be inappropriate because these listings are often created for reasons other than liquidity and secondary trading, such as for tax purposes or investor preferences.
4.59 Other responses argued that introducing additional criteria to determine the nature of a
securitisation, such as public communication about a transaction or number of investors could introduce ambiguity and interpretation issues.
4.60 Further feedback stated that capturing the ability of investors to negotiate relevant
terms and conditions of a securitisation investment is difficult to execute in practice and could result in regulatory ambiguity.
4.61 More recent engagement highlighted that investors consider transparency obligations
should apply based on the type of underlying exposure rather than hinging on whether a transaction is public or private.
4.62 Having reflected on the varied feedback received, we propose to no longer distinguish
between the treatment of public and private securitisations in relation to the transparency requirements in SECN. For any asset class where we propose to keep the requirement to provide information in underlying exposure templates, that

requirement would apply to all transactions, whether they were previously classified as private or public. This change needs to be understood in the context of the other proposals in this chapter such as the removal of the requirement to report information to a regulated securitisation repository, the removal of investor report templates and inside information and significant event templates and the simplification or removal of underlying exposures templates. Accordingly, we propose to remove the delineation in treatment between public and private securitisations in SECN 6.2(R), SECN 6.3(R) and SECN 11.1(R).
4.63 Our rules will continue to distinguish between requirements for private and public
securitisations for the purposes of the STS notification requirement and the notification of private securitisations currently required under the Direction issued by the FCA and the PRA in 2019 and which we propose to replace with new rules in SECN 6 (discussed later on in this chapter). Question 22: Do you agree with our proposal to remove the distinction in treatment between public and private securitisations regarding the majority of the transparency requirements? Please elaborate on your response. The role of securitisation repositories (SRs)
4.64 As set out earlier in this chapter, we propose to stop distinguishing between the
treatment of private and public securitisations for the majority of the transparency requirements, to reduce the number of prescribed templates and to cease imposing a specific format for the provision of those templates.
4.65 The policy choices behind those proposals have led us to further consider the overall
architecture of the transparency framework.
4.66 Pre-dating the introduction of rules applicable to them by virtue of the EU securitisation
framework, securitisation repositories responded to a market need and were incorporated into the regulatory framework with the intention of providing centralised and standardised data on the securitisation market to investors and regulators.
4.67 A number of investors have indicated to us that they do not tend to access data
through securitisation repositories. They cited various reasons for this, including the format (XML), the content and nature of the information included in the mandatory templates, and some also said they have concerns around the quality and consistency of data of the regulatory templates. Instead, some investors obtain the data they need either directly from the manufacturers or from commercial data providers, including because they can obtain information that is more helpful and relevant to making their investment decisions.

4.68 Having weighed all of these factors, we consider that with very few templates remaining
in place, it is difficult to justify the costs for manufacturers to report to repositories when the information does not seem to be widely used by investors. Ceasing to require UK manufacturers to submit information to repositories would result in cost savings and lower barriers to entry for manufacturers. This is discussed in more detail in the cost benefit analysis (CBA) in Annex 2.
4.69 More generally, we note that the EU transparency framework was introduced to achieve
a centralised set of comparable disclosures that could provide a platform to be used by investors across Europe. We are not convinced that the potential benefits of this approach have been fully realised in the UK, and we are also mindful that some of the advantages of information clustering may no longer apply.
4.70 We have considered alternative options such as maintaining the requirement to report
to regulated SRs while moving away from the mandated XML format and simplifying the templates. This might encourage investors to use SR data more widely. We are of the view however, that we should not prescribe the sources from which investors may look to receive their information. We believe instead that market practice will naturally dictate how information may be accessed.
4.71 Furthermore, we think that it is difficult to align the transparency requirements for public
and private securitisations while maintaining reporting of information to regulated SRs given industry’s feedback to the European Commission’s 2024 consultation regarding the proposal that private securitisations be reported to a regulated SR. Concerns were raised such as loss of confidentiality, increased and disproportionate costs to issuers without any apparent benefit since the information would not be made public.
4.72 Taking into account the various factors discussed above, we are proposing to stop
mandating by regulation that manufacturers must report to SRs. SECN 6.3 would instead specify that the information required to be provided by our rules must be reported by means that are accessible to investors and potential investors and managed with appropriate governance, systems and controls. Unregulated securitisation repositories could be a way of satisfying this obligation.
4.73 Indeed, we consider it critical that investors have easy and free access to the information
they need. As such, we believe there is an important role for centralised repositories of data for securitisation investors to offer issuers and investors a market-led service. But it is not clear to us that these have to be regulated in order to achieve this outcome although this is a matter for the government to decide on.
4.74 Part 5 of the UK SR 2024 sets out the framework under which a body corporate can
apply to the FCA for registration as a securitisation repository, relevant eligibility requirements, conditions for registration and withdrawal, and other matters. It also empowers the FCA to make rules that apply to securitisation repositories and to impose requirements.
4.75 Following discussions with the Treasury, we understand that they are considering laying
before Parliament a SI which will amend relevant parts of the UK SR 2024 requiring SRs to be regulated by the FCA.

4.76 We are working closely with the Treasury to reflect changes to the legislation in SECN.
This will entail the deletion of the entirety of SECN 9 as well as of relevant rules in SECN 6 (including SECN 6.3.2R) that currently require reporting entities to make information for a securitisation transaction available by means of a securitisation repository registered by the FCA. Subject to the making of a Statutory Instrument (SI), we propose that the changes to our rules will come into effect accordingly.
4.77 We provide more detail on implementation in Chapter 9.
4.78 The FEES manual would be amended to reflect the removal of SRs.
Question 23: Do you agree with the removal of the requirement for information to be reported to securitisation repositories? Please elaborate on your response. Provision of documentation
4.79 SECN 6.2.1R(2) requires manufacturers to provide all documentation essential for the
understanding of a securitisation position and specifies the list of documents which should be included where applicable. This requirement applies to all securitisations. The list of documents in sub-paragraphs (b) to (g) includes documents which apply to some transactions, but not to all, and we are keen to understand the usefulness of this list, as it was intended to ensure that investors have access to a wide range of transaction documents. Based on limited feedback, we see an opportunity to simplify and clarify this requirement so that it emphasises the provision of all relevant transaction documents for both public and private securitisations in a broadly consistent way.
4.80 Industry feedback suggests that investors rely mainly on the offering document or
prospectus for public transactions. However, investors indicated that depending on the nature of a particular transaction or the track record of manufacturers, they would request some or all of the underlying transaction documents to carry out their due diligence. Which particular transaction documents investors want to scrutinise differs among transactions and investors can normally identify the existing set of transaction documents by referring to the prospectus. Further feedback, by no means unanimous, suggested that the current list of documents is not helpful and that, instead, there should be a requirement that all relevant transaction documents be provided to investors upon request as well as the offering document or prospectus.
4.81 Regarding private securitisations, we were told by some market participants that such
transactions are normally based on a term sheet which provides the basis for the negotiation of the transaction documents and that it would be typical for investors in a private securitisation to be provided with the term sheet and all the transaction documents, since investors in such transactions are normally parties to the negotiation and agreements.
4.82 Access to relevant documents is clearly essential for investors and it is not our intention
to reduce the information available to investors. Our intention is to simplify and clarify the current requirement as much as possible and make it relevant for all securitisations,

whether public or private. Accordingly, we propose to remove the list of documents in sub-paragraphs (b) to (g) of SECN 6.2.1R(2) and instead require the provision of an offering document, prospectus or termsheet together with all of the transaction documents (excluding legal opinions). These documents should be provided to holders of securitisation positions and upon request to potential investors and regulators. For public securitisations, we would no longer require these documents to be provided by means of a securitisation repository.
4.83 Industry feedback also suggested that the current timeframe for provision of final
transaction documents after closing may be unnecessarily stringent at 15 days after closing of the transaction. It was suggested to us that 30 days after closing or by the first scheduled interest payment date on the transaction would be sufficient. Accordingly, we are proposing a change to SECN 6.2.2R(2) to lengthen the time allowed from 15 days after closing to the earlier of 30 days after closing or the first scheduled interest payment date on the transaction.
4.84 SECN 6.2.1R(3) requires that a transaction summary be provided for securitisations
where a prospectus is not required to be drawn up.
4.85 Industry feedback suggests that transaction summaries are not useful for investors,
because in the absence of a prospectus, an investor will undertake a review of the transaction documents or may even be a party involved in negotiating and agreeing such documents.
4.86 In line with our objective to remove unnecessary burden, we propose to remove the
requirement to provide a transaction summary by deleting SECN 6.2.1R(3).
4.87 We note several references in SECN 5 to a transaction summary as a document in
which risk retention could be disclosed in the absence of a final offering document or prospectus. We propose to replace ‘transaction summary or overview of the main features of the securitisation’ with ‘or other transaction documentation’ for each of these references. In addition, we propose to insert a new sub-paragraph in SECN 6.2.1R(2) referring to a ‘disclosure in relation to risk retention requirements’. Question 24: Do you agree with our proposed changes to SECN 6.2.1R(2) which require the provision of all transaction documents as well as the offering circular, prospectus or term sheet? Please elaborate on your response. Question 25: Do you agree with the deletion of the list of documents in sub-paragraphs (b) to (g) of SECN 6.2.1R(2)? Please elaborate on your response and indicate which documents are critical in order to reach an investment decision prior to investing in a securitisation. Question 26: Do you agree with our proposal regarding the timing to provide the final documents in SECN 6.2.2R(2)? Please elaborate on your response.

Question 27: Do you agree with our proposal to remove the requirement to make a transaction summary available as per SECN 6.2.1R(3)? Please elaborate on your response and explain the circumstances in which the transaction summary is useful. Question 28: Do you agree with the changes we propose to SECN 5 and SECN 6.2.1R(2) regarding disclosure of risk retention as a result of the proposed removal of the requirement to provide a transaction summary? Please elaborate on your response. Notifications of private securitisations to the FCA and PRA
4.88 Manufacturers of private securitisations are currently required to submit notifications
of their securitisations to the FCA or the PRA under Direction by the FCA and PRA. We intend to retain this requirement but move it from a Direction to a rule in SECN 6. For purposes of determining which transactions will need to be notified, we are proposing to retain the existing distinction in treatment between public and private, and therefore require notifications of those securitisations that are not required to provide a UK prospectus under the rules in PRM.
4.89 Separately, we note that the new prospectus rules which came into force in January
2026 have made consequential changes to SECN to update references to the UK prospectus regime, so that references to a prospectus being required (or not) by ‘section 85 of the Act (Contravention of prohibition relating to public offer of securities) and drawn up pursuant to rules made by the FCA for the purposes of Part 6 of the Act (official listing)’ have changed to ‘the rules in PRM’.
4.90 We plan to make some minor changes to the contents of the private
notification templates:

In field SECPR13 of the proposed SECN 6 Annex 1R for Non-ABCP securitisations,
we propose two new types of underlying exposures classification for (i) corporate underlying exposures of CLOs and for (ii) MGS or similar private schemes. These additional classification types are intended to make it easier to distinguish these securitisations from others. In addition, we have noted that the notification of MGS and similar private schemes should be on an aggregated annual basis as per the footnote to Annex A of SECN 6 Annex 1R.
Amendment of the field description for SECPR14 of the proposed SECN 6 Annexes
1R, 2R and 3R to clarify that where transactions are issued in multiple currencies, a single aggregated notional value should be recorded.
Insertion of three new data fields to record the original expected weighted average
life (WAL) of the underlying exposures, to flag resecuritisations and to distinguish between traditional and synthetic Non-ABCP securitisations. The former two are included in the proposed SECN 6 Annexes 1R, 2R and 3R, while the latter is only included in the proposed SECN 6Annex 1R.

4.91 At the same time, we propose to relax the timing of the main notification deadline to
be within one week after the issuance of the securities or creation of the securitisation positions, instead of requiring the notification to be submitted before pricing or commitment to invest. We believe this is a more proportionate approach.
4.92 Finally, we propose that the notification method will continue to be by email. We propose
that, subject to PRA proposals, all private notifications, whether originating with a PRA or an FCA regulated originator, will now have to be submitted to the FCA and no longer to the PRA.
4.93 The submission of private securitisation notifications for all transactions in scope
may be an area of supervisory focus for the FCA in future as a means to monitor developments in the private securitisation market. In the past we have seen variable quality of reporting and we may take a more stringent approach in future to ensure that the data we receive is accurate and complete. Question 29: Do you disagree with any of the changes we propose for private notifications? Please elaborate on your response. Frequency of reporting and long first interest periods
4.94 Market participants have sought clarity on the frequency of provision of information for
transactions which have a long first interest period.
4.95 In response, we propose to insert a new provision SECN 6.2.2R(3)) to clarify that the
first reporting of the information referred to therein should be made available at the latest one month after the due date for the first interest payment date of the relevant securitisation. Question 30: Do you agree with our proposal to clarify the frequency of reporting for securitisations with a long first interest period? Please elaborate on your response. Our approach to confidentiality and data protection
4.96 SECN 6.2.5R permits the information required under transparency requirements to be
provided in anonymised or aggregated form or as a summary of documentation in order to comply with UK confidentiality and data protection laws.
4.97 In response to CP23/17, we were asked to reconsider the interaction between
contractual confidentiality and our transparency rules. We also received suggestions that the current approach to confidentiality and data protection should be extended to cater not just for UK law, but also relevant laws applicable in other jurisdictions.

4.98 We are not inclined to make changes to our rules to allow for carve-outs based on
contractual confidentiality because we consider this could result in less information being provided to investors without sufficient justification.
4.99 However, we might consider recognition of relevant laws applicable in other jurisdictions
(beyond the UK), in order to facilitate the issuance of cross-border securitisations to which the laws of other jurisdictions may apply. We would like to understand whether this still remains a concern, given all the changes we already propose in this paper.
4.100 To understand if any further change is justified, we request examples of issues which
may still exist despite the other changes proposed in this paper regarding the current formulation of SECN 6.2.5R. Question 31: In light of the proposals set out in this paper, does the current formulation of SECN 6.2.5R create barriers to the issuance of securitisations by limiting its application to confidentiality and data protection laws which apply in the UK only? Please elaborate on your response and provide relevant examples. Question 32: If you disagree with our proposals on the transparency requirements, how could we change them?

Chapter 5
STS Notifications
Publication of STS Notifications
5.1 The UK SR 2024 requires the FCA to maintain a list of securitisations notified to the
FCA as meeting UK STS criteria. SECN 2.6.1R sets out the information which must be included in STS notifications and which information from the STS notifications is to be published by the FCA. This requirement differs between securitisations for which a prospectus is required by the FCA rules in PRM (the public securitisations) and those for which it is not (the private securitisations). For the former, the FCA publishes the full details of the STS notification, while for the latter an anonymised version is published.
5.2 Feedback from manufacturers suggested that the current rules result in anonymised
STS notifications being published for some securitisations which are private, but public in substance, and for which their manufacturers would have welcomed the flexibility to choose that the full details of their STS notification be published.
5.3 In response, we propose to retain for this purpose the distinction between public
(defined as requiring a UK prospectus under the rules in PRM) and private securitisations, but to propose changes to SECN 2.6.1R so that the originator or sponsor of a private securitisation can decide whether the full details of the STS notification are published on the FCA’s STS list or not. If the originator or sponsor prefers that the full details are published they may submit the public STS notification template. Alternatively, if the originator or sponsor does not want the full details of a private securitisation to be published, they have the option to submit the private full template and the private anonymised STS notification template, the latter of which will be published instead of the full details.
5.4 An alternative proposal could be to offer this choice for all securitisations which would
avoid different treatment of public and private securitisations. However, this would raise the risk that STS notifications would be published on an anonymised basis even for securitisations which we currently consider to be public. Nonetheless, we believe this risk may be low because we would expect manufacturers to be incentivised to promote the STS information for their transactions.
5.5 Our intention is that investors will have greater transparency, where appropriate, as to
which securitisations are on the STS list and their details.
Question 33: Do you agree with our proposal to give originators and sponsors flexibility to decide whether the full details or anonymised version of STS notifications should be published for private securitisations? Please elaborate on your response. Question 34: Do you think the alternative proposal is preferable to our proposal? Please elaborate on your response.

Chapter 6
Resecuritisation
6.1 The current securitisation rules, as outlined in SECN 7, impose a ban on resecuritisation
unless the FCA, or the PRA as the case may be, have agreed to it. This is subject to transitional provisions for pre-2019 resecuritisations. The ban applies to both UK manufacturers manufacturing a resecuritisation and UK institutional investors investing in a resecuritisation.
6.2 The resecuritisation ban aims to address the complexity and opacity of resecuritisation
as observed during the GFC. FCA institutional investors are currently required to request a waiver if they want to invest in any resecuritisation except those allowed by our rules (SECN 7.2.2 R and SECN Sch 6).
6.3 However, the PRA and the FCA acknowledge that a broad ban on resecuritisation
inadvertently restricts manufacturers from undertaking specific resecuritisation where the product design and nature of the underlying does not pose the same level of risks.
6.4 Accordingly, in its consultation, the PRA sets out proposals to exempt, subject to a
number of conditions, two specific types of resecuritisation structures from the ban. For the avoidance of doubt, FCA institutional investors would be allowed to invest in those types of resecuritisation without expressly requesting a waiver from the FCA.
6.5 The two specific types of resecuritisations proposed to be exempted are:

The securitisation of securitisation positions which are constituted by one exposure
and its related credit protection. An example of such securitisation positions is the loans underwritten under MGS; and
The securitisation of the senior most securitisation positions.
6.6 As outlined above, we are proposing to allow the resecuritisation of exposures that
benefit on an individual level from the credit protection, such as under the MGS. We also welcome views on whether it would be desirable to provide this exemption on a broader basis.
6.7 These proposed exemptions will be subject to a number of safeguards discussed in
more detail in the PRA consultation document, including that these securitisations cannot qualify as STS.
6.8 Importantly, it is proposed that the exemptions listed above will only be allowed to
the extent that the originator and sponsor of the resecuritisation are PRA authorised persons. There are no corresponding proposals for FCA regulated manufacturers. However, institutional investors subject to SECN will be able to invest in these products.

6.9 We’re also clarifying that retranching of contiguous issued tranches into one or a
fewer number of tranches shall not constitute a resecuritisation. This clarification was previously in the risk retention part of SECN (at SECN 5.17.1(4)), but we have restated it and moved it to the resecuritisation part where we consider it is more appropriately located (at SECN 7.2.3R).
6.10 The changes proposed to our Handbook can be found at SECN 7.2. These align with the
changes proposed to the PRA rules.
Question 35: Do you agree with our proposals to allow FCA regulated institutional investors to invest in these types of resecuritisations? Please elaborate on your response.

Chapter 7
Credit Granting
7.1 The credit granting requirements, set out in SECN 8, are an important policy measure
introduced after the GFC. The credit granting requirements stipulate underwriting standards for exposures to be securitised.
7.2 The purpose of these rules is to mitigate moral hazard and the repeat of ‘originate to
distribute’ practices that would otherwise lead to exposures being underwritten for the sole purpose of being securitised.
7.3 We consider, however, that the current wording of these rules is not sufficiently clear and
may affect uniformity of interpretation and, accordingly, a harmonised implementation.
7.4 In order to enhance regulatory clarity, we propose to:

Clarify that sound and well-defined criteria for credit granting must apply to
any exposure to be securitised, irrespective of whether other non-securitised exposures exist.
Replace the term ‘non-securitised exposures’ in SECN 8.2 with a simpler and clearer
reference to the ‘comparable assets remaining on the [firm’s] balance sheet, if any’.
Clarify that, all other things being equal (i.e., product type, target clients etc), firms
cannot apply to securitised exposures ‘less stringent’ underwriting criteria than those applicable to comparable assets remaining on the balance sheet, if any. This aims to ensure that firms do not apply less stringent standards depending on whether they intend to securitise the exposures they originate or not.
7.5 The FCA considers that these changes will provide greater clarity and certainty to
manufacturers and the broader market regarding the minimum underwriting quality of loans that are to be securitised. The FCA expects this to contribute to the quality and resilience of the securitised loans, serving the interests of both manufacturers and investors.
7.6 The relevant changes are to be found in SECN 8.2. These align with the changes
proposed to the PRA rules.
Question 36: Do you agree with our proposals to clarify the rules surrounding credit granting in SECN 8.2? Please elaborate on your response and what alternatives should we consider?

Chapter 8
L-Shaped Risk Retention
8.1 Risk retention rules aim to align the incentives between securitisation manufacturers
and investors by requiring the former to retain a degree of exposure to the risk in the securitisation.
8.2 Currently, the UK securitisation rules stipulate five manners of risk retention as eligible,
as outlined in SECN 5.2.8 R. However, the rules do not permit an L-shaped manner of risk retention. L-shaped risk retention is commonly understood as manufacturers retaining a certain percentage of the first loss tranche, with the residual risk retained by holding the remaining tranches in equal proportion.
8.3 We consider that permitting L-shaped risk retention could provide manufacturers with
additional flexibility by making it easier to issue in overseas markets where the investors are more likely to be familiar with this modality of risk retention.
8.4 Under the proposal, the L-shaped combined horizontal (first loss tranche) and vertical
(equal proportion in remaining tranches) element must amount to a minimum of 5% of the nominal value of the securitised exposures. In case of multiple holding retainers, each retainer should retain the net interest in the securitisation on a pro rata basis and in the same proportion.
8.5 The relevant changes are to be found in SECN 5.2, SECN 5.3, SECN 5.4 and SECN 5.9A.
Question 37: Do you agree with the proposal to allow L-shaped risk retention as an eligible form of risk retention? Please elaborate on your response.

Chapter 9
Implementation
9.1 This chapter explains our proposed approach to implementation and transition to the
new framework should we proceed with the proposals discussed in this paper.
9.2 In designing our approach to implementation of and transition to the proposed SECN
regime, we seek to achieve a smooth process that would ensure sufficient time for:

market participants to familiarise themselves with the new rules,
manufacturers to adjust to producing information in new formats and making it
available by different means, when applicable,
investors to adjust to accessing data differently and in processing data in new
formats, and,
for securitisation repositories to make adjustments to their systems, processes
and services.
9.3 Furthermore, we recognise that there are UK manufacturers who market to EU investors
and will therefore need to provide the information that EU institutional investors require under EU rules. To avoid placing a more complex and costly reporting burden on such manufacturers, we propose to introduce some flexibility in the transparency requirements by introducing a mechanism whereby a UK manufacturer’s compliance with EU rules would be deemed sufficient to satisfy UK requirements. Delayed entry into force
9.4 In order to provide some additional time for market participants to prepare for the
proposed changes to the securitisation rules, we propose that the new requirements would not enter into force until six months after the making of the new rules.
9.5 We have not included any transitional provisions because of this proposed delay which
we consider to be sufficient time for market participants to make preparations for entry into force of the new rules. Question 38: Is the proposed period of 6 months between publication of the final SECN instrument and the new requirements coming into force reasonable, assuming we proceed broadly as proposed? Please elaborate on your response.

Acceptance of EU underlying exposures templates for certain asset classes
9.6 We want to avoid friction and unnecessary costs for manufacturers who market their
securitisations to EU investors.
9.7 Given that the core information content is similar in most of the underlying exposure
templates which apply in the UK and in the EU, even though the design and format of the templates differ, we propose to allow UK manufacturers to satisfy our requirements by providing underlying exposures information in the corresponding EU underlying exposure template. This would be instead of the proposed new SECN 11 underlying exposure templates for the asset classes for which we propose to continue to require specified templates, namely Residential Real Estate (Annex 2), Automobile (Annex 5), Consumer (Annex 6) and Leasing exposures (Annex 8). The EU add-on template for nonperforming exposures would also be accepted instead of the proposed new SECN 11 Non-performing exposures add-on (Annex 10).
9.8 However, for CLOs, we would require manufacturers to provide underlying exposures
information in the proposed new SECN 11 Annex 4A template. This means CLO manufacturers may need to also continue to produce a corporate underlying exposures template to satisfy EU requirements if also required under EU regulation. In our view, SECN 11 Annex 4A is more suited to the CLO market than the equivalent template for corporate underlying exposures under EU rules.
9.9 We would require that the above-mentioned underlying exposure templates be made
available as appropriate for all securitisations regardless of any categorisation as public or private securitisations.
9.10 Should manufacturers choose to provide underlying exposures information in one of the
EU underlying exposure templates, we would not require the information to be provided in XML format, nor would we require submission of the template to a securitisation repository. Instead, the information should be made available in a way which is accessible to investors and potential investors as appropriate and meets the requirements of the proposed new wording of SECN 6.3.4R.
9.11 The versions of the EU underlying exposures templates which we propose to accept
as satisfying our rules, are those required by Commission Delegated Regulation (EU) 2020/1224 and 2020/1225 as in force on 16 February 2026. We are aware that these are under review by EU Authorities and are likely to be adjusted in the next few years. This may result in a deviation between the new EU requirements and the templates which the FCA proposes to accept pursuant to these proposals. When this occurs, the FCA will consider whether it needs to adjust its approach. Question 39: Do you agree with the proposal to allow use of the current EU underlying exposure templates for certain asset classes instead of the new SECN 11 underlying exposure templates? Please elaborate on your response.

Guidance regarding the provision of underlying exposures information in the proposed new SECN 11 Annex 2 for residential real estate
9.12 For those securitisations which are pre-positioned or used as collateral with the Bank
of England, it is necessary to submit loan-level data in the Bank of England loan-level templates. It is our understanding that the majority of such securitisations comprise residential real estate exposures.
9.13 We recognise that the Bank of England residential mortgages / RMBS loan level data
template contains the majority, but not all, of the information required in the proposed SECN 11 Annex 2 Underlying exposures template for residential real estate.
9.14 In an effort to streamline the reporting requirements for such securitisations, we
propose to introduce guidance in SECN 11.3.8G which allows a reporting entity to choose to use the Bank of England residential mortgages/ RMBS loan level data template as a format for making available the information required by SECN 11 Annex 2 as long as it provides alongside that template (within the same file, on an additional tab) any information required by SECN 11 Annex 2 which is not included in that template.
9.15 For example, the information specified in fields AR237SECN to AR246SECN of SECN
11 Annex 2, to be shown alongside the Pool Cut-off Date (field number AR1) and Loan Identifier (field number AR3).
9.16 We have indicated in the guidance the additional fields not included in that template
at the time of this consultation but required by the proposed new SECN 11 Annex 2. However, the Bank of England template may change and the FCA will not be monitoring it for updates, so it is the responsibility of the reporting entity to ensure that it has disclosed the required information. Question 40: Do you agree with the proposed guidance introduced in SECN 11.3.8G regarding the provision of underlying exposures information in the proposed new SECN 11 Annex 2 for residential real estate? Please elaborate on your response.

Chapter 10
Discussion chapter: Scope of
Securitisation Rules
10.1 The definition of securitisation is widely considered to be broad. Given market
evolution since its introduction, certain stakeholders now argue that it may be capturing transactions where the benefits flowing from the application of the SECN conduct rules (and equivalent PRA provisions) are either unclear or, some argue, do not justify the costs.
10.2 Given the experience gained by market participants and the regulator with the
securitisation framework, we want to assess whether the scope of what is caught by the rules remains appropriate.
10.3 In the context of this chapter, we are not intending to promote a discussion on the
definition of “securitisation” itself. This definition flows from the Basel framework and benefits from years of market and legal experience underpinning it.
10.4 Instead, as set out below, we would welcome feedback on various types of
securitisations to better understand the desirability of introducing exemptions from the application of some (or all) of the conduct rules in an appropriate manner that introduces further proportionality without increasing regulatory or legal uncertainty. The types of securitisations under consideration
10.5 Earlier in this paper, we proposed material changes to the securitisation conduct
framework. Should we finalise our proposals broadly as consulted, our rules would continue to apply broadly to the same types of transactions.
10.6 We want to understand whether these rules, which primarily aim to minimise the
information asymmetry and misalignment of interests between manufacturers and investors, remain relevant in all cases.
10.7 We have received feedback that for certain structures and activities, some of those
risks of harm may either not be material or may already be addressed through other regulatory provisions or market practice.
10.8 Specifically, when it comes to the application of the conduct rules, we solicit feedback
on the following types of securitisations:

CLOs
Whole Business Securitisations (WBS)
Correlation Trading Portfolios (CTP)

Discussion on specific securitisations
CLOs
10.9 In a typical CLO structure, a CLO manager uses the funds raised from investors
to purchase syndicated leveraged loans from the primary and secondary market through a special purpose vehicle (SPV). The investors holding notes issued by the SPV receive principal and interest payouts from the underlying leveraged loans. The CLO typically involves active management of the underlying portfolio until the end of the reinvestment period (usually 4.5-5 years), after which the transaction turns into an amortising structure.
10.10 The CLO manager typically receives management fees (senior and subordinated),
performance fees and upside from holding equity/subordinated tranches (as relevant). CLO investors usually predefine eligibility criteria for the types of loans that can be included, and CLOs include several performance tests such as Over collateralisation (OC), Interest Coverage (IC), CCC bucket tests, Weighted Average Life (WAL) and Weighted Average Spread (WAS).
10.11 Several of those who provided feedback to us argued that structuring and managing
CLOs, while undoubtably falling in the definition of securitisation, share a number of characteristics with the asset management business. This, they said, should prompt a reconsideration of whether the securitisation conduct rules should apply, in whole or in
part, to CLOs.
10.12 These stakeholders further noted that CLO managers are typically, but not always,
Alternative Investment Fund Managers (AIFMs) and usually subject to the applicable risk management and due diligence rules. Accordingly, some argue that the additional securitisation product-specific requirements, including risk retention provisions, can be disproportionate, and not aligned to provisions for other investment management products.
10.13 Market participants have articulated views and prompted debate as follows:

They argue that alignment of interest between CLO managers and their investors
can be achieved through mechanisms other than risk retention. Some of these mechanisms are integral to the asset management business (e.g., CLO managers are selected based on a variety of criteria including their track record). Others are inherent to the structure of the CLO, including the performance fees paid to the manager.
They also argue that compliance with the 5% risk retention provisions is often
achieved through complex structures, whose ability to strengthen alignment of interest is not always clear. Detractors of the current approach argue that the existing arrangements increase compliance risk, regulatory uncertainty and the complexity of the product without necessarily achieving the policy objectives these arrangements were introduced to attain.
A number of buy-side firms view managing CLOs as akin to other money
management activities. They argue that securitisation regulation duplicates rules

already applicable to them as regulated firms owe specific duties to their clients. These stakeholders have also sometimes argued that these conduct rules make UK managers less competitive. They compare and contrast the regulatory treatment of securitised structures to that applicable to other products that do not attract the same requirements.
10.14 Some in the industry question whether the existing mechanisms to align the interest of
the originators of the leveraged loans, i.e., the banks syndicating the loans (typically on a firm commitment basis) with that of the ultimate investors in the CLOs are effective. Some consider that credit granting standards and the risk of a ‘hung transaction’, where the bank has to retain on their books the loans they are unable to sell, are sufficient to promote adequate underwriting standards. However, others view these mechanisms as insufficient checks on the quality of loan origination especially when there is elevated demand in credit markets.
10.15 Finally, some question whether CLOs of broadly syndicated loans warrant a different
treatment in relation to the alignment of interest or credit granting criteria than CLOs of private credits (broadly defined as direct lending).
10.16 We have not found the feedback above strong enough to warrant a change of the
rules at this stage, but we are interested in receiving data-led arguments which could strengthen the feedback. We are also keen to receive feedback from investors in CLOs of broadly syndicated loans or CLOs of private loans as to how much reliance they place on the risk retention and credit granting rules as part of their assessment of the risk associated with the securitisation. Question 41: Do you have any views on the application of specific conduct rules (e.g., risk retention, credit granting standards) in regulating CLOs? What possible improvements, if any, do you consider could be made to address some of the concerns and criticisms articulated above? Whole Business Securitisation
10.17 In broad terms, WBS are securitisations where the cash-generating assets of an
enterprise are put into an SPV and a priority structure around the distribution of the cash flows from the operating revenue is devised. This arrangement typically offers investors better credit terms and protection.
10.18 Such structures are considered favourable for franchisee models or businesses with
high cash operating revenues. Unlike a typical securitisation where the exposure pool is granular and the credit risk is diversified among borrowers, in WBSs, the risk is with a single counterparty, i.e., with its underlying business model and assets (royalty, franchisee, partnerships, etc.). Some participants in the market view WBS structures as closer to leveraged loans than securitisations.

10.19 We have received feedback that, when it comes to WBS, the concerns around investors’
ability to model risk, information asymmetry, lack of alignment of interest and lack of bargaining power should be less acute. This builds upon feedback that institutional investors are typically closely involved with the issuer and are knowledgeable about the enterprise. Accordingly, stakeholders argue these structures should attract less stringent and more proportionate application of the conduct rules of the securitisation framework.
10.20 Further, the securitisation rules envisage 5% risk retention by the entity most suitable
to do so among the originator, original lender or sponsor. However, for WBS, often no entity ideally fits the bill. The entity most aligned with the performance of the exposure in WBS is the borrower, and them retaining 5% would effectively mean borrowing 5% less. Hence, the risk retention requirement is perceived as imposing unwarranted complications and costs on these structures. Question 42: Do you have any views on the proportionality of applying the securitisation conduct rules to WBS? Please elaborate on your response. Question 43: Do you consider that these kinds of structures should be exempt wholly or partially (e.g., as regards risk retention, transparency etc.) from some of those requirements? Please elaborate on your response. Correlation Trading Portfolio
10.21 Correlation trading portfolios (CTPs) are commonly understood and used as derivative
transactions but are classified as securitisations. Accordingly, they need to comply with securitisation conduct requirements (except risk retention requirements).
10.22 Some market participants have shared their view that CTPs are a trading and
risk management product rather than a securitisation transaction. The feedback argues that the classification of CTPs as securitisation due to risk tranching and other characteristics does not reflect the risks arising from this product or market practice around it.
10.23 Their feedback also notes that the pre-2019 securitisation framework had contemplated
a different treatment for CTPs. At the time, for example, the due diligence requirements for institutional investors investing in CTPs were deemed to have been met if certain conditions were satisfied. However, the post-2019 securitisation framework did not maintain this more favourable treatment.
10.24 The feedback we received notes that fulfilling some of the conduct requirements for
CTPs including credit granting, due diligence, and transparency is not always tenable or rational. For example, these securitisation positions do not entail granting credit, and, as these are publicly traded indices, there is little question of information asymmetry between the originator and the investor.

Question 44: Do you have views on the application of the conduct requirements under the securitisation framework to CTPs? Please elaborate on your response. Question 45: For the securitisations discussed in this chapter, are there any other important factors that should be considered while examining the desirability of exemptions from specific conduct related SECN provisions? Please elaborate on your response. Question 46: In the broader context of the discussion in this chapter, are there any other types of securitisations that should also be considered? Please elaborate on your response and explain what kinds of exemptions would streamline compliance responsibilities without compromising the soundness of the securitisation framework?

Annex 1
Questions in this paper
Question 1: Do you agree with our proposals and their focus on ensuring that institutional investors obtain sufficient information from the manufacturer of the securitisation? Please elaborate on your response. Question 2: Do you agree with the proposal to remove the table at SECN 4.2.1 R (1)(e) and the addition of corresponding guidance? Please elaborate on your response. Question 3: Do you agree with our proposals to require institutional investors to form their own view on the robustness of the credit granting processes without prescribing how this should be done? Please elaborate on your response. Question 4: Do you agree with our proposal to replace the requirement for institutional investors to verify manufacturers’ compliance with the 5% risk retention rule with a requirement that the investor satisfy itself that a mechanism exists that aligns their commercial interest to that of the manufacturer of the securitisation? Please elaborate on your response. Question 5: Do you agree with our proposed guidance in SECN 4.2.1B G on how such alignment can be achieved? Please elaborate on your response. Question 6: Do you agree with our proposal to no longer prescribe the list of structural features investors are required to assess and to simplify due diligence requirements for STS securitisations? Please elaborate on your response. Question 7: Do you agree with our proposal to remove the prescriptive elements in the due diligence requirements whilst holding a securitisation position? Please elaborate on your response. Question 8: Do you agree with our proposal to move to a more principles-based approach for disclosure of underlying exposures for certain asset classes and delete SECN

11 and 12 Annexes 3, 4, 7 and 9? Please elaborate on your response. Question 9: Do you agree with our proposed changes to SECN 11.3? Please elaborate on your response. Question 10: Do you agree with our proposal to replace the underlying exposures template for ABCP (SECN 11 and 12 Annex
11) with a more principles-based set of requirements
as set out in SECN 6.2.1R(1)(b)? Please elaborate on your response. Question 11: Do you agree with our proposal to replace the investor report and inside information or significant event templates (SECN 11 and 12 Annexes 12, 13, 14 and 15) with more principles-based requirements? Please elaborate on your response. Question 12: Do you agree with our proposals to (i) stop requiring that transparency templates be made available in XML and (ii) no longer impose a uniform file format? Please elaborate on your response. Question 13: Do you agree with our proposals as regards the format in which the various data fields within the retained templates are to be populated? Please elaborate on your response. Question 14: Do you agree that provision of underlying exposure information in the proposed amended SECN 11 templates is not useful in the case of a securitisation with a single underlying exposure? Please elaborate on your response. Question 15: Do you agree with our proposal to retain underlying exposures templates for Residential Real Estate, Automobile, Consumer, Leasing and Non-performing exposures? Please elaborate on your response. Question 16: Do you agree with our proposal to align the retained templates to the Bank of England loan level data templates? Please elaborate on your response. Question 17: Do you have any comments on the new templates for SECN 11 Annex 2 (Residential Real Estate), Annex 5 (Automobile), Annex 6 (Consumer), Annex 8 (Leasing) or
Annex 10 (Non-performing exposures), for example on
the fields included or excluded, the order of the fields or the inclusion of blank fields? Please elaborate on your response.

Question 18: Do you agree that this proposed new template SECN 11 Annex 4A is better suited to CLOs than the current one in SECN 11 and 12 Annex 4? Please elaborate on your response. Question 19: Do you have any comments on the proposed fields included in (or excluded from) the proposed new SECN 11
Annex 4A for CLOs? Please elaborate on your response.
Question 20: Should the requirement to complete SECN 11 Annex 4A apply during the warehouse phase of a CLO? Please elaborate on your response. Question 21: Do you think that some significant information will be lost by making this simplification to the no data rules as they apply to completion of underlying exposure templates? Please elaborate on your response. Question 22: Do you agree with our proposal to remove the distinction in treatment between public and private securitisations regarding the majority of the transparency requirements? Please elaborate on your response. Question 23: Do you agree with the removal of the requirement for information to be reported to securitisation repositories? Please elaborate on your response. Question 24: Do you agree with our proposed changes to SECN 6.2.1R(2) which require the provision of all transaction documents as well as the offering circular, prospectus or term sheet? Please elaborate on your response. Question 25: Do you agree with the deletion of the list of documents in sub-paragraphs (b) to (g) of SECN 6.2.1R(2)? Please elaborate on your response and indicate which documents are critical in order to reach an investment decision prior to investing in a securitisation. Question 26: Do you agree with our proposal regarding the timing to provide the final documents in SECN 6.2.2R(2)? Please elaborate on your response. Question 27: Do you agree with our proposal to remove the requirement to make a transaction summary available as per SECN 6.2.1R(3)? Please elaborate on your response and explain the circumstances in which the transaction summary is useful.

Question 28: Do you agree with the changes we propose to SECN 5 and SECN 6.2.1R(2) regarding disclosure of risk retention as a result of the proposed removal of the requirement to provide a transaction summary? Please elaborate on your response. Question 29: Do you disagree with any of the changes we propose for private notifications? Please elaborate on your response. Question 30: Do you agree with our proposal to clarify the frequency of reporting for securitisations with a long first interest period? Please elaborate on your response. Question 31: In light of the proposals set out in this paper, does the current formulation of SECN 6.2.5R create barriers to the issuance of securitisations by limiting its application to confidentiality and data protection laws which apply in the UK only? Please elaborate on your response and provide relevant examples. Question 32: If you disagree with our proposals on the transparency requirements, how could we change them? Please elaborate on your response. Question 33: Do you agree with our proposal to give originators and sponsors flexibility to decide whether the full details or anonymised version of STS notifications should be published for private securitisations? Please elaborate on your response. Question 34: Do you think the alternative proposal is preferable to our proposal? Please elaborate on your response. Question 35: Do you agree with our proposals to allow FCA regulated institutional investors to invest in these types of resecuritisations? Please elaborate on your response. Question 36: Do you agree with our proposals to clarify the rules surrounding credit granting in SECN 8.2? Please elaborate on your response and what alternatives should we consider? Question 37: Do you agree with the proposal to allow L-shaped risk retention as an eligible form of risk retention? Please elaborate on your response. Question 38: Is the proposed period of 6 months between publication of the final SECN instrument and the new requirements coming into force reasonable, assuming we proceed broadly as proposed? Please elaborate on your response.

Question 39: Do you agree with the proposal to allow use of the current EU underlying exposure templates for certain asset classes instead of the new SECN 11 underlying exposure templates? Please elaborate on your response. Question 40: Do you agree with the proposed guidance introduced in SECN 11.3.8G regarding the provision of underlying exposures information in the proposed new SECN 11
Annex 2 for residential real estate? Please elaborate on
your response.
Question 41: Do you have any views on the application of specific conduct rules (e.g. risk retention, credit granting standards) in regulating CLOs? What possible improvements, if any, do you consider could be made to address some of the concerns and criticisms articulated above? Please elaborate on your response. Question 42: Do you have any views on the proportionality of applying the securitisation conduct rules to WBS? Please elaborate on your response. Question 43: Do you consider that these kinds of structures should be exempt wholly or partially (e.g., as regards risk retention, transparency etc.) from some of those requirements? Please elaborate on your response. Question 44: Do you have views on the application of the conduct requirements under the securitisation framework to CTPs? Please elaborate on your response. Question 45: For the securitisations discussed in this chapter, are there any other important factors that should be considered while examining the desirability of exemptions from specific conduct related SECN provisions? Please elaborate on your response. Question 46: In the broader context of the discussion in this chapter, are there any other types of securitisations that should also be considered? Please elaborate on your response and explain what kinds of exemptions would streamline compliance responsibilities without compromising the soundness of the securitisation framework? Question 47: Do you have any comments on our cost benefit analysis? Please elaborate on your response.

Annex 2
Cost Benefit Analysis (CBA)
Executive Summary

This cost benefit analysis (CBA) assesses the impact of our proposed changes to
the Securitisation Sourcebook (SECN). Securitisation enables lenders to transform illiquid assets into tradable securities, thereby enhancing liquidity, distributing risk, and supporting lending and investment in the real economy. Despite its importance, the UK securitisation market has remained subdued since the Global Financial Crisis (GFC), due in part to the regulatory framework for securitisation.
The EU Securitisation Regulation (Regulation (EU) 2017/2402) (EU SR) was introduced to
restore investor confidence in the sector (ESMA, 2015). The 2015 European Commission Impact Assessment noted that trust in the European market was undermined by events that took place in U.S. markets. This resulted in low demand for securitisation products.
The EU SR came into effect in January 2019 and was incorporated into UK law at the
end of the Brexit transition period on 31 December 2020. The UK SR 2024 replaced the assimilated EU law.
The EU and UK Securitisation frameworks established a comprehensive transparency
regime with new obligations on manufacturers of securitisations to provide investors with detailed information about their transaction. Today, enhanced transparency rules remain a cornerstone of the regulation. However, the level of prescriptiveness and rigidity in these rules has resulted in excessive costs for manufacturers, with limited value for investors. Similarly, the EU and UK frameworks established an obligation for UK institutional investors to conduct due diligence prior to investing and while holding a securitisation. Here again, the rigid due diligence requirements in the rules may have caused investors to prioritise procedural compliance over substantively evaluating their risks. These features of the framework among others may have contributed to the subdued volume of securitisation activity and consequently, diminishing lending in the real economy, impeding risk transfer for originators, and diverting activity to other markets.
Our proposals aim to rebalance the regulatory framework, reducing unnecessary
burdens while maintaining robust standards for transparency and risk management. They cover:

Transparency: streamline disclosure requirements for all transactions by removing
the distinction in treatment between public and private securitisations, standardised templates retained only for more mature and standardised asset classes, and principles-based disclosure regime for others.

– Subject to the making of a Statutory Instrument (SI), cease requiring manufacturers to report information to regulated securitisation repositories (SRs).

Due diligence: shift requirements to a more principles-based framework, with
investors assessing whether a securitisation fits their risk appetite and mandate.
Resecuritisation: maintain the ban while introducing narrow exemptions.
Risk retention: allow an additional L-shaped risk retention modality.
Credit granting: clarify credit-granting requirements without changing policy.

Manufacturers will benefit from reduced compliance costs, particularly from simplifying
reporting templates and ceasing to require reporting to regulated SRs. Insofar as the current rules inadvertently lead to formulaic due diligence, the proposals may reduce due diligence costs for investors, lowering barriers to entry, enabling broader participation in the market, and supporting the competitiveness of UK asset managers. We expect all firms will incur familiarisation and legal review costs while regulated SRs will face some loss of revenue due to rule changes consequential to the removal of the registration regime. Taken together, we expect the market wide impact to be a deeper securitisation market driven by greater supply from manufacturers and greater demand from investors.
Table 1: Summary of Costs and Benefits
Group affected Item description
Benefits (£m) Costs (£m)
One off Ongoing One off Ongoing
All firms Familiarisation and legal review
0.60
Manufacturers Annual reduction in cost from transparency proposals 11.76 (6.40 – 21.83) Investors Annual reduction in cost from due diligence proposals 7.95 (0.15 - 37.14) Securitisation Repositories Rule changes consequential to the removal of the registration regime for SRs 0.10 Total 19.70 (6.55 – 58.96)
0.60 0.10
Note: to reflect uncertainty in some estimates, these are presented as: “Central estimate (Lower bound – Upper bound)”
The reforms are expected to deliver direct annual cost savings of £19.70m to market
participants, including manufacturers of and investors in securitisations, with a central estimate for the net present value (NPV) of £168.15m over a 10-year appraisal period. This corresponds to an estimated annual net direct cost to business of -£19.53m. Ceasing to require manufacturers to report data to SRs could result in lost profits for the SRs themselves, which we estimate at c.£100k annually. However, we expect significant benefits to manufacturers from ceasing to impose this requirement, having estimated the market wide cost savings as £3.24m. Hence, this policy proposal is deemed proportionate given that the benefits to the market outweigh the costs to the SRs.
The reforms are aligned with the FCA’s secondary objectives of promoting international
competitiveness and economic growth. By increasing credit availability, improving market liquidity and risk management, lowering funding costs, and fostering efficient allocation of capital, the proposals can encourage UK economic growth in the medium-to-long-term. Further, they strengthen the UK’s competitiveness by reducing excessive costs, thereby making the UK a more attractive place to issue and invest in securitisation.
We consider our proposals from the perspective of “rebalancing risk.” While
securitisation supports credit provision and risk transfer, we found it can increase systemic risk if not adequately regulated, as shown during the GFC. While the existing framework is effective at mitigating market failures and associated risks, poorly targeted requirements can impose significant costs without improving outcomes. Consequently, the proposals will remove ineffective and burdensome requirements without materially increasing systemic risk.
The proposal that could lead to a slight increase in risk is the ceasing to prohibit UK
institutional investors from investing in securitisations that do not comply with UK standards around the manner of risk retention, as is the case for a significant percentage of U.S. collateralised loan obligations (CLOs). We judge this risk to be low and outweighed by the benefit of widening investment opportunities for UK firms and their clients.
The FCA will monitor the impact of the reforms through indicators such as securitisation
issuance volumes, investor participation, and transaction structures. This will allow us to mitigate residual risk from our proposals and ensure that the framework remains effective and proportionate. Introduction
The Financial Services and Markets Act (2000) 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.’
In this CBA, we assess the impact of our proposals to reform SECN. 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. For others, we provide a qualitative explanation of their impacts. Our proposals are based on

weighing up all the impacts we expect and reaching a judgement about the appropriate level of regulatory intervention.
14. The CBA has the following structure:

The UK securitisation market
Problem and rationale for intervention
Options assessment
Our proposed intervention
Causal chain
Baseline and key assumptions
Summary of impacts
Benefits
Costs
Wider economic impacts
Risks and uncertainties
Monitoring and evaluation
The UK securitisation market
Defining securitisation

Securitisation is a financial process that transforms assets into more liquid investments.
The originator (typically a bank or non-bank lender) pools together assets, such as mortgages or auto loans, and typically sells them to a securitisation special purpose entity (SSPE), which has been created specifically to issue securities. As the SSPE is legally distinct from the originator, the SSPE is isolated from the originator’s bankruptcy risk. The SSPE uses the pooled assets as collateral to issue asset-backed securities (ABS) which are sold to investors. The investors receive the interest and principal payments from the securities which vary depending on the level of risk of the tranche they are invested in. Synthetic securitisations achieve a similar outcome, but rather than the originator transferring the assets to the SSPE, they use a financial instrument to transfer the credit risk to investors in exchange for the payment of a fee.
Tranching is a fundamental feature of the securitisation process. The securities issued
by an SSPE are divided into different layers, or “tranches,” each with different risk and return characteristics. Each tranche represents a claim on the cash flows generated by the underlying asset pool, but they are structured so that losses are absorbed in a specific order. Typically, more senior tranches receive priority in payments while, conversely, junior or subordinate tranches absorb potential losses as they occur. This structuring allows securitisations to appeal to a broad range of investors with varying risk appetites and investment objectives.

The importance of the securitisation market
17. Securitisation is an important part of the UK’s wholesale debt market and a valuable tool
for UK banks and non-bank lenders to help fund and mitigate the credit risks of lending to companies and households. By providing access to capital and enabling risk transfer, a well-functioning and robust securitisation market supports lending, investment, and economic activity. In this way, securitisation serves as an important link between the financial markets and the real economy. Increased access to funding
18. Securitisation provides alternative access to funding for lenders. In a true-sale
securitisation, originators sell their portfolio of assets to the SSPE and receive the purchase price for the portfolio funded by the issuance of the securitised notes. This allows them to reinvest such funding into new lending. The conversion of illiquid assets into tradable securities inherently boosts bank liquidity (Pinto and Alves 2016). Risk transfer/management
19. By distributing risk associated with the underlying assets, securitisation can also allow
the originator to reduce its exposure to credit risk either by a true sale of the assets or by using a synthetic securitisation structure. This risk transfer mechanism frees up capital for originators, enabling them to provide more lending and financing to the real economy (Loutskina 2011) and potentially enabling lenders (especially smaller lenders) to provide more competitive rates to borrowers in the real economy. This also allows for a wider distribution of risk, avoiding pockets of credit-risk concentration in certain parts of the financial system (Loutskina 2011). Increased access to a wider pool of investments
20. By investing in notes backed by a pool of assets, investors can indirectly access a wider
pool of risk that might otherwise be difficult or impractical to obtain exposure to directly. For example, a pension fund would lack the expertise and infrastructure to originate and manage individual mortgages, but the same exposure can be achieved by investing in mortgage-backed securities. This serves to expand the investable universe and contributes to market liquidity and market integrity. The size of the securitisation market Public true-sale securitisations and CLOs
21. Currently, there is £347 billion outstanding in securitisations in the UK, covering public
true-sale securitisations and UK managed CLOs.

We estimate that the total outstanding value of UK public true-sale securitisations
(excluding CLOs) is £180 billion spread across 382 individual securitisations. There has been an annual average of 74 UK issuances of public securitisations (excluding CLOs) with a total issuance size of £46 billion per annum in the five-year period between 2020 and 2024.
The total outstanding of UK CLOs (defined as a CLO managed by a UK based manager)
amounts to £167 billion spread across 533 transactions. Most, if not all, UK CLOs are euro-denominated and backed by a pool of European loans. UK-managed CLOs represent 69% of the total outstanding of European CLOs (total outstanding being €289 billion). New issuances of UK CLOs average 88 transactions per year, including refinancings and resets as well as new transactions, and amount to an issuance average of £29.8 billion per annum.
When broken down by asset type, the UK public securitisation and CLO market
consists of:

Residential mortgage-backed securities (RMBS) accounting for 43%.
UK managed CLOs accounting for 38%.
Auto loans accounting for 5%.
Credit card receivables accounting for 5%.
Commercial mortgage-backed securities (CMBS) accounting for 3%.
Consumer loans accounting for 1%.
Esoterics accounting for 4%.
Private securitisation market

The private securitisation market consists of three types of securitisations: (1) assetbacked commercial paper (ABCP) securitisations (trade receivables financing being the
largest segment), (2) synthetic securitisations (mostly significant risk transfer (SRT) transactions by banks) and (3) other private securitisations. Compared to the public market, it is more difficult to accurately measure the size of the private securitisation market because new deals are not announced or made widely available.
Apart from synthetic securitisation, an industry report on the total European private
cash securitisation market indicated a market size of at least €250 billion in the second half of 2024. 13% is attributed to UK originators, suggesting a UK private cash securitisation market of approximately £27 billion. The majority (87%) of this is driven by ABCP, short-term asset-backed debt instruments typically backed by trade receivables and auto loans or leases. ABCP programmes are normally sponsored by a bank which manages and provides support to the programme.
One of the larger segments of the private UK securitisation market is the SRT segment
which has a market size of £120 billion by protected assets size at the end of 2024. In the UK, SRT issuance has risen consistently over the past decade, with reference assets increasing from approximately £10 billion annually in 2014 to £30 billion annually in 2024. Originators in the UK SRT market are Prudential Regulation Authority (PRA)-authorised banks and building societies which are subject to the UK Capital Requirements

Regulation (CRR). The figures on the private securitisation market are based on FCA internal data from notifications received by the FCA together with corresponding data from the Bank of England. Market participants
28. Firms’ roles vary from originator or original lender of the assets, servicer of the assets
(i.e. the entity collecting the payment from the borrowers), managers of CLOs, arranger/ distributors of securitisations, warehouse line providers and investors. We have estimated the number of sell side manufacturers of securitisations to be around 325 in the public market.
Table 2: Market participants: originators, sponsors, and servicers
Number
Originators / Sponsors 139
Of which: Originators / Sponsor – dual regulated (with the PRA) 50 Originators / Sponsor – solo regulated (FCA only) 56 Originators / Sponsor – unregulated 33 CLO managers 50 Servicers 136 Total 325 Source: Bloomberg/Pitchbook/FCA internal calculations - based on public securitisation data as of Q1 2025
29. The private securitisation market will add a number of originators to those estimated for
the public market. They consist mainly of unregulated corporate entities issuing trade receivables that are being financed through an ABCP conduit.
30. We have estimated the size of the investor population by reviewing markets in financial
instruments directive (MiFID) transaction data for public securitisations in the UK from 2018 – 2025. We identified 16,234 transactions, mapping the buyer’s Legal Entity Identifier (LEI) against one of: a) dual-regulated, b) solo-regulated, or c) non-regulated investors. Investors classified as neither dual-regulated nor solo-regulated are typically foreign firms transacting with UK firms. Subsequently, we identified unique investors in each instrument, using the buyer’s LEI in the MiFID transaction data.

Table 3: Annual unique investor-instrument pairings
Year Dual-regulated Solo-regulated Not regulated 2018 149 78 244 2019 302 189 328 2020 526 275 609 2021 334 257 362 2022 401 194 207 2023 322 208 205 2024 469 304 582 2025 360 205 314 Total 2863 1710 2851
Figure 1: Annual unique investor-instrument pairings
Investors
Number of
Investors
Solo-regulated
Dual-regulated
500 Unregulated
2018 2019 2020 2021 2022 2023 2024 2025
Year

Finally, we counted the unique LEIs across the dataset to arrive at the number of unique
investors in public UK securitisations. The number of firms participating in this market as investors is summarised below.
Table 4: Unique investors participating in public UK securitisation market
Dual-regulated Solo-regulated Neither
Number of firms 70 56 567
Source: FCA internal calculations – based on MiFID data Evolution of the securitisation market in the UK Issuance
Issuance in the UK public market (excluding CLOs) increased year on year from 1998
where it was at low levels (around £10 billion) reaching its peak in 2008 at around £230 billion. Issuance then dropped in 2009 after the GFC to around £65 billion. Since 2013, the public market has remained below £50 billion in most years.
Figure 2: UK Public Market Issuance (ex-CLOs)
Historic Issuance - UK Public Securitisation Market GBP (£ billions) Orig Amt £ bns Deal Type Students Autos Cards CMBS Other RMBS Source: FCA analysis from multiple internal and external data sources - based on public securitisation data as of Q1 Total outstanding volume
Since reaching its peak of over £600 billion total volume of securitised assets in 2009
(excluding CLOs), the UK market has remained stable at around £50 billion a year. This trend underscores the lasting impact of the GFC, structural economic factors such as 1987 1987 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025

low interest rates, and subsequent regulatory reforms which eliminated products such as collateralised debt obligation (CDO) of ABS and correlation trades (Deutsche Bank, 2024; Bank of England & European Central Bank, 2014).
Figure 3: UK total outstanding volume (ex-CLOs)
Source: data from AFME reports from 2007-2025. For example: Securitisation Data Report Q4 2024 & 2024 Full Year | AFME History of securitisation regulation and policy
34. The EU SR was introduced to restore investor confidence in the sector (ESMA, 2015).
The 2015 European Commission Impact Assessment noted that trust in the European market was undermined by events that took place in U.S. markets. This resulted in low demand for securitisation products.
35. The EU SR came into effect in January 2019 and was incorporated into UK law at the
end of the Brexit transition period on 31 December 2020. The UK SR 2024 replaced the assimilated EU law in relation to securitisation and established a new framework for securitisation in the UK. Minor changes to our rules were incorporated at that time. Under the new framework, the securitisation requirements that apply to firms are set out in the FCA and PRA rulebooks.
36. Supervisory responsibility for the UK securitisation market is shared between the FCA
and the PRA.
37. FCA rules are contained in SECN, which sets out the requirements for FCA regulated
firms (other than those regulated by the PRA) and other UK firms acting as originators / sponsors / SSPEs of securitisations. It also sets out rules for certain FCA solo-regulated firms acting as investors in securitisations. SECN also includes provisions applicable to SRs and third-party verifiers. The current FCA and PRA rules remain very closely aligned to the rules that apply in the EU. In formulating our proposals for consultation, the FCA is working closely with the PRA.

Problem and rationale for intervention
Description of harm
38. The UK securitisation market has remained subdued since the GFC. Some argue
that a contributing factor may be the excessive costs imposed by the rules. The harm emanates from two principal areas: reporting obligations and due diligence requirements.
39. The key harms we observe in the UK securitisation market are:

Disproportionate compliance costs incurred to meet regulatory requirements while
not necessarily achieving the desired outcome, leading to a suboptimal level of securitisation activity and thus less lending in the real economy.
More subdued risk transfer and distribution activities through securitisation,
preventing investors from optimally allocating in accordance with their riskreturn profile.
Loss of activity in UK markets as the restrictions push activity to other markets.
Transparency reporting

The transparency regime imposes significant costs on securitisation manufacturers
without providing commensurate benefit to investors. Manufacturers are required to provide detailed disclosure at the time of issuance and on an ongoing basis. For public securitisations, detailed data must be reported to an SR. Securitisations that are not public are subject to similar transparency requirements (and, accordingly, costs), although their manufacturers do not have to report the information to an SR.
The European Commission (EC) gathered data on the costs of the EU regulatory
framework for securitisation, which is highly aligned to our regime. Using this data, we have estimated the costs to comply with the current transparency requirements. A manufacturer would need to incur one-off costs of £500k to comply with the transparency requirements, and ongoing costs of £375k. For each asset class, a manufacturer would also need to set up a template at a one-off cost of £104k per asset class.
We understand that the resulting reporting is of limited use to investors in many cases.
For example, we understand that the ‘one-size-fits-all’ investor report templates are not often used by investors to inform their assessment of the ongoing performance of a given securitisation.
While the prescriptive templates are considered by investors to be reasonably wellsuited for the more standardised asset classes such as RMBS, they are not seen as
particularly helpful for investors in less standardised asset classes, for example CMBS. Standardised reporting for non-standardised asset classes makes it difficult to complete the templates. Consequently, the templates are not always used by investors who prefer other means of receiving the data. The current templates are seen by stakeholders as particularly ill-suited for esoteric transactions and new asset classes, slowing down

innovation with no commensurate benefit to investors who are more likely to require specific/new information about the underlying exposures.
44. The information published by SRs is considered by some stakeholders difficult to
access and process because it is published in a format that is difficult for an investor to use quickly and easily. Consequently, investors do not use the data from SRs to the extent that we initially anticipated, instead accessing the data they need directly from originators or third-party providers.
45. Thus, transparency data is costly to provide and not systematically used by investors.
The regime imposes a large, fixed cost on firms that are considering issuing securitisations. This reduces the incentive to securitise assets as it is more likely that the benefits of lower capital costs are outweighed by the compliance costs. This is likely especially true for firms seeking to issue smaller securitisations or infrequent issuances. Due diligence requirements
46. Due diligence rules in SECN are significantly more prescriptive than the requirements
applicable to investors in other financial instruments. UK institutional investors are currently required to verify that the securitisations they invest in are compliant with UK requirements or similar standards, including adherence to underwriting standards, adequate disclosure and a 5% risk retention requirement (a minimum of 5% retention of the securitisation’s net economic interest by the originator which is designed to align their interest with that of the investors).
47. Some argue that the due diligence obligations bring little additional benefit and are not
calibrated to either the size of the investment or its level of risk.
48. UK institutional investors are already required to comply with sectoral regulatory
frameworks applicable to different types of asset managers and investment firms. These rules set standards for due diligence and risk management to ensure firms appropriately evaluate the risk of their positions, including securitisations.
49. However, the cost of due diligence makes investments in securitisation below a certain
size prohibitive for investors. We estimate that the one-off costs of the due diligence requirements are £32k for each investment.
50. In addition, the due diligence requirements have been said anecdotally to slow down
investment decisions to the extent that in stressed market conditions, UK investors may not be able to take advantage of a pricing dislocation to take a securitisation position (for example in scenarios such as the liability-driven investment crisis). In this case other international investors were able to act swiftly, putting UK investors at a competitive disadvantage.
51. UK investors are also unable to invest in overseas securitisations that do not meet
UK risk retention standards. For example, UK asset managers cannot invest in U.S. open-market CLOs, a significant asset class. This leaves UK asset managers unable to compete with overseas asset managers, as they are unable to provide exposure to these asset classes. Hence, those investors may go elsewhere, and UK asset managers may have incentives to relocate.

Drivers of harm
52. The securitisation framework is designed to address the market failures that emerged
before and during the GFC. The proximate cause of the crisis was negative externalities generated by defaults in securitised assets. As the shocks rippled outwards, the contagion effect spread far beyond the institutions holding the underlying securitised assets. During the 2008 GFC, the costs of these systemic failures were paid by governments and taxpayers rather than by market participants (Brunnermeier, 2009; Acharya et al, 2010).
53. A central feature of the pre-crisis securitisation market was the substantial information
advantage held by originators of the underlying asset pools. This information asymmetry created two interrelated problems (Gorton, 2009; Keys et al, 2009): moral hazard and adverse selection. Asymmetric information led to misaligned incentives across the securitisation value chain (Ashcraft & Schuermann, 2008), with originators incentivised to maximise loan volumes and credit risk transfer, manufacturers incentivised by fees to underwrite more transactions, and investors heavily relying on credit rating agencies instead of conducting independent due diligence assessments.
54. As a result, the regulatory framework was designed to address these market failures
from which the harm of the GFC emanated. While the framework is largely effective at mitigating these market failures and associated risks, we have found that aspects of these reforms, or their calibration, create significant costs for firms without improving market outcomes.
55. Ineffective or outdated regulatory interventions: Post GFC, regulatory reforms
sought to mitigate systemic risk by imposing stricter transparency and due diligence requirements and with the introduction of the risk retention rules. While these interventions sought to address pre-crisis market failures, they have overcompensated in some areas by imposing compliance costs disproportionate to the risks involved and the benefits obtained (Hauet, 2023).
56. Furthermore, the transparency requirements in the SECN mandate detailed, templatebased reporting by manufacturers. While designed to support investors and supervisors,
this approach has produced significant operational burdens without always delivering practical benefits. Investors prefer to access this information through other channels, rendering the prescriptive templates of limited utility in some cases. Therefore, our proposals focus on moving from prescriptive transparency requirements to a principlesbased approach for some asset classes as appropriate.
57. Regulatory arbitrage: Inconsistent application of securitisation rules across jurisdictions
encourages regulatory arbitrage. For example, differing treatment of risk retention standards, like exemptions for U.S. open-market CLOs compared to the mandatory application of the requirement in the UK, creates an uneven playing field and distorts investment decisions.

Options assessment
58. We compared the costs and benefits of various policy options, including from the
perspective of “rebalancing risk.” This approach recognises the important role risktaking plays in driving innovation and delivering benefits for consumers in financial services markets, whilst also reducing harm where needed. Therefore, the preferred policy options below strike the appropriate balance between encouraging beneficial activity whilst ensuring that harms do not proliferate beyond acceptable levels. Transparency
59. We explored several options to amend the transparency requirements and the role of
SRs. Roundtable discussions with a range of market participants strongly suggested that the current transparency requirements were excessively burdensome and costly. The ‘doing nothing’ option would have ensured that the unjustified burden to manufacturers without commensurate benefits to investors would have continued. As such, this option was rejected.
60. In relation to SRs, various alternative options were analysed that fell short of ceasing to
require reporting of information to regulated SRs entirely. We considered the impact of alternative options such as maintaining regulated SRs while moving away from the Extensible mark-up language (XML) format for the templates. This, at the margin, might have encouraged investors to use SR data more widely but, given that they are already accustomed to using information from other sources, increased usage may not have materialised in practice. Furthermore, it would be difficult to align the transparency requirements for public and private securitisations (a key policy proposal, please refer to the consultation paper) while maintaining regulated SRs, given the concerns expressed in industry feedback to the EC’s 2024 consultation regarding the proposal that private securitisations be reported to a regulated SR. Those concerns included loss of confidentiality and increased costs to manufacturers without any obvious benefit since the information would not be made public.
61. In summary, maintaining the requirement to report to regulated SRs would have been
difficult to achieve in a regulatory environment where the distinction in treatment between public and private securitisation was removed. This together with the excessive costs of reporting to SR versus its benefits led us to the proposed solution of ceasing to require reporting of information to regulated SRs. Option 1. Replace all reporting templates with a principles-based approach to reporting requirements for all types of securitisations. (Manufacturers would not be required to submit templates to SRs).
62. This approach would move the transparency reporting requirements to a high-level
principles-based approach, giving manufacturers (and, indirectly, investors) a degree of discretion in what is included in their disclosures. This option would not require any standardised reporting template.
63. This approach was rejected because some asset classes (such as auto loan and
residential mortgages) are already very standardised, and templated disclosures in

those cases provide a useful source of information to allow for comparability across transactions from different manufacturers which is helpful for investors in performing their due diligence. Accordingly, a fully principles-based approach may have hindered investors’ ability to obtain the granular information they need to assess the risks of a securitisation. Option 2. Remove the distinction in treatment between public and private securitisations and create a simplified standardised template for disclosure. (Manufacturers would not be required to submit templates to SRs).
64. This option involved removing the distinction in treatment between public and private
securitisations for transparency purposes, simplifying some of the current standardised templates and removing mandatory reporting templates where they introduced unnecessary burden. It also entailed ceasing to require reporting of information to regulated SRs, for the same reasons discussed under Option 1.
65. The obligation to disclose information about underlying exposures stays the same but
the format in which this information is provided to investors is substantially changed, leaving much more flexibility for the market to find the best way to report it. Option 3. Maintain the distinction in treatment between public and private securitisations, broaden the definition of public securitisation to capture ‘public in substance’ securitisations, revise the current standardised templates and create simplified templates for private securitisations (with the role of SRs remaining unchanged).
66. Under this option, the current templates would be required only for public securitisations
and would undergo a field-by-field review with some removal/ amendment/introduction of fields. As such, UK templates would remain broadly aligned with the current EU templates.
67. However, the definition of public securitisation would be broadened to include “public in
substance” transactions. Public templates would continue to be required to be reported to regulated SRs but no longer required to be in XML format. Private securitisations would be subject to principles-based reporting with no specific templates.
68. This option was rejected because maintaining the delineation in treatment between
public and private securitisations inherently creates arbitrary boundaries and incentivises regulatory arbitrage, counter to our objective of maintaining high standards of market integrity and investor protection. Additionally, this option was deemed unlikely to reduce ongoing costs of compliance.
69. Moving away from requiring the XML format while retaining SRs in their current role may
have encouraged their use by investors to access information. However, we discounted this option because we do not consider that it is compatible with our ambition to move to a more flexible and proportionate approach given the cost imposed by the current framework and the feedback from stakeholders that it does not always work for all asset classes. In particular, we consider that its potential advantages, including standardisation and centralisation, are more than offset by the costs of a rigid system. We have no evidence that a centralised approach such as the current one has fostered

more standardisation or led to better data quality or information that is more actionable by investors.
70. Conversely, we have received feedback that investors do not tend to rely on the data
made available by SRs to make investment decisions, finding some templates less than useful (e.g. investor reports), and others, whilst useful, in a format that makes them less than ideal. Instead, they rely on other sources of information. Securitisations with novel underlying assets or structures, on the other hand, do not easily fit into the current framework and there may even be a risk that manufacturers are not incentivised to provide the information that is deemed important by investors. In summary, the potential benefits of centralisation through SRs have not been fully realised and therefore it is difficult to justify the costs of reporting to them. Option 4. A combination of Option 1 and Option 2
71. In summary, the option that was deemed the most advantageous is a combination
of elements from both options 1 and 2. This option involves removing the distinction in treatment between public and private securitisations for transparency obligations, simplifying the current standardised templates (ceasing to require templated information for certain asset classes) and ceasing to require UK manufacturers of securitisations to submit templates to SRs. This option was refined in response to feedback and investor roundtable sessions and is the option that we propose.
72. For manufacturers who seek to offer securitisations to EU investors, we propose
accepting the EU underlying exposures templates as an alternative to the UK template. We also consider that further benefits could be achieved for the market by amending the retained templates to align them to the Bank of England loan level data templates used in the assessment of eligible collateral for their liquidity operations.
73. We assessed transparency options from the perspective of “rebalancing risk.” A
combination of Options 1 and 2 represents the most balanced, risk-informed approach. It fosters flexibility for manufacturers and removes costly, burdensome requirements, while retaining key prescriptive elements necessary to ensure an acceptable baseline of information for investors. Due Diligence
74. As regards due diligence, again several options were explored.
Option 1. Do nothing. Make no policy change.
75. This approach would signal that the FCA has determined that the current due diligence
rules are fit for purpose and are working as intended. This policy option was rejected as it does not directly address any of the challenges obtained from industry participants detailed in this paper. Option 2. Altogether remove the requirements on institutional investors to conduct specific due diligence for investments in securitisations.

This policy option would involve removing SECN 4 in its entirety. This option was not
retained on a number of grounds, including that we consider minimum standards and useful guidance for due diligence as helpful in setting our expectations. Option 3. Remove the detailed requirements and provide instead, high-level guidance to institutional investors.
Our preferred option involves retaining the requirements in SECN 4 at a high level and
replacing the more detailed obligations with high level principles-based guidance. This should give investors the ability to more effectively tailor their due diligence systems and practices and calibrate their resources based on the level of risk of the investment as well as the characteristics of their mandate and risk appetite.
We assessed due diligence options from the perspective of “rebalancing risk.” Option
3 represents the most balanced, risk-informed approach because, like transparency, it retains high level guidance while affording a level of flexibility that encourages informed risk taking by investors. Our proposed intervention Summary of intervention
Below we summarise at a high level the specific regulatory interventions aimed at
preventing the harm identified.
Transparency

A reduction in the number of reporting templates, in some cases replacing
templates with a principles-based approach.
Remove of the requirement to produce templates in XML format.
An exemption from making information available through underlying exposure
templates for single-loan securitisations.
A simplification of retained underlying exposures templates and alignment with the
Bank of England loan level data templates.
The introduction of a simplified underlying exposures template for CLOs.
Ceasing, in most cases, to distinguish between public and private securitisations in
the application of transparency requirements.
Taking steps, in coordination with the Treasury, with a view to no longer requiring
information to be reported by manufacturers to regulated SRs.
An amended approach to the provision of underlying documentation relating to a
securitisation.

Due Diligence

Remove the requirement for investors to verify that a manufacturer has adhered to
the relevant SECN provisions on credit granting and sufficient information.
Amend the requirement to verify the manufacturer’s compliance with risk retention
rules with a provision whereby, as part of their due diligence assessment, institutional investors must be satisfied that a non-UK originator, sponsor or original lender maintains, on an ongoing basis, a sufficient and appropriate alignment of commercial interest in the performance of the securitisation.
Remove the more prescriptive aspects of the rules and provide guidance as to how
the rules could be complied with.
Remove the requirement for investors to verify compliance with the requirements
for Simple, Transparent and Standardised (STS) securitisations. Other technical changes

The proposals cover other technical changes. We do not expect a material impact on
the costs or benefits of our proposals to arise because of the changes to our rules.

Resecuritisation: maintain the existing ban on resecuritisation but introduce narrow
exemptions for PRA-authorised firms. FCA institutional investors will be allowed to invest in such resecuritisations.
Risk retention: introduce an additional L-shaped risk retention modality, combining
vertical and first-loss approaches.
Credit granting: clarify certain aspects of the criteria for credit-granting to ensure
that setting a minimum threshold for the quality of underwriting standards for securitised assets is met.

We are also proposing a small number of clarifications and minor technical changes.
More detail on these is provided in the consultation paper.
Causal chain
Our causal chain illustrates how our proposed regulatory interventions will impact the
securitisation market. The proposed reforms to SECN aim to recalibrate regulatory requirements to reduce unnecessary burden to firms while preserving market integrity, investor protection, and supporting sustainable economic growth and the UK’s international competitiveness.
The immediate effect on market participants will be to reduce compliance costs. Lower
operational costs for manufacturers will increase efficiency when issuing securitisations. For investors, a shift to a more principles-based approach to due diligence will ease friction and allow for more proportionate risk assessments as well as an increased ability

to compete with overseas asset managers which are not subject to certain limitations to their ability to invest. These changes collectively will improve operational efficiency across the securitisation process.
84. Lower costs and reduced complexity are expected to stimulate issuance and broaden
investor participation. This will deepen market liquidity and strengthen the role of securitisation as a channel for risk transfer and funding, with a more active securitisation market facilitating improved liquidity and risk distribution. Originators will gain capacity for new lending (Shin, 2009), while investors will access diversified exposures aligned with their risk preferences.
85. We expect these mechanisms to converge to lower the cost of credit and improve the
allocation of resources across the economy (Duponcheele et al, 2024). By supporting investment and productivity, these reforms should contribute to sustainable growth and enhance the UK’s international competitiveness.
Figure 4: Causal chain for reforms to UK securitisation regulation
Transparency proposals
Lower reporting burden for manufacturers across a wide range of securitised products Reduced compliance costs for issuers Higher operational efficiency for manufacturers Sustainable economic growth and improved international competitiveness Increase in securitisation issuance Deeper UK securitisation market Lower cost of capital Improved liquidity provision, as otherwise illiquid assets become tradable More efficient risk transfer Increase in credit supply to the real economy More proportionality in due diligence Reduced verification and compliance costs for investors HARM REDUCED Securitisation Repositories (SRs) cease operating along current business model Less prescriptive due diligence burden on investors Due diligence proposals

Baseline and key assumptions
Baseline
86. We assess the impact of our proposal against a baseline or counterfactual of what would
happen in the absence of the proposed intervention. In the section on the evolution of the securitisation market in the UK, we showed that issuance in the UK securitisation market was relatively constant. Consequently, we expect volumes in the future under our baseline to be similar to the current level. Key assumptions
87. The FCA assesses the impact of its proposals over a 10-year appraisal period, starting
from the point of implementation. Where the FCA estimates the NPV of costs and benefits, it uses a 3.5% discount rate, in line with the Treasury’s Green Book. All estimates are in 2024 prices.
88. To estimate the cost to firms of complying with our proposals, the FCA uses its
standardised cost model (SCM). The SCM is used to standardise the assessment of common recurring costs across our CBAs. More information on the approach taken by the SCM can be found in Appendix 1 of the statement of policy, including how it categorises firms and determines costs to firms based on standardised assumptions.
89. To calculate the impact of our transparency proposals, we use the following key inputs
on the overall market size as of September 2025.

Average annual number of new issues (public, ex-CLO, last 5 years): 74.
Total number of outstanding public securitisations: 382.
Number of CLOs managed by UK CLO managers: 533.

We calculate the benefit to firms from our transparency proposals based on the marketwide impact of our changes to SECN. We then calculated the FCA relevant impacts by
applying our estimate of the proportion of the activity attributable to solo-regulated firms. From the list of market participants that are originators/manufacturers, sponsors, CLO managers, or servicers, 56.6% are regulated solely by the FCA. This factor is used to scale the market wide impacts of our transparency proposals to arrive at a monetary estimate of the impact of our proposed changes.
For private securitisations, we expect benefits to accrue to manufacturers from the
increased flexibility afforded by our proposals. However, we are unable to quantify the benefits which could be similar to those achieved for public securitisations. As such our estimates could significantly understate the benefits of our policy package.
Following discussions with the Treasury, we understand they are considering laying
before Parliament a Statutory Instrument which will amend relevant parts of the UK SR
Our proposed changes in relation to SRs changes will only be affected if, by that SI,
the Treasury remove the registration regime for SRs in the UK SR 2024. It’s not clear that the impact of the policy proposals in relation to SRs flows from our rule changes rather

than from the changes which will be made by the Treasury to the UK SR 2024. However, we have quantified the impact of both sets of changes within our CBA so that market participants can see in one place the expected direct costs and benefits arising from both the expected changes to the UK SR 2024 and our rules.
93. To calculate the impact of our due diligence proposals, we rely on our analysis of MIFID
transaction data to determine the number of unique investments in securitisations made by solo-regulated firms over an 8-year period.

Average number of unique transactions, annually: 214.
Total number of unique transactions: 1710.
EC consultation data

Responses to the EC consultation on the functioning of the EU SR framework are an
important data source for the costs and benefits of the proposed changes to our framework. The EC consultation was recent, comprehensive in its scope and relevant to our proposed changes. However, its robustness is limited by several factors. The data was collected through a voluntary survey of market participants, resulting in an uneven sample that may not be fully representative. Respondents answered questions across 12 topics with response rates varying across different sections. Responses varied in detail and quality, with some offering granular figures and others providing only qualitative estimates.
We decided to use the information that the EC consultation elicited as a starting
point for estimating the benefits of our proposals due to similarities in our respective frameworks and to avoid a disproportionate cost to firms from performing our own data collection. This would have offered limited marginal improvement on the data that we were already able to extract. The EC data is a reasonable proxy for the costs faced by UK market participants.
All nominal euro values have been translated to pound sterling using the historic average
method. The EC consultation period lasted between 9 October 2024 and 4 December
Using Office of National Statistics daily exchange rate data, the historical average
exchange rate during that period is 1.000 GBP = 1.199476 EUR.
Due to the limitations of the EC consultation data, there is inherent uncertainty in
the information we can extract from it. To ensure our analysis remains robust and transparent, we have used the lower and upper bounds of the available data to capture the plausible range of outcomes, rather than relying on a false sense of precision. This approach provides a realistic reflection of the uncertainty surrounding the magnitude of benefits that may be realised as a result of the proposed reforms.
For the central estimates, we have taken a simple average of the relevant responses
to the consultation. For the lower and upper bounds of the monetary estimates, we adopt a conservative approach by taking the lowest and highest figure in the responses respectively. For the proportional estimates, we have used the 10th and 90th percentile of the percentage range to reduce the influence of significant, unexplained outliers on our analysis.
Where we have used data for descriptive purposes only, we do not present a range. In
two cases, we only had a single central estimate from the EC consultation data. There, we have applied a conservative lower and upper bound of 50% and 200% respectively of the central estimate.
To calculate potential cost savings from our proposals, we have extracted data from
responses to the EC consultation. These monetary and proportional estimates cover the transparency and due diligence requirements of the EU framework. The following three tables present the key monetary and proportional estimates derived from the EC consultation data, which underpin our analysis of the expected cost savings and impacts of the proposed reforms.
Table 5: Summary of monetary estimates from EC consultation, transparency questions,
2024 prices
Transparency cost estimates Central estimate (£) Lower bound (£) Upper bound (£) Per firm outright cost estimates Annual ongoing costs to comply with current transparency requirements 374,816 One-off costs to set up procedures to comply with current transparency requirements 509,398 Per asset class template One-off costs to set up the procedures to comply with current transparency requirements 104,212 Per transaction cost estimates Annual ongoing cost of transparency regulatory reporting, overall 41,164 16,674 83,370 One-off securitisation repository costs 7,920 6,670 8,337 Annual ongoing securitisation repository costs 6,947 5,002 8,337 Annual cost of producing underlying exposure templates 5,002 4,168 5,836 Annual cost of producing underlying exposures templates for European CLOs 8,754 4,377 17,508 Annual cost of producing investor report templates 8,337 4,168 16,674 Source: FCA internal calculations based on EC consultation responses

Table 6: Summary of monetary estimates from EC consultation, due diligence questions,
2024 prices
Due diligence cost estimates Central estimate (£) Lower bound (£) Upper bound (£) Initial costs implementing compliance procedures for due diligence 708,643 416,849 1,000,437 One off cost per transaction in relation to due diligence 31,572 1,000 83,370 Annual recurring cost per transaction in relation to due diligence 10,977 556 37,516 Source: FCA internal calculations based on EC consultation responses
Table 7: Summary of proportional estimates from EC consultation
Proportional estimates Central estimate (%) Lower bound (%) Upper bound (%) Reduction in overall costs related to due diligence proposals 32.3% 10.5% 50.0% Reduction in one off costs related to due diligence proposals 30.3% 10.0% 50.0% Reduction in recurring costs related to due diligence proposals 31.4% 14.0% 44.0% Source: FCA internal calculations based on EC consultation responses Summary of Impacts
101. The summary table below sets out the benefits and costs of our proposed
interventions, presenting both central estimates and plausible ranges to reflect uncertainty in the underlying data. Benefits are shown for affected groups (originator / manufacturers and investors) and capture the direct annual cost savings anticipated from our proposals. Taken together, we expect the annual ongoing benefit of our proposals to be £19.70m (between £6.55m and £58.96m). Costs are limited to one-off familiarisation and legal review expenses, which are borne by all market participants and total to £0.6m, and ongoing costs to SRs consequential to the removal of the registration regime for SRs, estimated at £0.10m annually.

Table 8: Summary table of benefits and costs
Group affected Item description Benefits (£m) Costs (£m) One off Ongoing One off Ongoing All firms Familiarisation and legal review 0.60 Manufacturers Cost savings from ceasing to require reporting of information to regulated SRs 1.84 (1.36 - 2.15) Retain but simplify underlying exposure templates for certain asset classes Not monetised Cost savings for deleting certain underlying exposure templates 0.21 (0.17 - 0.24) Cost savings for designing more appropriate underlying exposure templates for CLOs 1.06 (0.53 - 2.11) Cost savings for deleting investor report template 1.80 (0.90 - 3.61) Cost savings for ceasing to require inside information / significant event templates 6.86 (3.43 – 13.71) Investors Annual reduction in cost from due diligence proposals 7.95 (0.15 - 37.14) Securitisation Repositories Rule changes consequential to the removal of the registration regime for SRs 0.10 Total 19.70 (6.55 - 58.96) 0.60 0.10 Note: to reflect uncertainty in some estimates, these are presented as: “Central estimate (Lower bound – Upper bound)”

We quantify the present value (PV) of the benefits and costs over a 10-year appraisal
period using a discount factor of 3.5%, consistent with Treasury’s Green Book. To arrive at the NPV of our proposed intervention, we subtract the PV of costs from the PV of benefits. Because the substantial ongoing benefits outweigh the one-off costs to firms, we expect the 10-year NPV to be £168.15m as our central estimate with the range falling between £54.89m and £506.09m.
Table 9: Present Value and Net Present Value
10-year PV Benefits (£m) 10-year PV
Costs (£m)
10-year NPV (£m)
(benefits-costs)
Total impact 169.61
(56.35 – 507.55) 1.46 168.15
(54.89 – 506.09)
-of which direct 169.61
(56.35 – 507.55) 1.46 168.15
(54.89 – 506.09)
Alongside our calculation of the NPV of the proposed intervention, we also calculate the
equivalent annual net direct cost to business (EANDCB). Assuming the same appraisal period and discount rate, the annuity rate for this calculation is approximately 8.61. We estimate the EANDCB of our intervention to be -£19.53m, with a range of -£6.38m to -£58.79m to account for uncertainty. The negative EANDCB represents a net benefit to business.
Table 10: Net direct costs to firms
Total Net Direct Cost to
Business, 10-year PV (£m) EANDCB (£m)
Total net direct cost to business
(costs to businesses - benefits to businesses) -168.15 (-54.89 to -506.09) -19.53 (-6.38 to -58.79)
The market wide benefits of ceasing to require reporting of information to regulated SRs
(£3.24m, see table 11) outweigh the costs to the SRs themselves (£100k, see paragraph 148). While cognisant of the impact on SRs, we deemed it proportionate and appropriate to remove the requirement to report to SRs entirely, rather than proposing one of the alternative options discussed in the Consultation Paper. Further, the alternative options would have reduced the estimated market- wide cost savings significantly for little tangible benefit.

Benefits
Transparency
105. We summarise the annual market wide impact for our proposals around transparency in
the following table. Further detail on the calculation of each benefit follows.
Table 11: Summary of annual impact of transparency proposals, market wide
Annual market wide impacts Central estimate (£) Lower bound (£) Upper bound (£) Cost savings from ceasing to require reporting of information to regulated SRs 3,240,000 2,400,000 3,800,000 Cost savings from deleting certain underlying exposure templates 360,000 300,000 420,000 Cost savings from designing more appropriate underlying exposure template for CLOs 1,870,000 930,000 3,730,000 Cost savings from ceasing to require investor report templates 3,180,000 1,590,000 6,370,000 Cost savings from ceasing to require inside information & significant event templates 12,100,000 6,050,000 24,200,000 Sum of annual market wide impact for transparency proposals 20,760,000 11,280,000 38,530,000
106. The market wide impact of our proposals is scaled by 56.6% to arrive at the impact of
our transparency proposals on FCA solo-regulated firms.

Table 12: Summary of impact of transparency proposals, FCA solo-regulated firms
Annual impact on FCA solo-regulated firms
Central estimate (£)
Lower bound (£)
Upper bound (£)
Cost savings from ceasing to require reporting of information to regulated SRs 1,840,000 1,360,000 2,150,000 Cost savings from deleting certain underlying exposure templates 210,000 170,000 240,000 Cost savings from designing more appropriate underlying exposure template for CLOs 1,060,000 530,000 2,110,000 Cost savings from ceasing to require investor report templates 1,800,000 900,000 3,610,000 Cost savings from ceasing to require inside information & significant event templates 6,860,000 3,430,000 13,710,000 Sum of annual impact for transparency proposals on solo-regulated firms 11,760,000 6,390,000 21,830,000 Cross-cutting changes
107. We note that some manufacturers may continue to use SRs. However, for the purpose
of this exercise, we assume that all manufacturers will choose to no longer use an SR as they would not be mandated to do so anymore. Manufacturers may incur some additional costs from making information available by other means, but we think this will be a fraction of the savings estimated. This is because most manufacturers already provide data to investors via other mechanisms.
108. This proposal will lower one-off and ongoing reporting costs. To estimate the cost
savings arising from this proposal, we consider the one-off SR costs per transaction and annual ongoing SR costs per transaction against the average number of issuances and total number of outstanding public securitisations.

Table 13: Impact of ceasing to require reporting of information to regulated SRs
Central est. (£)
Lower bound (£)
Upper bound (£)
One-off regulated SR costs, per transaction 7,920 6,670 8,337 Average number of new issues (public, ex-CLO, last 5 years) Annualised cost savings from eliminating one-off SR costs 590,000 490,000 620,000 Annual ongoing regulated SR costs (per transaction) 6,947 5,002 8,337 Total number of outstanding public securitisations Annualised cost savings from eliminating ongoing SR costs 2,650,000 1,910,000 3,180,000 Annual market wide cost savings from ceasing to require reporting of information to regulated SRs 3,240,000 2,400,000 3,800,000
109. Given an estimated annual ongoing cost of regulatory reporting of £41,200 per
transaction, the £6,947 ongoing cost savings per transaction due to no longer reporting to SRs represents an outright c.17% reduction in regulatory reporting costs.
110. The other cross-cutting proposals in this package will result in further cost reductions.
However, we have not quantified the cost savings associated with these specific proposals because their impacts are expected to be minor and incremental in nature. As such, it is not proportionate for us to collect data from firms to estimate the benefit of these proposals. The changes are designed to streamline existing processes and reduce administrative friction. These other cross-cutting proposals are:

Manufacturers are no longer required to produce templates in XML format which
should result in a simplified process and cost reduction, including potential reduction in fees for some manufacturers who currently pay third-party agents (other than SRs) to convert templates into the required format.
Manufacturers are no longer required to provide 5 categories of description when
data is not populated. A single ‘No Data’ response will be deemed sufficient. This should result in a simplified process, additional flexibility and reduce costs.
For new entrants to the market, no familiarisation costs for producing templates in
XML format and reporting to SRs. No one-off and ongoing fees due to SRs. Retain (but simplify) underlying exposure templates for certain asset classes

We consider this proposal to be broadly cost neutral. A significant percentage of
manufacturers already complete the Bank of England templates so that eligible

investors in their securitisations can access the Bank of England's liquidity facilities, and so simplifying the templates and aligning them to those required by the Bank of England will represent a cost saving. For those who do not produce the Bank of England template, there will be a familiarisation cost which we expect to be low because of the overlap in content between current and proposed templates.
112. For manufacturers who seek to offer their issuances to EU investors, our proposals will
allow them to satisfy UK requirements by making available to investors the current EU templates (except for the new CLO template). Cease requiring certain underlying exposure templates
113. We propose to stop requiring certain underlying exposures templates and to move
to a principles-based approach for affected asset classes. This proposal would affect CMBS, credit card, and esoteric securitisations, which together account for c.19% of outstanding securitisations by volume.
114. By removing the requirement to complete standardised transparency reporting
templates for these asset classes, both new entrants and existing manufacturers will benefit from a significant reduction in compliance costs. Specifically, this reform is expected to deliver an overall cost saving to the market of approximately £363k per year.
115. We also propose the disapplication of the requirement to complete underlying exposure
templates for single-loan securitisations. We are unable to estimate the benefits of this proposed change because we do not hold data on the number of impacted securitisations. However, we expect the number to be minimal and accordingly the benefit to be marginal.
Table 14: Deleting certain underlying exposure templates
Central est. (£)
Lower bound (£)
Upper bound (£)
Annual cost of completing relevant reporting templates 5,002 4,168 5,836 Total number of outstanding public securitisations 382 Percentage of market affected 19% Annual market wide cost savings from deleting certain underlying exposure templates 360,000 300,000 420,000 Design a more appropriate underlying exposures template for CLOs.
116. We propose to introduce a more targeted underlying exposures template specifically
for CLOs. This revised template will reduce the number of required data fields by 40%, thereby streamlining the reporting process for both new entrants and existing CLO manufacturers.

Currently, the annual cost of producing the underlying exposures Annex 4 template for
a European CLO is estimated at £8,754 per transaction. By reducing the data fields, we anticipate a corresponding 40% reduction in this cost. Given that there are 533 CLOs under management by UK CLO managers, this reform is expected to deliver a total market-wide cost saving of £1.87m year.
Table 15: Designing more appropriate underlying exposure template for CLOs
Central est. (£)
Lower bound (£)
Upper bound (£)
Annual cost of producing underlying exposures
Annex 4 template for European CLOs
8,754 4,377 17,508
Number of CLOs managed by UK CLO managers 533 Proportional reduction in data fields required 40% Annual market wide cost savings from designing more appropriate underlying exposure templates for CLOs 1,870,000 930,000 3,730,000 Cease requiring ABCP templates
As part of our proposals to reduce regulatory reporting requirements, we will cease
requiring templates for ABCPs.
ABCP transactions are private. Although we have estimated the size of the UK ABCP
market earlier in this paper, we do not have reliable cost estimates for compliance with the current reporting requirements for these types of securitisations. As a result, it is not reasonably practicable to quantify the impact of our proposal to cease requiring templates for ABCP transactions. Nonetheless, the removal of these requirements will deliver meaningful cost reductions for all affected firms. Cease requiring investor report templates
We will no longer prescribe the specific template to be provided for reporting to
investors because we understand this has not generally been used as much as expected since the requirement was introduced. We understand that most manufacturers already have separate processes to update investors on their securitisations. We consider that this will result in the elimination of this cost for most firms.
We estimated the annual cost of producing this report as £8.3k. Taken across the
382 outstanding public securitisations, this results in a market wide cost saving of £3.18m annually.

Table 16: Delete investor report templates
Central est. (£)
Lower bound (£)
Upper bound (£)
Annualised cost of producing investor report templates 8,337 4,168 16,674 Total number of outstanding public securitisations Annual market wide cost savings from deleting investor report templates 3,180,000 1,590,000 6,370,000 Cease requiring inside information & significant event templates
122. We propose to cease requiring submission of the inside information & significant
event templates (Annex 14 for Non-ACBP securitisations and Annex 15 for ABCP securitisations). By removing this requirement, we intend to make the transparency reporting regime more proportionate and less prescriptive for manufacturers. This change also reduces duplicative disclosures, such as those required under the Market Abuse Regulation.
123. We seek to estimate the savings from this proposal by adjusting the savings we
estimated for investor report templates. The inside information & significant event templates have around 3.8 times the number of fields to complete than the investor report templates. We assume that the effort required to complete each field is similar between the investor report templates and inside information & significant event templates. Hence, the cost savings are 3.8 times greater. This implies that the costs savings are on average £31,700. Taken across the 382 outstanding public securitisations, this results in a market wide cost saving of £12.1m annually.
Table 17: Cease requiring inside information & significant event templates
Central est. (£)
Lower bound (£)
Upper bound (£)
Annualised cost of producing inside information & significant event templates 31,681 15,840 63,361 Total number of outstanding public securitisations Annual market wide cost savings from ceasing to require inside information & significant event templates 12,100,000 6,050,000 24,200,000

Remove the more prescriptive aspects of the rules
124. Investors in securitisations will benefit from a reduction in the costs of complying with
our revised due diligence rules. Although we will still require each investor to conduct robust due diligence to assess the risk of each securitisation investment, we will no longer prescribe the way to do it. This proposal will allow firms to adapt their processes and make them proportionate to the risk involved. As such, we expect our proposals to reduce both the one-off costs of performing due diligence when initially investing in a securitisation, as well as the ongoing recurring costs associated with the ongoing due diligence of that product.
125. To quantify this benefit, we have considered the impact of our proposals for soloregulated firms, using the MiFID dataset on investors described in the market section
earlier in this paper. Then, we combine this with the estimates for the one-off and recurring cost per transaction for each investor and the percentage reduction in costs by shifting to a less prescriptive regime. These estimates were derived from responses to the EC consultation described above.
Table 18: Cost savings to investors from removing the more prescriptive due diligence
regime
Central Lower Upper est. (£) bound (£) bound (£) One-off costs, annualised One-off cost per transaction in relation to due diligence 31,572 1,000 83,370 Average number of unique transactions per year, last 8 years Reduction in one off costs related to due diligence (%) 30.33% 10.00% 50.00% Annualised reduction in costs to investors from reduced one off costs 2,050,000 20,000 8,910,000 Recurring costs, annual Annual recurring cost per transaction in relation to due diligence 10,977 556 37,516 Total number of unique transactions, last 8 years 1,710 Reduction in recurring costs related to due diligence (%) 31.43% 14.00% 44.00% Annual reduction in costs to investors from reduced recurring costs 5,900,000 130,000 28,230,000 Total annual cost savings to investors from a less prescriptive due diligence regime 7,950,000 150,000 37,140,000

By removing the more prescriptive aspects of our due diligence rules for investors
in securitisation, we expect an overall cost reduction to solo-regulated investors of £7.95m annually.
Additionally, we expect benefits to accrue to investors in private securitisations including
CLOs from reduced due diligence compliance costs. However, we do not have sufficient data on the number of annual buyer transactions for these markets to estimate the size of this benefit to firms. No longer require investors to verify that a manufacturer has adhered to UK standards or UK-like standards
We propose to remove the requirement for investors to verify that the manufacturer
of a securitisation has complied with the relevant UK provisions or similar standards. Instead of verifying a manufacturer’s compliance with the risk retention requirements, institutional investors will need to satisfy themselves that a sufficient alignment of commercial interest exists between themselves and that manufacturer. This change will enable investors to focus their due diligence on assessing the substantive risks associated with securitised exposures, rather than on confirming regulatory compliance by manufacturers. By shifting the emphasis from verification to risk assessment, we expect to reduce verification costs, lower barriers to entry (particularly for smaller market participants), and decrease familiarisation costs for new entrants. Overall, this will result in a more proportionate and efficient due diligence regime for investors, enabling them to access products, such as U.S. CLOs, currently precluded to them. We have not quantified the benefits arising from these proposals due to lack of data, but we are of the view that they could be material. Remove the expectation on investors to conduct specific due diligence for STS securitisations
We propose to remove the requirement for investors to verify compliance with the
criteria for STS securitisations. This does not remove the requirement for investors to satisfy themselves that they have assessed the risks of that securitisation, but changes the emphasis, especially for those investors that do not derive any regulatory benefit from buying an STS securitisation.
This change will streamline the due diligence process, ensuring that investors are not
subject to unnecessary or duplicative obligations when investing in STS transactions. We have not quantified this benefit due to a lack of data on costs to investors in conducting due diligence for STS securitisations specifically. Indirect benefits
The previous section has outlined how our proposals will reduce compliance costs
for both manufacturers and investors. As a result, originators and investors who may have previously been deterred from the securitisation market due to high costs, will be more likely to engage in the market. We expect this to lead to an increase both in new

securitisation issuance by manufacturers and investment in this market by a broader range of investors.
132. By providing more flexibility in how compliance is performed, we consider our proposals
have the potential to improve market outcomes and contribute to deepening the UK securitisation market. Manufacturers will face lower costs in complying with the transparency requirements of SECN, enabling a higher volume of transactions at a lower marginal cost and hence shifting the supply curve outwards. At the same time, investors will find it easier to participate due to lower costs of complying with the due diligence provisions of SECN, shifting the demand curve outwards. These changes should reinforce each other as investor appetite grows, liquidity in the securitisation market will improve, and greater liquidity will incentivise further issuance.
133. There is considerable empirical literature demonstrating that higher liquidity is related
to lower asset returns. For example, see Amihud and Mendelson (2006). This is because investors do not need to be compensated for the higher costs they incur in trading illiquid or less liquid assets. Consequently, increased liquidity will benefit investors, thus lowering financing costs for manufacturers.
134. It is not reasonably practicable to estimate the market wide impact of this effect with
precision. Any increase in the volume of securitisation will depend on the new equilibrium between originators and investors that may arise following the proposed reforms. In the EC data collection, one respondent suggested that they expect a 20-30% increase in securitisation volume from streamlining public templates and introducing simplified private template reporting to SRs. This would imply a £10-15 billion of new securitisation issuance each year. While we don’t necessarily expect such a change in the market, it shows that the indirect benefits could dwarf the direct benefits we have estimated.
135. Additionally, we propose allowing the L-shaped risk retention modality, which is a hybrid
of two existing permitted modes. Manufacturers will gain flexibility in structuring transactions to meet both regulatory requirements and preferences. This flexibility can enhance the attractiveness of UK-originated securitisations in both UK and international markets where L-shaped risk retention is already permitted. Benefits to manufacturers
136. The reduction in compliance costs resulting from our proposals translates directly into
lower transaction costs for manufacturers. We have estimated the annual market wide impact for our transparency proposals at £20.76m. Relative to total average annual issuance size of £46 billion, the proposals can improve the margin for manufacturers by c.4.51 basis points. While this may appear modest in percentage terms, it represents a significant uplift for manufacturers, particularly for smaller or less frequent manufacturers.
137. As direct compliance costs decrease, manufacturers will increasingly securitise their
assets. By transforming illiquid assets into cash, manufacturers will strengthen their balance sheet. This enhanced liquidity enables firms to respond more effectively to economic shocks, supporting systemic resilience across the market.

The potential reduction in funding costs frees up capital for manufacturers to invest
in new, productive activities. This reallocation of resources fosters innovation and growth, amplifying the positive impact on the broader economy. The ability to streamline balance sheets further incentivises participation in the securitisation market, encouraging a more diverse range of manufacturers.
By transferring risk to investors, manufacturers become less risky counterparties, which
can lead to further reductions in funding costs and promote more efficient capital allocation throughout the financial system. Collectively, these effects support a deeper, more competitive securitisation market, ultimately benefiting both manufacturers and investors through improved risk-adjusted returns and more effective portfolio management (Franke & Krahnen, 2008). Benefits to investors
We estimated that investors could potentially save £31,572 in one-off costs and
£10,977 in annual ongoing costs per transaction on average from our due diligence proposals. While these values will vary depending on a variety of factors, they represent a reduction in the fixed costs of investment in securitisation. Lower due diligence costs will make securitisation more accessible, particularly for smaller investors and smaller transactions, who are currently deterred by high entry costs. As these barriers lower, the pool of potential investors will expand, and the required returns to justify investment in securitisations will decrease. In turn, this should enhance market liquidity, as assets become easier to trade, and investors become less restricted by minimum investment sizes.
This reduction in barriers is likely to encourage broader participation in the securitisation
market, enabling investors to access a wider range of asset types and structures. With fewer constraints and lower costs, investors can better tailor their exposures to specific risk-return profiles and respond more efficiently to market opportunities. Ultimately, these changes, including allowing exposure to asset classes currently precluded to UK institutional investors, are expected to enhance risk-adjusted returns and support more effective portfolio management, while maintaining appropriate standards for due diligence and risk assessment. Costs
In this section, we detail the direct one-off and ongoing costs we expect firms to face
because of our proposals. These costs include:

Familiarisation and legal costs for manufacturers and institutional investors.
Costs for SRs further to our proposals to cease requiring reporting of information to
them by manufacturers.

Familiarisation and legal costs
143. We consider familiarisation and legal review costs to be the direct costs associated with
our proposals. On a one-off basis, all firms that are subject to the framework will need to familiarise themselves with the consultation and accompanying legal instruments to understand the changes they may need to make to their business operations.
144. Specifically, we assess these costs against the population of solo-regulated firms that
are only authorised by the FCA. We determined the number of affected firms from the lists of investors, originators, sponsors, servicers, and CLO managers. Duplicated firms were removed. In total, we assume that all of 194 firms will be affected by our proposed changes. The SCM categorises these firms as:

20 large firms.
81 medium firms.
93 small firms.

Our familiarisation cost estimates are based on a consultation paper that is 70 pages
in length. The legal review estimates are based on 40 pages of legal text. We use the FCA’s standard SCM assumptions, which our outlined in Appendix 1 of our Statement of Policy on Cost Benefit Analyses, to compute the anticipated familiarisation and legal review costs.
Total familiarisation costs are estimated at £598k. The one-off costs per firm and total
cost calculation are set out in the table below.
Table 19: Familiarisation and legal cost estimates
Cost to firms Large Medium Small
One-off costs per firm £11,850 £3,580 £760
Total number of firms 20 81 93
Total costs £598,000
Rule changes consequential to the removal of the registration regime for Securitisation Repositories
The ceasing of the requirement to report information to regulated SRs aims to reduce
the regulatory burden on manufacturers. We propose to change our rules to remove obligations on SRs to collect information and the obligations on manufacturers to submit information to SRs. These are consequential and subject to changes in legislation. The benefits of this proposal are discussed above. Here we discuss the potential costs the proposals may entail for the SRs themselves, who may lose the ongoing revenues from mandatory reporting fees.
There are 2 SRs registered to operate in the UK. In our benefits section, we estimated
the costs saved by manufacturers to be £3,240,000 per annum. This estimate includes both the direct costs manufacturers incur to use the services of SRs and the fees paid

to SRs themselves. After accounting for the operational costs of SRs, the remainder of these fees represent the profits earned by SRs from providing their services. Based on FCA data, we estimate the ongoing loss in profitability for SRs will be, on average, less than £100k per year, for both firms combined. Indirect costs Reduction in data available to investors
149. Ceasing to require reporting of information to regulated SRs indirectly impacts investors
in securitisations, who may lose access to a single, standardised, and compulsory data source. Without a centralised repository, market participants must rely on data received from manufacturers, third-party commercial providers, and other services.
150. However, we consider that the indirect cost to market participants is limited.
Manufacturers will still be required to give access to the relevant information to their investors, albeit not on a centralised nor necessarily standardised manner. In addition, investors have access to commercial data providers or other types of regulatory returns (like those from the Bank of England) to complement their analysis. Finally, we expect that some manufacturers will continue to use SRs to report their data to investors on a voluntary basis. We expect market practice to establish the most efficient way to distribute and access the information that we continue to require manufacturers to provide their investors. Wider economic impacts, including on secondary objective
151. Our publication “Secondary international competitiveness and growth objective”
(SICGO) explains how we will pursue this objective. By increasing credit availability, improving market liquidity and risk management, lowering funding costs, and fostering efficient allocation of capital, the proposals will encourage UK economic growth in the medium-to-long-term.
152. By lowering the regulatory burden on both manufacturers and investors, we expect the
key impact of these changes to be an increase in credit supply. Lower costs and lower complexity for manufacturers is expected to encourage more securitisation issuance, freeing up the balance sheets of banks and other intermediaries to originate more loans, especially to households and small businesses. As the supply of credit expands and investors are more willing to invest in securitisations, the interest rates on underlying loans could decrease, lowering the cost of capital in the real economy.
153. Securitisation enables trading of otherwise illiquid assets, like mortgages and auto
loans. By making these assets tradable, securitisation improves liquidity for underlying assets, enhancing overall liquidity in capital markets. The process also allows for originators to transfer risk from their own balance sheets to investors who are better placed to manage them. Diversification of risk can also contribute to a more stable financial system.

A healthier securitisation market can foster more efficient capital allocation. The
process can create new investment opportunities and channel capital towards productive uses that would have otherwise been difficult to access.
In addition to growth, the proposals can support the international competitiveness of
the UK financial services industry, by expanding the investible universe for investors and easing the regulatory burden faced by manufacturers, making it more attractive for manufacturers and investors to transact in the UK.
While the theoretical link between securitisation and economic growth is described
above, quantifying the impact of securitisation on real economic output and growth is methodologically challenging. Risks and uncertainties
Securitisation is an efficient tool in reducing credit rationing by creating investible
securities from relatively illiquid loans. However, if not adequately regulated, it can increase systemic risk as during the GFC. During the GFC, lenders, particularly in the U.S., lowered their lending standards as they could subsequently sell the loans on to investors through securitisation. The size of the market and the misperceptions of credit quality meant that a shock to property prices cascaded through the financial system, and then the real economy.
While the framework is largely effective at mitigating these market failures and
associated risks, we have found that aspects of the rules create significant costs without clear benefits or benefits that are not commensurate to the costs. Consequently, we consider that removing ineffective and burdensome requirements will not materially increase systemic risk.
However, some of our proposed changes may, theoretically, at the margin, increase risk
of a systemic event within the UK securitisation market. This is because by giving more flexibility to manufacturers in the way they provide information to their investors, there is a risk that the amount of information supplied to the market may be lower or of a lower quality. Similarly, there may be a risk that a more principles-based due diligence approach could mean risk assessments performed by certain investors may be of lower quality.
As is the case with other initiatives that shift to a more principles-based regulatory
approach, one way to mitigate these risks is increasing our market intelligence and supervisory efforts to understand the effect of our proposed changes.
In identifying how interventions in this market can support both FCA strategic and
operational objectives, we consider our proposals from a perspective of “rebalancing risk.” This approach recognises the important role risk-taking plays in driving innovation and delivering benefits for consumers in financial services markets, whilst also reducing harm where needed. Therefore, in “rebalancing risk,” we are given scope to explore some benefits that could outweigh harms. This approach ensures we make balanced, riskinformed decisions that reflect the real-world complexity of dynamic markets, and allow us to be a smarter, more adaptive regulator.
We do not think that our proposals would materially affect the quality of information
available for investors in UK securitisations. As discussed above, some of the reporting requirements are ineffective and of little use to market participants so removing them will not deteriorate the volume or quality of effective information in the market. In addition, for UK investors investing in UK securitisations, we believe any potential negative impact will be very limited while our proposals would enable the removal of some of the costs.
Our proposals on risk retention are more likely to increase risk to investors when
investing in foreign assets. The key change is allowing investment in U.S. CLOs where risk retention does not apply. We think that the benefits to investors from allowing them to invest in these assets outweigh any additional risks that arise.
The risk retention rules are designed to align the interests of manufacturers and
investors in securitisation. However, we do not have a clear appreciation for the effectiveness of this mechanism when it comes to CLOs and, in the context of this paper, are soliciting the market’s views on whether we should consider targeted exemptions for UK-managed CLOs from the SECN requirements. We continue to request alignment of interest as a necessary investment condition, but we propose to give investors the opportunity to consider whether alignment of interest can be achieved through another means. Accordingly, we judge that allowing UK investors to participate in this market will not appreciably increase systemic risk.
On the benefits side, U.S. CLOs are an important asset class, and UK investors are
currently excluded from investing in some CLOs which would positively enhance their portfolios (through greater diversification and superior risk adjusted returns).
While our proposals would allow UK investors to fully participate in the U.S. CLO market
more widely, we will still require UK institutional investors to satisfy themselves, prior to investing, that the originator, sponsor or original lender maintains, on an ongoing basis, a sufficient and appropriate material alignment of commercial interest in the performance of the securitisation prior to investing. Non-exhaustive guidance on how this alignment of interest between the manufacturer and the investor can be achieved is then detailed in guidance. In the absence of this alignment of interest, UK institutional investors would be prohibited from investing.
This principles-based approach is intended to emphasise to investors well-known
features of investment in securitisation and should mitigate the risk of mispricing or adverse selection while giving agency to sophisticated institutional investors to gain exposure to a wider investible universe. These requirements will address any residual risk. Monitoring and evaluation
We plan to monitor the impact of our proposals if implemented. We expect to observe
an increase in securitisation issuance and investment. Key indicators will include the number and type of securitisation issuances, investor take up, and trends in transaction structures following implementation.
When appropriate, we will supplement this monitoring with research to evaluate whether
the reforms are achieving their intended objectives. This includes whether these reforms have reduced unnecessary regulatory burdens and support economic growth and the international competitiveness of UK markets.
Findings from this monitoring and evaluation will inform any future policy adjustments to
ensure the UK securitisation framework is effective and proportionate. Consultation with the FCA Cost Benefit Analysis Panel
We have consulted the independent CBA Panel in the preparation of this CBA in line with
the requirements of s138IA(2)(a) the Financial Services and Markets Act (FSMA) 2000. A summary of the main group of recommendations provided by the CBA Panel and the measures we took in response to Panel advice is provided in the table below. In addition, we have undertaken further changes based on wider feedback from the CBA Panel on specific points of the CBA. The CBA Panel publishes a summary of their feedback on their website, which can be accessed here.

Table 20: CBA Panel feedback and our response
Panel feedback Response
Strengthen the treatment of systemic and downside tail risks. The CBA notes that the existing regulatory regime for securitisation was introduced in the wake of the Global Financial Crisis in order to mitigate systemic financial risks and potential tail events. The CBA would therefore benefit from a clearer and more prominent explanation of what impact the proposed changes will have on these risks, and how supervisory oversight will monitor and mitigate them. If possible, the CBA should include indicative or scenario-based assessments of such downside risks though any assessment should be carefully worded to avoid implying causality or certainty where the evidence does not support it. The treatment of systemic financial risks has been revised across the Executive Summary and the Risks and Uncertainties sections. In the Risks and Uncertainties
section we explain further why amendments
to transparency and due diligence rules, which form the bulk of the changes, will not have increased systemic risks. In both the Risks and Uncertainties section and the Executive Summary we address how allowing UK firms to invest in U.S. CLOs could increase systemic risk and present evidence as to how this risk is mitigated. Ultimately, this evidence demonstrated the relatively minor impact the proposals would have on systemic risk, and hence scenario analysis would not have been proportionate. Improve clarity and presentation of the costs and benefits. The Panel commends the inclusion of a clear and well-structured Executive Summary. To improve transparency further, the CBA should clarify how the summary of costs and benefits relates to the detailed tables later on, ensuring units are consistent across the tables and signposting indirect and growthrelated benefits more prominently. The CBA has been revised in response to this feedback. All units across the CBA have been standardised and clearly labelled as either ‘£’ or ‘£m,’ and a stronger signpost of the costs ensures that the summary is representative of the later analysis. Expand the assessment of policy options. The CBA’s options analysis should be completed by either including a “donothing” option for the transparency proposals or explaining why it is omitted. The CBA should recognise explicitly that flexibility in implementation timelines is an important mechanism for mitigating costs and disruption to firms. We now explain why a “do nothing” option was not considered as part of the transparency proposals (see paragraph 59). Further, we explained how, in the interest of flexibility of implementation, we will accept the EU templates as an alternative for those UK manufacturers who wish to tap EU markets (see paragraph 72). Question 47: Do you have any comments on our cost benefit analysis?

Annex 3
Compatibility Statement
Compliance with legal requirements

This Annex records the FCA’s compliance with a number of legal requirements
applicable to the proposals in this consultation, including an explanation of the FCA’s reasons for concluding that our proposals in this consultation are compatible with certain requirements under the Financial Services and Markets Act 2000 (FSMA).
When consulting on new rules, the FCA is required by section 138I(2)(d) FSMA to
include an explanation of why it believes making the proposed rules (a) is compatible with its general duty, under section 1B(1) FSMA, so far as reasonably possible, to act in a way which is compatible with its strategic objective and advances one or more of its operational objectives, (b) so far as reasonably possible, advances the secondary international competitiveness and growth objective, under section 1B(4A) FSMA, and (c) complies with its general duty under section 1B(5)(a) FSMA to have regard to the regulatory principles in section 3B FSMA. The FCA is also required by s 138K(2) FSMA to state its 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 the FCA’s view of how the proposed rules are compatible with
the duty on the FCA to discharge its general functions (which include rule-making) in a way which promotes effective competition in the interests of consumers (section 1B(4)). This duty applies in so far as promoting competition is compatible with advancing the FCA’s consumer protection and/or integrity objectives.
In addition, this Annex explains how we have considered the recommendations made by
the Treasury 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.
This Annex includes our assessment of the equality and diversity implications of
these proposals.
Under the Legislative and Regulatory Reform Act 2006 (LRRA) the FCA is 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 FCA’s objectives and regulatory principles: Compatibility statement
7. The proposals set out in this consultation are primarily intended to advance the FCA’s
operational objective of enhancing integrity. They are also relevant to the FCA’s competition objective. Our proposals are also relevant to the FCA’s strategic objective of ensuring that relevant markets function well because they seek to ensure that requirements for manufacturers of securitisations and investors in securitisations are clear and proportionate. The measures we propose aim to encourage a more effective and efficient market for securitisations which, in turn, can support the funding of the UK economy and the competitiveness of the UK financial services industry. For the purposes of our strategic objective, the meaning of “relevant markets” is set out in s. 1F FSMA.
8. The proposals in this paper aim to remove or minimise frictions around issuance and
investment in securitisations, while ensuring adequate guardrails for the protection of investors
9. A more flexible transparency regime for manufacturers and the streamlining of the due
diligence requirements for investors should contribute to the reduction in costs, while ensuring adequate investor protection, associated with manufacturing and investing in securitisations.
10. Our proposals allow more flexibility to achieve the alignment of interest between
manufacturers and investors. This has the potential to expand the investible universe of UK institutional investors and provide their principals with better risk adjusted returns, thus strengthening the competitiveness of UK buy-side firms.
11. In this sense, we consider these proposals support the FCA’s secondary objective
in advancing competitiveness and growth. Moreover, our proposals also seek to facilitate the recommendations outlined in the Governments 2024 remit letter, namely supporting sustained economic growth.
12. In preparing the proposals set out in this consultation, the FCA has had regard to the
regulatory principles set out in s.3B FSMA.
13. 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. By clarifying our expectations and simplifying the rules’ framework, our proposals are intended to reduce the need for supervisory interventions. The principle that a burden or restriction should be proportionate to the benefits
14. We have sought to be proportionate in our approach to rules. Both by streamlining the
transparency requirements applicable to those who manufacture securitisations and by simplifying the rules on due diligence for institutional investors. We have undertaken a cost-benefit analysis which is included in Annex 2 of this consultation paper. Our cost benefit analysis also highlights the proposed change to stop mandating by regulation that manufacturers must report to SRs.

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)]]
15. This principle is not relevant to our proposals.
The general principle that consumers should take responsibility for their decisions
16. Our proposals do not change the protections available to retail clients who may wish to
invest in securitisation products.
The responsibilities of senior management
17. We do not consider that our proposals are inconsistent with this principle. The proposals
aim to make our rules less prescriptive. We still expect the management body of UK institutional investors to be aware of the material risks arising from the securitisation position, if any. 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
18. 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
19. This principle is not relevant to our proposals.
The principle that we should exercise of our functions as transparently as possible
20. By explaining the rationale for each of our proposals and the anticipated outcomes, the
FCA has had regard to this principle.
21. We do not regard our proposals as being relevant to the need for the FCA to have
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). Further specified matters to which the FCA must have regard
22. Regulation 8 of the UK SR 2024 requires the FCA and the PRA to have regard to the
“coherence of the overall framework for the regulation of securitisation” when making rules relating to securitisation. We have had regard to this, and our proposals are consistent with this principle.

Expected effect on mutual societies
23. The FCA does not expect the proposals in this Consultation Paper to have a significantly
different impact on mutual societies.
Compatibility with the duty to promote effective competition in the interests of consumers
24. 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. Insofar as the proposed changes results in broader participation of manufacturers and investors and support funding to the UK economy, consumers would be able to benefit from those positive impacts. Environmental, social & governance considerations
25. In developing this Consultation Paper, we have considered the environmental, social and
governance (ESG) implications of our proposals and our duty under ss. 1B(5) and s.3B(1) (c) of FSMA to have regard to contributing towards the Secretary of State achieving compliance with the net-zero emissions target under section 1 of the Climate Change Act 2008 [and environmental targets under s. 5 of the Environment Act 2021]. Overall, we do not consider that the proposals are relevant to contributing to those targets. We will keep this issue under review during the course of the consultation period and when considering whether to make the final rules. Equality and diversity
26. 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.
27. As part of this, we ensure the equality and diversity implications of any new policy
proposals are considered. Overall, we do not consider that the proposals materially impact any of the groups with protected characteristics under the Equality Act 2010. We will continue to consider the equality and diversity implications of the proposals during the consultation period and when making the final rules.

Legislative and Regulatory Reform Act 2006 (LRRA)
28. We have had regard to the principles in the LRRA for the parts of the proposals that
consist of general policies, principles or guidance.

Transparent – Our proposals build on market feedback, including that received as
part of CP 23/17 in 2023. We will continue to engage with the regulated community.
Accountable – We are consulting on proposals and will publish final rules in our Policy
Statement (PS) in 2027 after considering all feedback received. We are acting within our statutory powers, rules and processes.
Proportionate – Our proposals enhance the proportionality of the securitisation
framework by empowering manufacturers and investors to conduct the securitisation business more in sync with the market practices and the needs of their clients. The CBA sets out further details on the costs and benefits of our proposals.
Consistent – Our proposals would apply in a consistent manner across firms
engaging in securitisation.
Targeted – Our proposals are targeted at improving the UK’s securitisation
framework and will enhance our ability for targeted engagement of our resources.
Regulators’ Code - Our proposals are carried out in a way that supports firms to
comply and grow. We achieve this through our consideration of their feedback via this CP and refining our proposals where necessary. Our CP, CBA, draft instrument, accompanying annexes, public communications and communications with firms are provided in a simple, straightforward, transparent and clear way to help firms meet their responsibilities.

Annex 4
Abbreviations used in this paper
Abbreviation Description
ABCP Asset-backed Commercial Paper
ABS Asset-Backed Securities
AIFM Alternative Investment Fund Managers
AIFMD Alternative Investment Fund Managers Directive CBA Cost Benefit Analysis CDO Collateralised Debt Obligation CLO Collateralised Loan Obligations CMBS Commercial Mortgage-Backed Securities CP Consultation Paper CRR Capital Requirements Regulation CTP Correlation Trading Portfolios DTR Disclosure, Guidance and Transparency rules EANDCB Equivalent Annual Net Direct Cost to Business EC European Commission ESMA European Securities and Markets Authority EU European Union EU SR EU Securitisation Regulation (Regulation (EU) 2017/2402) FSMA Financial Services and Markets Act GFC Global Financial Crisis IC Interest Coverage

Abbreviation Description
LEI Legal Entity Identifier
MAR Market Abuse Regulation
MGS Mortgage Guarantee Scheme
MiFID Markets in Financial Instruments Directive MTF Multilateral Trading Facility NPV Net Present Value OC Over collateralisation PRA Prudential Regulation Authority PRM PRM Admission to Trading on a Regulated Market PS Policy Statement PV Present Value RMBS Residential Mortgage-Backed Securities SCM Standardised Cost Model SECN Securitisation Sourcebook SI Statutory Instrument SICGO Secondary International Competitiveness and Growth Objective SME Small and medium-sized Enterprise SPV Special Purpose Vehicle SRs Securitisation Repositories SRT Significant Risk Transfer SSPE Securitisation Special purpose entities STS Simple, Transparent and Standardised SYSC Senior Management Arrangements, Systems and Controls the Treasury HM Treasury

Abbreviation Description
Undertakings for Collective Investment in Transferable Securities UCITSD Directive UK United Kingdom UK SR 2018 UK Securitisation Regulations 2018 (SI 2018/1288) UK SR 2024 The Securitisation Regulations 2024 (SI 2024/102) U.S. United States of America WAL Weighted average life WAS Weighted average spread WBS Whole business securitisations XML Extensible mark-up language

Appendix 1
Draft Handbook text

SECURITISATION SOURCEBOOK (AMENDMENT) INSTRUMENT 2026 Powers exercised A. The Financial Conduct Authority (“the FCA”) makes this instrument 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 Act”):
(a) section 137A (The FCA’s general rules); (b) section 137T (General supplementary powers); (c) section 139A (Power of the FCA to give guidance); and (d) paragraph 23 (Fees) of Part 3 (Penalties and fees) of Schedule 1ZA (The Financial Conduct Authority); and (2) the following provisions of the Securitisation Regulations 2024 (SI 2024/102):
(a) regulation 5 (FCA rules);
(b) regulation 22 (Power of FCA to make rules in relation to securitisation repositories); (c) regulation 34 (Due-diligence requirements of small registered UK AIFMs as institutional investors); and (d) paragraph 10 (Directions given under regulation 25 of Securitisation Regulations 2018) of Schedule 3. (Transitional provisions) B. The rule-making powers listed above are specified for the purposes of section 138G(2) (Rule-making instruments) of the Act. Commencement
C. This instrument, including recital F below, 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 Fees Manual (FEES) Annex B Securitisation sourcebook (SECN) Annex C Notes E. In the Annexes to this instrument, the notes (indicated by “Editor’s note:”) are included for the convenience of the reader but do not form part of the legislative text. Revocation of the Direction on private notifications

FCA 2026/XX
F. The FCA revokes the Direction “Reporting of private securitisations”, made jointly with the Prudential Regulation Authority under regulation 25 of the Securitisation Regulations 2018, on 31 January 2019. Citation G. This instrument may be cited as the Securitisation Sourcebook (Amendment) Instrument 2026. By order of the Board [date]

FCA 2026/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. Delete the following definition. The text is not shown struck through. securitisation (in FEES and in SECN) has the meaning in regulation 3(1) of the repository Securitisation Regulations 2024.

FCA 2026/XX
Annex B
Amendments to the Fees Manual (FEES)
In this Annex, underlining indicates new text and striking through indicates deleted text, unless otherwise stated.
3.2 Obligation to pay fees
…
Table of application, notification, vetting and other fees payable to the FCA
3.2.7 R
Part 1A: Application, notification and vetting fees
(1) Fee payer (2) Fee payable (£) by reference to the pricing category in FEES 3 Annex 1AR. Due date … … … (zzf) UK-based applicants for 5,000 On the date registration as a trade repository; a securitisation repository, or a third country applicant seeking recognition as a trade repository. Applicants for registration as a trade repository who already hold the application is made. registration as a securitisation repository, or vice versa, will receive a 50% discount on the relevant application fee. Applicants for registration as a trade repository to carry on activity for the purposes of UK SFTR who already hold registration as a trade repository under EMIR or vice versa, will receive a 50% discount on the

FCA 2026/XX relevant application fee.
… … …
…
3 Annex Fees payable for registration as a credit rating agency, or trade repository or 13R securitisation repository Application type Applicable pricing category in FEES 3 Annex 1AR Credit rating agency 5 Trade repository 6 Third country firm seeking certification as a credit rating agency Third country firm seeking recognition of a trade repository Securitisation repository 6
4.2 Obligation to pay periodic fees
…
Extension of Time
4.2.11 R Table of periodic fees payable to the FCA
1 Fee payer 2 Fee payable
3 Due date
4 Events occurring during the period leading to modified periodic fee … … … … Any UK-based firm registered as a credit rating agency; a trade repository; a securitisation repository or any third country firm The tariff specified in FEES 4
Annex 16R
Within 30 days of the date
Not applicable

FCA 2026/XX certified as a credit rating agency or recognised as a trade repository. of the invoice … … … … … 4 Annex Periodic fees for credit rating agencies, and trade repositories and 16R securitisation repositories This Annex sets out the periodic fees in respect of credit rating agencies, and trade repositories and securitisation repositories. [Editor’s note: the following text takes into account the changes proposed in the consultation paper ‘Regulatory fees and levies: policy proposals for 2026/27’ (CP25/33) as if they were made.]
Part 1 – Method for calculating the fee for fee-paying credit rating agencies,
and trade repositories and securitisation repositories The periodic fee is calculated by identifying the relevant activity group under
Part 2 and multiplying the tariff base identified in Part 3 of FEES 4 Annex 16R
by the appropriate rates in the table at Part 4.
Part 2 – Activity groups
Activity group Fee payer falls into this group if:
… …
J.2 it is a trade repository or recognised trade repository; or. J.3 it is a securitisation repository.
Part 3
This table indicates the tariff base for each fee-block. The tariff base is the means by which the FCA measures the amount of business conducted by a firm. … … J.3 Securitisation repositories APPLICABLE TURNOVER This is the sum of revenues generated from:

FCA 2026/XX
(a) the core functions of centrally collecting and maintaining records of securitisations; and (b) ancillary services that are directly related to centrally collecting and maintaining records of securitisations. Ancillary services include:
(i) direct provision by the securitisation repository; (ii) indirect provision by a company within the securitisation repository’s group; (iii) where an entity with which the securitisation repository has concluded an agreement in the context of the trading or post-trading chain or business line to cooperate in the provision of services provides the ancillary services.
Part 4 – Tariff rates
Fee block Activity group Fee payable in relation to the fee year 2025/26 … … … J.3 Registered securitisation repositories £11.01 per £1k or part-£1k subject to a minimum payment of £24,795.00

FCA 2026/XX
Annex C
Amendments to the Securitisation sourcebook (SECN) In this Annex, underlining indicates new text and striking through indicates deleted text, unless otherwise stated. 1 Introduction
1.1 Application
1.1.1 G (1) The rules, guidance and directions in this sourcebook apply to:
…
(e) body corporates applying to be registered as securitisation repositories; [deleted] (f) securitisation repositories; [deleted] (g) trade repositories; [deleted] … … … 2 Requirements on STS securitisations …
2.6 Information to be included in the STS notification by the originator or
sponsor
2.6.1 R (1) The following information must be included in For securitisations
in respect of which the rules in PRM require a prospectus to be drawn up, the STS notification must include the information specified in the relevant template in SECN 2 Annex 1R. The information must be provided in the relevant template in an electronic and machine-readable format:. (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 2026/XX
(2) For securitisations where the rules in PRM do not require a prospectus to be drawn up, the information to be included in the STS notification pursuant to (1) must be by accompanied by the following: must include the information specified in the relevant template in:
(a) where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of SECN 2
Annex 1R; or
(b) where the securitisation is an ABCP transaction, the information specified in fields STSAT9 and STSAT10 of SECN 2 Annex 2R; both SECN 2 Annex 2R and SECN 2
Annex 3R.
(c) for an ABCP programme, the information specified in field STSAP9 of SECN 2 Annex 3R. [deleted] The information must be provided in the relevant template(s) in an electronic and machine-readable format. (3) For the purposes of regulation 10 of the Securitisation Regulations 2024, the publication of the STS notification for those securitisations is limited to the information referred to in SECN 2.6.1R submitted in the relevant template in SECN 2 Annex 1R or, where it has been provided, SECN 2 Annex 3R. (4) Where the information to be provided pursuant to SECN 2.6 is not available or is not required due to the application of the transitional provisions in SECN 14, the notification must state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of the templates in SECN 2 Annex 1R, SECN 2 Annex 2R or SECN 2 Annex 3R. Additional information
2.6.2 R (1) If the documents at SECN 2.6.2R(2) include additional information
relevant to the STS notification, a reference to the relevant parts of those documents may be provided in the ‘Additional information’ ‘Box to complete’ column in SECN 2 Annex 1R, SECN 2 Annex 2R or SECN 2 Annex 3R. … SECN 2.7 is deleted in its entirety. The deleted text is not shown but the section is marked [deleted] as shown below.
2.7 Templates for STS Notification [deleted]

FCA 2026/XX
SECN 2 Annex 1, SECN 2 Annex 2 and SECN 2 Annex 3 are deleted in their entirety and replaced with the following. The text is not underlined. 2 Annex Public templates for STS notifications under SECN 2.6.1R(1) and (2)(a) 1R [Editor’s note: insert link to ‘Public templates for STS notifications under SECN 2.6.1R(1) and (2)(a)’.]

FCA 2026/XX
Non-ABCP securitisation
FIELD
NUMBER
BOX TO COMPLETE FOR
STS NOTIFICATION
BACKGROUND
INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION
TYPE FOR THIS
FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF
THE
SECURITISATION
REGUALTIONS
AND/OR SECN
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 First contact point N/A (General Information) {ALPHANUM-1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of PRM App 2 Annex 14.3R. STSS1 Instrument identification code N/A (General Information) {ISIN} N/A Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation. Where available under Item 3.1 of PRM App 2 Annex 14.3R. STSS2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A The LEI of the originator(s) and sponsor(s) and, where available, original lender(s). Item 4.2 of PRM App 2 Annex 7.4R. STSS3 Notification identifier N/A (General Information) {ALPHANUM-100} N/A Where reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSS4 Unique identifier N/A (General Information) {ALPHANUM-100} N/A The unique identifier assigned by the reporting entity in accordance with SECN 11.12.1R. N/A STSS5 Prospectus identifier N/A (General Information) {ALPHANUM-100} N/A Where available, the prospectus identifier as provided by the relevant competent authority. N/A STSS6 Securitisation repository N/A (General Information) {ALPHANUM-1000} N/A Where available, the name of the registered securitisation repository. N/A STSS7 Securitisation name N/A (General Information) {ALPHANUM-100} N/A The securitisation name. PRM App 2 Annex 7.4R STSS8 Country of establishment N/A (General Information) {COUNTRYCODE_2} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R Where available, the country of establishment of the originator(s), sponsor(s), SSPE(s) and original lender(s). N/A STSS9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation: non-ABCP securitisation; ABCP transaction; ABCP programme. N/A STSS10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:

residential loans that fall within SECN
2.4.1R(1)(a)(i);
commercial loans that fall within SECN
2.4.1R(1)(a)(ii);
credit facilities that fall within SECN 2.4.1R(1)(a)(iii);
credit facilities, including loans and leases,
N/A

FCA 2026/XX provided to any type of enterprise or corporation;
5) auto loans/leases;
6) credit card receivables;
7) trade receivables;
8) other underlying exposures that are
considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters; STSS11 Issue date N/A (General Information) {DATEFORMAT} N/A If a prospectus is drawn up in compliance with the rules in PRM 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 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSS13 Authorised third party N/A (General Information) {ALPHANUM-1000} SECN 2.5.2R 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 Authorised third party (name) N/A (General Information) {ALPHANUM-1000} SECN 2.5.2R 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 STSS15 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSS16 STS status N/A (General Information) {ALPHANUM-1000} Regulation 11 of the Securitisation Regulations 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 STSS17 Originator (or original lender) not a UK credit institution or a UK investment firm N/A (General Information) {Y/N} SECN 2.5.3R A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSS18 Confirmation of creditgranting criteria N/A (General Information) {ALPHANUM-1000} SECN 2.5.3R 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 Declaration that the credit-granting is subject to supervision N/A (General Information) {ALPHANUM-1000} SECN 2.5.3R 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

FCA 2026/XX
STSS20
Transfer of the underlying exposures by true sale or assignment Concise Explanation {ALPHANUM10000} SECN 2.2.2R 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 PRM App 2 Annex 14.3R. STSS21 No severe clawback Concise Explanation {ALPHANUM10000} SECN 2.2.3R 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 PRM App 2 Annex 14.3R. STSS22 Exemption for clawback provisions in national insolvency laws Confirmation {ALPHANUM-1000} SECN 2.2.4R In conjunction with STSS21, where appropriate, a confirmation whether there are no circumstances that could give rise to clawback provisions in accordance with SECN 2.2.2R and SECN 2.2.3R. Item 3.3 of PRM App 2 Annex 14.3R. STSS23 Transfer where the seller is not the original lender Confirmation {ALPHANUM-1000} SECN 2.2.5R 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 PRM App 2 Annex 14.3R. STSS24 Transfer performed by means of an assignment and perfected at a later stage Concise Explanation {ALPHANUM10000} SECN 2.2.6R 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. If alternative transfer methods are used, a confirmation that the originator’s insolvency would not prejudice or prevent the SSPE from enforcing its rights. Item 3.3 of PRM App 2 Annex 14.3R. STSS25 Representations and warranties Concise Explanation {ALPHANUM10000} SECN 2.2.7R 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 PRM App 2 Annex 14.2R. STSS26 Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis Concise Explanation {ALPHANUM10000} SECN 2.2.8R A concise explanation of how:

the underlying exposures the seller transfers
to the SSPE (if an SSPE is used) or that are otherwise securitised meet predetermined, clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis.
the selection and transfer of the underlying
PRM App 2 Annex
14.2R.

FCA 2026/XX 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 portfolio management on a discretionary basis. STSS27 Homogeneity of assets Detailed Explanation {ALPHANUM} SECN 2.2.9R 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.IR are met. Item 2.2.7 of PRM App 2 Annex 14.2R. STSS28 Underlying exposure obligations: no resecuritisation Confirmation {ALPHANUM-1000} SECN 2.2.10R A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a resecuritisation. Item 2.2 of PRM App 2 Annex 14.2R. A detailed explanation:
STSS29 Soundness of the underwriting standard Detailed Explanation {ALPHANUM} SECN 2.2.11R

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 potential investors without undue delay.
of how securitisations where the
Item 2.2.7 of PRM
App 2 Annex
14.2R. 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 SECN 2.2.11R(4) or, where applicable, equivalent requirements in third countries. STSS30 Originator/Lender expertise Detailed Explanation {ALPHANUM} SECN 2.2.11R A detailed explanation of whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised. Item 2.2.7 of PRM App 2 Annex 14.2R.

FCA 2026/XX
A detailed explanation of whether:

the transferred underlying exposures do not
include, at the time of selection, defaulted Transferred underlying exposures (or restructured exposures) within Item 2.2.8 of PRM STSS31 exposures without Detailed Explanation {ALPHANUM} SECN 2.2.12R the meaning of the definition referred to in App 2 Annex exposures in default SECN 2.2.12R(2);
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.
14.2R.
STSS32 At least one payment at the time of transfer Confirmation {ALPHANUM-1000} SECN 2.2.13R 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 PRM App 2
Annex 14.3R.
Repayment of the A detailed explanation of the extent to which STSS33 holders shall not have Detailed Explanation {ALPHANUM} repayment of securitisation investors depends on Item 3.4.1 of PRM been structured to SECN 2.2.14R sale of assets securing the underlying App 2 Annex depend predominantly on the sale of assets exposures. 14.3R. STSS34 Compliance with the risk retention requirements Concise Explanation {LIST} SECN 2.2.15R 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:
vertical slice in accordance with SECN 5.2.8R
(1)(a);
seller’s share in accordance with SECN 5.2.8R
(1)(b);
randomly-selected exposures kept on balance
sheet, in accordance with SECN 5.2.8R (1)(c);
first loss tranche in accordance with SECN 5.2.8R
(1)(d);
first loss exposure in each asset in accordance
with SECN 5.2.8R(1)(e);
L-shaped risk retention in accordance with SECN
5.2.8R(1)(f);
no compliance with risk retention requirements
Item 3.1 of PRM
App 2 Annex 7.3R and Item 3.4.3 of
PRM App 2 Annex
14.3R.

FCA 2026/XX set out in SECN 5.2.8R;

other options used.
STSS35 Mitigation of interest rates
(IR) and currency (FX) risks
Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2
Annex
14.3R.
STSS36 Derivatives purchased/sold by SSPE
Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2
Annex
14.3R.
STSS37 Derivatives using common standards
Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2
Annex
14.3R.
STSS38
Referenced interest payments based on generally used interest rates Concise Explanation {ALPHANUM10000} SECN 2.2.17R 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. Items 2.2.2 and
2.2.13 of PRM App
2 Annex 14.2R.
STSS39 No trapping of cash following enforcement or an acceleration notice Concise Explanation {ALPHANUM10000} SECN 2.2.18R A declaration in general terms that each of the requirements of SECN 2.2.18R are met. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS40 No amount of cash shall be trapped Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that no cash would be trapped after an enforcement or an acceleration notice was delivered. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS41 Principal receipts shall be passed to investors Confirmation {ALPHANUM-1000} SECN 2.2.18R 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 PRM App 2 Annex 14.3R. STSS42 Repayment shall not be reversed with regard to seniority Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that the repayment of the securitisation positions is not to be reversed with regard to their seniority. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS43 No provisions shall require automatic liquidation of the underlying exposures Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that no provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of PRM App 2 Annex 14.3R.

FCA 2026/XX at market value
STSS44
Securitisations featuring nonsequential priority of payments Confirmation {ALPHANUM-1000} SECN 2.2.19R Confirmation that transaction featuring nonsequential 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. Confirmation that such triggers include the deterioration in the credit quality of the underlying exposures below a predetermined threshold. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS45 Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers Concise Explanation {ALPHANUM10000} SECN 2.2.20R 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 PRM App 2
Annex 14.2R.
STSS46 Deterioration in the credit quality of the underlying exposures Concise Explanation {ALPHANUM10000} SECN 2.2.20R (1) 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 PRM App 2
Annex
14.2R.
STSS47 Occurrence of an insolvency related event of the originator or servicer Concise Explanation {ALPHANUM10000} SECN 2.2.20R (2) 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 PRM App 2
Annex
14.2R.
STSS48
Value of the underlying exposures held by the SSPE falls below a predetermined threshold Concise Explanation {ALPHANUM10000} SECN 2.2.20R (3) 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 PRM App 2
Annex 14.2R.
STSS49
Failure to generate sufficient new underlying exposures meeting predetermined credit quality (trigger for termination of the revolving period) Concise Explanation {ALPHANUM10000} SECN 2.2.20R (4) 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 PRM App 2
Annex 14.2R.
STSS50
Information regarding contractual obligations of the servicer, trustee and other ancillary service providers Confirmation {ALPHANUM-1000} SECN 2.2.21R (1) Confirmation that the transaction documentation specifies all the requirements under SECN 2.2.21R (1). Item 3.2 of PRM App 2 Annex 14.3R. STSS51 Servicing continuity Confirmation {ALPHANUM-1000} Confirmation that the securitisation documentation Item 3.2 of PRM

FCA 2026/XX provisions SECN 2.2.21R (2) expressly satisfies the requirements of 2.2.21R (2). App 2 Annex 14.3R. STSS52 Derivative counterparties continuity provisions Confirmation {ALPHANUM-1000} SECN 2.2.21R (3) Confirmation that the transaction documentation satisfies all of the information referred to in SECN
2.2.21 R (3).
Item 3.8 of PRM
App 2 Annex 14.3R.
STSS53 Liquidity providers and account bank continuity provisions Confirmation {ALPHANUM-1000} SECN 2.2.21R (3) Confirmation that the transaction documentation satisfies all of the information under SECN2.2.21 R (3). Item 3.8 of PRM App 2 Annex 14.3R. STSS54 Required expertise from the servicer and policies and adequate procedures and risk management controls in place Detailed Explanation {ALPHANUM} SECN 2.2.22R 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 PRM App 2 Annex 14.3R. STSS55 Clear and consistent definitions relating to the treatment of problem loans Confirmation {ALPHANUM-1000} SECN 2.2.23R 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 PRM App 2 Annex 14.2R. STSS56 Priorities of payment and trigger events Confirmation {ALPHANUM-1000} SECN 2.2.23R Confirmation that the securitisation documentation sets out the priorities of payment and trigger events pursuant to SECN 2.2.23R. Item 3.4.7 of PRM App 2 Annex 14.3R. STSS57 Timely resolution of conflicts between classes of investors and responsibilities of trustees Confirmation {ALPHANUM-1000} SECN 2.2.24R 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 PRM App 2
Annex 14.3R.
STSS58 Historical default and loss performance data Confirmation {ALPHANUM-1000} SECN 2.2.25R 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 PRM App 2 Annex 14.2R. STSS59 Sample of the underlying exposures subject to external verifications Confirmation {ALPHANUM-1000} SECN 2.2.26R Confirmation that a sample of the underlying exposures was subject to external verification before the issuance of the securities by an appropriate and independent party. N/A STSS60 Availability of a liability cash flow model to potential investors Confirmation {ALPHANUM-1000} SECN 2.2.27R 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 Publication on environmental performance of Concise Explanation {ALPHANUM10000} SECN 2.2.28 R A concise explanation of whether the information related to the environmental performance of the assets financed by residential loans, or auto loans N/A

FCA 2026/XX underlying exposures consisting of residential loans or car loans or leases or leases is available pursuant to SECN 6.2.1R (1) and a statement where that information is to be found. STSS62 Originator and sponsor responsible for compliance with SECN Confirmation {ALPHANUM-1000} SECN 2.2.29 R Confirmation that:

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 2026/XX
ABCP Transaction
FIELD
NUMBER
BOX TO COMPLETE FOR
STS NOTIFICATION
BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION
TYPE
FOR THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
CONTENT TO BE REPORTED:
(If appropriate, this includes a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSAT0 First contact point N/A (General Information) {ALPHANUM1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of Annex 14.3R of PRM App 2. STSAT1 Instrument identification code N/A (General Information) {ISIN} N/A If available, the international security identification code (ISIN) or codes. If no ISIN, then any other unique securities code, assigned to the ABCP transaction. Where available under Item 3.1 of PRM App 2 Annex 14.3R. STSAT2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A If available, the LEI of the originator (s) and/or sponsor(s). Item 4.2 of PRM App 2
Annex 7.4R.
STSAT3 Notification identifier N/A (General Information) {ALPHANUM-100}N/A If reporting an update, the unique reference number the FCA has assigned to the previously notified STS notification. N/A STSAT4 Unique identifier N/A (General Information) {ALPHANUM-100}N/A The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with SECN 11.12.2R. N/A STSAT5 Prospectus identifier N/A (General Information) {ALPHANUM-100}N/A If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSAT6 Securitisation repository N/A (General Information) {ALPHANUM1000} N/A If available, the name of the registered securitisation repository. N/A STSAT7 Securitisation name N/A (General Information) {ALPHANUM-100}N/A If available, the securitisation name or in the absence thereof, the code name and used name.
Section 4 of PRM App 2
Annex 7.4R.
STSAT8 Country of establishment N/A (General Information) {COUNTRYCODE_ 2} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R If available, the country of establishment of the originator(s), sponsor(s) and SSPE{s). N/A STSAT9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation:
non-ABCP securitisation,
ABCP transaction,
ABCP programme.
N/A
STSAT10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:
residential loans that fall within SECN
2.4.1R(1)(a)(i); commercial loans that fall within SECN 2.4.1R(1)(a)(ii); credit facilities that fall within SECN 2.4.1R(1)(a)(iii); N/A

FCA 2026/XX 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 that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters; STSAT11 Issue date N/A (General Information) {DATEFORMAT} N/A If a prospectus is drawn up in compliance with the rules in PRM, and / or corresponding legislation applicable in a third country, the date on which the prospectus was approved. If not, the issuance date of the ABCP transaction. N/A STSAT12 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAT13 Authorised third party N/A (General Information) {ALPHANUM1000} SECN 2.5.2R 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 Authorised third party (name) N/A (General Information) {ALPHANUM1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A STSAT15 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSAT16 STS status N/A (General Information) {ALPHANUM1000} Regulation 11 of the Securitisation Regulations 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 Originator (or original lender) not a CRR firm or an FCA investment firm N/A (General Information) {Y/N} SECN 2.5.3R A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSAT18 Confirmation of credit-granting criteria N/A (General Information) {ALPHANUM1000} SECN 2.5.3R 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 STSAT19 Declaration that credit-granting is subject to supervision N/A (General Information) {ALPHANUM1000} SECN 2.5.3R 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 STSAT20 Transfer of the underlying exposures by true sale or assignment Concise Explanation {ALPHANUM10000} SECN 2.3.2R 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 PRM App 2
Annex 14.3R.
STSAT21 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) and (b). Item 3.3 of PRM App 2
Annex 14.3R.

FCA 2026/XX
Concise
Explanation
{ALPHANUM10000} SECN 2.3.3R State whether the provisions in SECN 2.3.4R apply. STSAT22 Exemption for clawback provisions in national insolvency laws Confirmation {ALPHANUM1000} SECN 2.3.4R 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 PRM App 2
Annex 14.3R.
STSAT23 Transfer where the seller is not the original lender Confirmation {ALPHANUM1000} SECN 2.3.5R If the seller is not the original lender, a statement confirming that the securitisation complies with SECN 2.3.2R to SECN 2.3.4R. Item 3.3 of PRM App 2
Annex 14.3R.
STSAT24 Transfer performed by means of an assignment and perfected at a later stage Concise Explanation {ALPHANUM10000} SECN 2.3.6R 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 PRM App 2
Annex 14.3R.
STSAT25 Representations and warranties Concise Explanation {ALPHANUM10000} SECN 2.3.7R 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 PRM App 2
Annex 14.2R.
STSAT26
Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis Concise Explanation {ALPHANUM10000} SECN 2.3.8R A concise explanation of how:
the underlying exposures the sellter transfers to the SSPE (if an SSPE is used) or that are otherwise securitised meet predetermined, clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. 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 portfolio management on a discretionary basis. PRM App 2 Annex 14.2R. STSAT27 No resecuritisation Confirmation {ALPHANUM1000} SECN 2.3.9R 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 PRM App 2
Annex 14.2R.

FCA 2026/XX
STSAT28 Transferred underlying exposures without defaulted exposures Detailed Explanation {ALPHANUM} SECN 2.3.10R A detailed explanation of how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in SECN 2.3.10R, as applicable. If appropriate, a clear statement whether the securitisation contains any credit impairedness at the time of securitisation as specified in SECN 2.3.10R (2)(b)(i). Confirmation that:
at the time of origination, the requirements referred to in SECN 2.3.10R (2)(c); at the time of selection, the requirements referred to in SECN 2.3.10R (2)(d) are met Item 2.2.8 of PRM App 2
Annex 14.2R.
STSAT29 At least one payment at the time of transfer Confirmation {ALPHANUM1000} SECN 2.3.11R 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 whether the reason is one of the exceptions permitted under SECN 2.2.13R applies. Items 3.3 and 3.4.6 of PRM App 2 Annex 14.3R. STSAT30 Repayment of the holders shall not have been structured to depend predominantly on the sale of assets Detailed Explanation {ALPHANUM} SECN 2.3.12R 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 considered to depend on the sale of assets, as specified under SECN 2.3.12R (3). Item 3.4.1 of PRM App 2
Annex 14.3R.
STSAT31 Mitigation of interest rates (IR) and currency (FX) risks Concise Explanation {ALPHANUM10000} SECN 2.3.13R 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 standards. Items 3.4.2 and 3.8 of PRM App 2 Annex 14.3R. STSAT32 Derivatives purchased/sold by SSPE Concise Explanation {ALPHANUM10000} SECN 2.3.13R Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contracts. Items 3.4.2 and 3.8 of PRM App 2 Annex 14.3R. STSAT33 Derivatives in underlying exposures Concise Explanation {ALPHANUM10000} SECN 2.3.13R A concise explanation on the presence of any derivatives in the pool of underlying exposures. Items 3.4.2 and 3.8 of PRM App 2 Annex 14.3R. STSAT34 Derivatives using common standards Concise Explanation {ALPHANUM10000} SECN 2.3.13R A concise explanation whether any derivatives permissible under SECN 2.3.13R are underwritten and documented according to common standards in international finance. Items 3.4.7 and 3.8 of PRM App 2 Annex 14.3R.

FCA 2026/XX
STSAT35 Clear and consistent definitions relating to the treatment of problem loans Confirmation {ALPHANUM1000} SECN 2.3.14R 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 2.3.14R. Item 2.2.2 of PRM App 2
Annex 14.2R.
STSAT36 Priorities of payment and trigger events Confirmation {ALPHANUM1000} SECN 2.3.14R Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to SECN 2.3.14. Items 3.4.7 and 3.4.8 of PRM App 2 Annex 14.3R. STSAT37 Historical default and loss performance data Confirmation {ALPHANUM1000} SECN 2.3.16R 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, 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. Item 2.2.2 of PRM App 2
Annex 14.2R.
STSAT38 Homogeneity of assets Detailed
Explanation
{ALPHANUM}
SECN 2.3.17R
A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, 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 PRM App 2
Annex 14.2R.
STSAT39 Underlying exposure obligations Confirmation {ALPHANUM1000} SECN 2.3.17R Confirmation that the pool of underlying exposures has a remaining weighted 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). Item 2.2.7 of PRM App 2
Annex 14.2R.
STSAT40 Underlying exposure obligations Confirmation {ALPHANUM1000} Confirmation, where appropriate, that the underlying exposures:
do not include loans secured by residential or commercial mortgages; contain obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or related to any other right to Item 2.2.7 of PRM App 2
Annex 14.2R.

FCA 2026/XX
SECN 2.3.17R receive income from assets warranting such payments; does not include transferable securities as defined in the Glossary to the FCA Handbook other than corporate bonds, that are not listed on a trading venue as defined in the Glossary to the FCA Handbook. STSAT41 Referenced interest payments based on generally used interest rates Concise Explanation {ALPHANUM10000} SECN 2.3.18R 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. Items 2.2.2 and 2.2.13 of PRM App 2 Annex 14.2R. STSAT42 No trapping of cash following enforcement or acceleration notice Concise Explanation {ALPHANUM10000} SECN 2.3.19R A concise explanation on whether each of the requirements of SECN 2.3.19R are met, including a concise explanation of cases where cash may be trapped. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT43 No trapping of cash following enforcement or acceleration Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that no cash would be trapped after an enforcement or an acceleration notice was delivered. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT44 Principal receipts shall be passed to investors Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT45 No provisions shall require automatic liquidation of the underlying exposures at market value Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT46 Soundness of the underwriting standards Detailed Explanation {ALPHANUM} SECN 2.3.20R A detailed explanation as to whether the underlying exposures were originated in the seller’s ordinary course of business, specifying whether the underwriting standard are no less stringent that those applied to exposures that were not securitised. A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP transaction. Item 2.2.7 of PRM App 2
Annex 14.2R.
STSAT47 Seller expertise Detailed
Explanation
{ALPHANUM}
SECN 2.3.20R
A detailed explanation as to whether the seller has the required expertise in originating exposures of a similar nature to those securitised. Item 2.2.7 of PRM App 2
Annex 14.2R.
STSAT48 Revolving ABCP transaction / credit quality trigger Detailed Explanation {ALPHANUM} SECN 2.3.21R A detailed explanation how the provisions or triggers in SECN 2.3.21R are included in the securitisation Items 2.3 and 2.4 of PRM App 2 Annex 14.2R.

FCA 2026/XX documentation.
STSAT49 Securitisation participant duties Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider. Item 3.2 of PRM App 2
Annex 14.3R.
STSAT50 Servicing continuity provisions Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a termination of servicing. Item 3.7 of PRM App 2
Annex 14.3R.
STSAT51
Derivative counterparties and account bank continuity provisions Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and other specified events, where applicable. Item 3.8 of PRM App 2
Annex 14.3R.
STSAT52 Sponsor robustness Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes provisions on how the sponsor meets the requirements in SECN 2.3.25R(1). Item 3.2 of PRM App 2
Annex 14.3R.

FCA 2026/XX
ABCP Programme
FIELD
NUMBER BOX TO COMPLETE FOR STS NOTIFICATION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION
TYPE
FOR THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
FIELD DESCRIPTION (where appropriate, this includes a reference to the relevant sections of the underlying documentation where the information can be found) ADDITIONAL INFORMATION STSAP0 First contact point N/A (General Information) {ALPHANUM1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of PRM App 2 Annex 14.3R. STSAP1 Instrument identification code N/A (General Information) {ISIN} N/A If applicable, the international security identification (ISIN) codes assigned to the ABCP programmes. Where available under Item 3.1 of PRM App 2 Annex 14.3R. STSAP2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A If available, the LEI of the sponsor(s) and/or ABCP programme(s). Item 4.2 of PRM App 2 Annex 7.4R. STSAP3 Notification identifier N/A (General Information) {ALPHANUM-100}N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSAP4 Unique identifier N/A (General Information) {ALPHANUM-100}N/A The unique identifier assigned by the reporting entity to this ABCP programme in accordance with SEC N/A STSAP5 Prospectus identifier N/A (General Information) {ALPHANUM-100}N/A If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSAP6 Securitisation repository N/A (General Information) {ALPHANUM1000} N/A If available, the name of the registered securitisation repository. N/A STSAP7 Securitisation name N/A (General Information) {ALPHANUM-100}N/A The name of the ABCP programme. PRM App 2 Annex 7.4R. STSAP8 Country of establishment N/A (General Information) {Y/N} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R Confirmation that the sponsor is established in the United Kingdom. Item 4.3 of PRM App 2 Annex 7.4R.

FCA 2026/XX
STSAP9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A STSAP10 Issuance date N/A (General Information) {DATEFORMAT} N/A The date of the first issuance of the ABCP programme. PRM App 2 Annex 7.4R. STSAP11 Notification date N/A (General Information) {DATEFORMAT} N/A The date of STS notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAP12 Authorised third party N/A (General Information) {ALPHANUM1000} SECN 2.5.2R 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 Authorised third party (name) N/A (General Information) {ALPHANUM1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the the third party’s name. N/A STSAP14 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSAP15 STS status N/A (General Information) {ALPHANUM1000} Regulation 11 of the Securitisation Regulations A reasoned notification by the originator and sponsor that the ABCP programme is no longer to be considered as STS, or that a STS notification should be revised. N/A STSAP16 Sponsor to be a CRR firm, but not an investment firm Confirmation {ALPHANUM1000} SECN 2.3.23R 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 Sponsor support as liquidity facility provider Confirmation {ALPHANUM1000} SECN 2.3.24R 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 Demonstration to the PRA Confirmation {ALPHANUM1000} SECN 2.3.25R Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to the PRA. N/A STSAP19 Compliance with sponsor's due diligence requirements Confirmation {ALPHANUM1000} SECN 2.3.26R 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 SECN 2.3.26R (3) or equivalent requirements in third countries. N/A

FCA 2026/XX
STSAP20
The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy the risk retention requirements as provided under SECN 5 Concise Explanation {LIST} SECN 2.3.27R A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under SECN 5.2 specifying the option used for retaining the risk including:
vertical slice – i.e. SECN 5.2.8R (1)(a); seller’s share – i.e. SECN 5.2.8R (1)(b); randomly-selected exposures kept on balance sheet – i.e. SECN 5.2.8R (1)(c); first loss tranche – i.e. SECN 5.2.8R (1)(d); first loss exposure in each asset – i.e. SECN 5.2.8R (1)(e); L-shaped risk retention - i.e. SECN 5.2.8R(1)(f); no compliance with risk retention requirements of SECN; other. Item 3.4.3 of PRM App 2 Annex 14.3R. STSAP21 Compliance at ABCP programme level with SECN 6 (transparency requirements) Confirmation {ALPHANUM1000} SECN 2.3.28R Confirmation that:
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 form. N/A STSAP22 Drawdown of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor Concise Explanation {ALPHANUM10000} SECN 2.3.29R A concise explanation from the sponsor as to 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 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 {ALPHANUM1000} SECN 2.3.30R 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
STSAP24
Maximum of 5% of the aggregate amount of the underlying exposures may temporarily be non-compliant with certain requirements Detailed Explanation {ALPHANUM} SECN 2.3.30R (2) to (3) 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 N/A

FCA 2026/XX breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party. STSAP25 Remaining weighted average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years Confirmation {ALPHANUM1000} SECN 2.3.31R Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years. N/A STSAP26 Fully supported ABCP programme (sponsor support) Concise Explanation {ALPHANUM10000} SECN 2.3.32R 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 No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level Confirmation {ALPHANUM1000} SECN 2.3.33R 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 STSAP28 No call options Confirmation {ALPHANUM1000} SECN 2.3.34R 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 Interest rate and currency risks at ABCP programme appropriately mitigated and documented Detailed Explanation {ALPHANUM} SECN 2.3.35R 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. A description of how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance. N/A STSAP30 Requirements for the ABCP programme documentation (responsibilities of the trustee to investors) Confirmation {ALPHANUM1000} SECN 2.3.36R (1) 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 Requirements for the ABCP programme documentation (contractual obligations of the sponsor) Confirmation {ALPHANUM1000} SECN 2.3.36R (2) 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 STSAP32 Requirements for the ABCP programme documentation (process and responsibilities in case of defaulted servicer) Confirmation {ALPHANUM1000} SECN 2.3.36R (3) Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity. N/A

FCA 2026/XX
Confirmation that the requirements under SECN STSAP33 Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) Confirmation {ALPHANUM1000} SECN 2.3.36R (4) 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 Confirmation that the ABCP programme’s documentation contains procedures ensuring that upon specified events, defaults or insolvency of STSAP34 Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) Confirmation {ALPHANUM1000} SECN 2.3.36R (5) 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 Requirements for the ABCP programme documentation Confirmation that the ABCP programme’s documentation contains provisions ensuring that STSAP35 (liquidity facility and maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry) Confirmation {ALPHANUM1000} SECN 2.3.36R (6) the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. 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 (6). N/A STSAP36 Servicer expertise Detailed Explanation {ALPHANUM} SECN 2.3.37R A detailed explanation of how the requirements of SECN 2.3.37R are met, including the policies and procedures ensuring compliance with these requirements. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in SECN 2.3.37R (as applicable) (‘servicer expertise, policies, procedures, and risk management’). Item 3.2 of PRM App 2 Annex 14.3R.

FCA 2026/XX
2 Annex Private templates for STS notifications under SECN 2.6.1R(2)(b) 2R [Editor’s note: insert link to ‘Private templates for STS notifications under SECN 2.6.1R(2)(b)’.]

FCA 2026/XX
Non-ABCP securitisation
A detailed explanation of whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised. FIELD NUMBER BOX TO COMPLETE FOR STS NOTIFICATION BACKGROUND INFORMATION: FIELD NAME BACKGROUND INFORMATION:
APPLICABLE
EXPLANATION
TYPE
FOR THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSS0 First contact point N/A (General Information) {ALPHANUM-1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of PRM App 2
Annex 14.3R.
STSS1 Instrument identification code N/A (General Information) {ISIN} N/A Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation. Where available under Item 3.1 of PRM App 2 Annex 14.3R. STSS2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A The LEI of the originator(s) and sponsor(s) and, where available, original lender(s). Item 4.2 of PRM App 2
Annex 7.4R.
STSS3 Notification identifier N/A (General
Information)
{ALPHANUM-100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously not N/A STSS4 Unique identifier N/A (General Information) {ALPHANUM-100} N/A The unique identifier assigned by the reporting entity in accordance with SECN 11.12.1R. N/A STSS5 Prospectus identifier N/A (General Information) {ALPHANUM-100} N/A If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSS6 Securitisation repository N/A (General Information) {ALPHANUM-1000} N/A If available, the name of the registered securitisation repository. N/A STSS7 Securitisation name N/A (General Information) {ALPHANUM-100} N/A The securitisation name. PRM App 2 Annex 7.4R. STSS8 Country of establishment N/A (General Information) {COUNTRYCODE_2} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R If available, the country of establishment of the originator(s), sponsor(s), SSPE(s) and original lender(s). N/A STSS9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation: non-ABCP securitisation; ABCP transaction; ABCP programme. N/A STSS10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:
residential loans that fall within SECN 2.4.1R(1)(a)(i); commercial loans that fall within SECN 2.4.1R(1)(a)(ii); credit facilities that fall within SECN 2.4.1R(1)(a)(iii); N/A

FCA 2026/XX 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 that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters; STSS11 Issue date N/A (General Information) {DATEFORMAT} N/A If a prospectus is drawn up in compliance with the rules in PRM 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 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA or if prior to IP completion day, date of notification to ESM N/A STSS13 Authorised third party N/A (General Information) {ALPHANUM-1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5. N/A STSS14 Authorised third party (name) N/A (General Information) {ALPHANUM-1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5. N/A STSS15 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSS16 STS status N/A (General Information) {ALPHANUM-1000} Regulation 11 of the Securitisation Regula 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 STSS17 Originator (or original lender) not a CRR firm or an FCA investment firm N/A (General Information) {Y/N} SECN 2.5.3R A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSS18 Confirmation of credit-granting criteria N/A (General Information) {ALPHANUM-1000} SECN 2.5.3R 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 Declaration that the creditgranting is subject to supervision N/A (General Information) {ALPHANUM-1000} SECN 2.5.3R 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 STSS20 Transfer of the underlying exposures by true sale or assignment Concise Explanation {ALPHANUM10000} SECN 2.2.2R 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 PRM App 2
Annex 14.3R.
STSS21 No severe clawback Concise
Explanation
{ALPHANUM10000} SECN 2.2.3R
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 PRM App 2
Annex 14.3R.

FCA 2026/XX
STSS22 Exemption for clawback provisions in national insolvency laws Confirmation {ALPHANUM-1000} SECN 2.2.4R In conjunction with STSS21, where appropriate, a confirmation whether there are no circumstances that could give rise to clawback provisions in accordance with SECN 2.2.2R and SECN 2.2.3R. Item 3.3 of PRM App 2
Annex 14.3R.
STSS23 Transfer where the seller is not the original lender Confirmation {ALPHANUM-1000} SECN 2.2.5R 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 PRM App 2
Annex 14.3R.
STSS24 Transfer performed by means of an assignment and perfected at a later stage Concise Explanation {ALPHANUM10000} SECN 2.2.6R 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. If alternative transfer methods are used, a confirmation that the originator’s insolvency would not prejudice or prevent the SSPE from enforcing its rights. Item 3.3 of PRM App 2
Annex 14.3R.
STSS25 Representations and warranties
Concise
Explanation
{ALPHANUM10000}
SECN 2.2.7R 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 PRM App 2 Annex 14.2R. STSS26 Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis Concise Explanation {ALPHANUM10000} SECN 2.2.8R A concise explanation on how:
-the underlying exposures the seller transfers to the SSPE (if an SSPE is used) or that are otherwise securitised meet predetermined discretionary clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. -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 portfolio management on a discretionary basis. PRM App 2 Annex 14.2R. STSS27 Homogeneity of assets Detailed Explanation {ALPHANUM} SECN 2.2.9R 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 PRM App 2 Annex 14.2R. STSS28 Underlying exposure obligations: no resecuritisation Confirmation {ALPHANUM-1000} SECN 2.2.10R A confirmation that the underlying exposures do not include any securitisation positions and that the Item 2.2 of PRM App 2
Annex 14.2R.

FCA 2026/XX notified securitisation is therefore not a resecuritisation. STSS29 Soundness of the underwriting standard Detailed Explanation {ALPHANUM} SECN 2.2.11R A detailed explanation:
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 potential investors without undue delay. 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 SECN 2.2.11R(4) or, where applicable, equivalent requirements in third countries. Item 2.2.7 of PRM App 2 Annex 14.2R. STSS30 Originator/Lender expertise Detailed Explanation {ALPHANUM} SECN 2.2.11R A detailed explanation of whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised. Item 2.2.7 of PRM App 2 Annex 14.2R. STSS31 Transferred underlying exposures without exposures in default Detailed Explanation {ALPHANUM} SECN 2.2.12R A detailed explanation of whether:
the transferred underlying exposures do not include, at the time of selection, defaulted exposures (or restructured exposures) within the meaning of the definition referred to in SECN 2.2.12R(2). 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. Item 2.2.8 of PRM App 2 Annex 14.2R. STSS32 At least one payment at the time of transfer Confirmation {ALPHANUM-1000} SECN 2.2.13R 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 PRM App 2 Annex 14.3R. STSS33 Repayment of the holders shall not have been structured to depend predominantly on the sale of assets Detailed Explanation {ALPHANUM} SECN 2.2.14R 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 PRM App 2 Annex 14.3R.

FCA 2026/XX
STSS34
Compliance with the risk retention requirements Concise Explanation {LIST} SECN 2.2.15R 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:
vertical slice in accordance with SECN 5.2.8R (1)(a); seller’s share in accordance with SECN 5.2.8R (1)(b); randomly-selected exposures kept on balance sheet, in accordance with SECN 5.2.8R (1)(c); first loss tranche in accordance with SECN 5.2.8R (1)(d); first loss exposure in each asset in accordance with SECN 5.2.8R(1)(e); L-shaped risk retention in accordance with SECN 5.2.8R(1)(f); no compliance with risk retention requirements set out in SECN 5.2.8R; other options used. Item 3.1 of PRM App 2
Annex 7.3R and Item
3.4.3 of PRM App 2
Annex 14.3R.
STSS35 Mitigation of interest rates (IR) and currency (FX) risks Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2 Annex 14.3R. STSS36 Derivatives purchased/sold by SSPE Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2 Annex 14.3R. STSS37 Derivatives using common standards Concise Explanation {ALPHANUM10000} SECN 2.2.16R 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 PRM App 2 Annex 14.3R. STSS38 Referenced interest payments based on generally used interest rates Concise Explanation {ALPHANUM10000} SECN 2.2.17R 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 Items 2.2.2 and 2.2.13 of PRM App 2
Annex 14.2R.
STSS39 No trapping of cash following enforcement or an acceleration notice Concise Explanation {ALPHANUM10000} SECN 2.2.18R A declaration in general terms that each of the requirements of SECN 2.2.18R are met. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS40 No amount of cash shall be trapped Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that no cash would be trapped following the delivery of enforcement or an acceleration notice. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS41 Principal receipts shall be passed to investors Confirmation {ALPHANUM-1000} Confirmation that principal receipts from the underlying exposures are passed to the investors via

FCA 2026/XX
SECN 2.2.18R sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS42 Repayment shall not be reversed with regard to seniority Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that the repayment of the securitisation positions is not to be reversed with regard to their seniority. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS43 No provisions shall require automatic liquidation of the underlying exposures at market value Confirmation {ALPHANUM-1000} SECN 2.2.18R Confirmation that no provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS44 Securitisations featuring nonsequential priority of payments Confirmation {ALPHANUM-1000} SECN 2.2.19R Confirmation that transaction featuring nonsequential 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. Confirmation that such triggers include at least the deterioration in the credit quality of the underlying exposures below a predetermined threshold. Item 3.4.5 of PRM App 2 Annex 14.3R. STSS45 Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers Concise Explanation {ALPHANUM10000} SECN 2.2.20R 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 PRM App 2 Annex 14.2R. STSS46 Deterioration in the credit quality of the underlying exposures Concise Explanation {ALPHANUM10000} SECN 2.2.20R (1) 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 PRM App 2 Annex 14.2R. STSS47 Occurrence of an insolvency related event of the originator or servicer Concise Explanation {ALPHANUM10000} SECN 2.2.20R (2) 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 PRM App 2 Annex 14.2R. STSS48 Value of the underlying exposures held by the SSPE falls below a predetermined threshold Concise Explanation {ALPHANUM10000} SECN 2.2.20R (3) 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 PRM App 2 Annex 14.2R. STSS49 Failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period) Concise Explanation {ALPHANUM10000} SECN 2.2.20R (4) 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 PRM App 2 Annex 14.2R. STSS50 Information regarding contractual obligations of the Confirmation {ALPHANUM-1000} Confirmation that the transaction documentation specifies all the requirements under SECN 2.

FCA 2026/XX servicer, trustee and other ancillary service providers SECN 2.2.21R (1) Item 3.2 of PRM App 2
Annex 14.3R.
STSS51 Servicing continuity provisions Confirmation {ALPHANUM-1000} SECN 2.2.21R (2) Confirmation that the securitisation documentation expressly satisfies the requirements of 2.2.21R (2). Item 3.2 of PRM App 2
Annex 14.3R.
STSS52 Derivative counterparties continuity provisions Confirmation {ALPHANUM-1000} SECN 2.2.21R (3) Confirmation that the transaction documentation satisfies all of the information referred to in SECN
2.2.21 R (3).
Item 3.8 of PRM App 2
Annex 14.3R.
STSS53 Liquidity providers and account bank continuity provisions Confirmation {ALPHANUM-1000} SECN 2.2.21R (3) Confirmation that the transaction documentation satisfies all of the information under SECN 2.2.21 R (3). Item 3.8 of PRM App 2
Annex 14.3R.
STSS54
Required expertise from the servicer and policies and adequate procedures and risk management controls in place Detailed Explanation {ALPHANUM} SECN 2.2.22R 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 PRM App 2 Annex 14.3R. STSS55 Clear and consistent definitions relating to the treatment of problem loans Confirmation {ALPHANUM-1000} SECN 2.2.23R 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 PRM App 2 Annex 14.2R. STSS56 Priorities of payment and trigger events Confirmation {ALPHANUM-1000} SECN 2.2.23R Confirmation that the securitisation documentation sets out the priorities of payment and trigger events pursuant to SECN 2.2.23R. Item 3.4.7 of PRM App 2 Annex 14.3R. STSS57 Timely resolution of conflicts between classes of investors and responsibilities of trustees Confirmation {ALPHANUM-1000} SECN 2.2.24R 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 PRM App 2
Annex 14.3R.
STSS58 Historical default and loss performance data Confirmation {ALPHANUM-1000} SECN 2.2.25R 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 PRM App 2 Annex 14.2R. STSS59 Sample of the underlying exposures subject to external verifications Confirmation {ALPHANUM-1000} SECN 2.2.26R Confirmation that a sample of the underlying exposures was subject to external verification before the issuance of the securities by an appropriate and independent party. N/A STSS60 Availability of a liability cash flow model to potential investors Confirmation {ALPHANUM-1000} SECN 2.2.27R 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 Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases Concise Explanation {ALPHANUM10000} SECN 2.2.28R 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) and a statement where that information is to be found. N/A

FCA 2026/XX
STSS62
Originator and sponsor responsible for compliance with SECN 6 Confirmation {ALPHANUM-1000} SECN 2.2.29R Confirmation that:

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 2026/XX
ABCP Transaction
FIELD
NUMBER
BOX TO COMPLETE FOR STS
NOTIFICATION
BACKGROUND
INFORMATION: FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION
TYPE FOR THIS
FIELD
BACKGROUND
INFORMATION
: FIELD
FORMAT
PROVISION OF
THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSAT0 First contact point N/A (General Information) {ALPHANUM1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of
Annex 14.3R of
PRM App 2.
STSAT1 Instrument identification code
N/A (General
Information)
{ISIN} N/A If available, the international security identification (ISIN) code or codes, or if no ISIN code is available, then any other unique securities code or codes assigned to the ABCP transaction. Where available under Item 3.1 of PRM App 2
Annex 14.3R.
STSAT2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A If available, the LEI of the originator(s) and/or sponsor(s). Item 4.2 of PRM App 2 Annex 7.4R. STSAT3 Notification identifier N/A (General Information) {ALPHANUM100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSAT4 Unique identifier N/A (General Information) {ALPHANUM100} N/A The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with SECN 11.12.2R. N/A STSAT5 Prospectus identifier N/A (General Information) {ALPHANUM100} N/A If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSAT6 Securitisation repository N/A (General Information) {ALPHANUM1000} N/A If available, the name of the registered securitisation repository. N/A STSAT7 Securitisation name N/A (General Information) {ALPHANUM100} N/A If available, the securitisation name or in the absence thereof, the code name and used name.
Section 4 of PRM
App 2 Annex
7.4R.
STSAT8 Country of establishment N/A (General Information) {COUNTRYCOD E_2} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R If available, the country of establishment of the originator(s), sponsor(s) and SSPE(s). N/A STSAT9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A

FCA 2026/XX
STSAT10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:
residential loans that fall within SECN
2.4.1R(1)(a)(i); commercial loans that fall within SECN 2.4.1R(1)(a)(ii); credit facilities that fall within SECN 2.4.1R(1)(a)(iii); 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 that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters; N/A STSAT11 Issue date N/A (General Information) {DATEFORMAT } N/A If a prospectus is drawn up in compliance with the rules in PRM, and / or corresponding legislation applicable in a third country, the date on which the prospectus was approved. If not, the issuance date of the ABCP transaction. N/A STSAT12 Notification date N/A (General Information) {DATEFORMAT } N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAT13 Authorised third party N/A (General Information) {ALPHANUM1000} SECN 2.5.2R 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 Authorised third party (name) N/A (General Information) {ALPHANUM1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A STSAT15 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSAT16 STS status N/A (General Information) {ALPHANUM1000} Regulation 11 of the Securitisation Regulations 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 Originator (or original lender) not a CRR firm or an FCA investment firm N/A (General Information) {Y/N} SECN 2.5.3R A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSAT18 Confirmation of creditgranting criteria N/A (General Information) {ALPHANUM1000} SECN 2.5.3R 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

FCA 2026/XX
STSAT19 Declaration that creditgranting is subject to supervision N/A (General Information) {ALPHANUM1000} SECN 2.5.3R 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 STSAT20 Transfer of the underlying exposures by true sale or assignment Concise Explanation {ALPHANUM10000} SECN 2.3.2R 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 PRM App 2 Annex 14.3R. STSAT21 No severe clawback Concise Explanation {ALPHANUM10000} SECN 2.3.3R 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) and (b). State whether the provisions in SECN 2.3.4R apply. Item 3.3 of PRM App 2 Annex 14.3R. STSAT22 Exemption for clawback provisions in national insolvency laws Confirmation {ALPHANUM1000} SECN 2.3.4R 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 PRM App 2 Annex 14.3R. STSAT23 Transfer where the seller is not the original lender Confirmation {ALPHANUM1000} SECN 2.3.5R If the seller is not the original lender, a statement confirming that the securitisation complies with SECN 2.3.2R to SECN 2.3.4R. Item 3.3 of PRM App 2 Annex 14.3R. STSAT24 Transfer performed by means of an assignment and perfected at a later stage Concise Explanation {ALPHANUM10000} SECN 2.3.6R 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 PRM App 2 Annex 14.3R. STSAT25 Representations and warranties Concise Explanation {ALPHANUM10000} SECN 2.3.7R 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 PRM App 2
Annex 14.2R.
STSAT26 Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis Concise Explanation {ALPHANUM10000} SECN 2.3.8R A concise explanation on how:
the underlying exposures transferred from, or assigned by, the seller to the SSPE meet predetermined, clear and documented eligibility criteria which do not allow for active portfolio management of those exposures on a discretionary basis; 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 PRM App 2
Annex 14.2R.

FCA 2026/XX into the securitisation and that they do not allow for their active portfolio management on a discretionary basis. STSAT27 No resecuritisation Confirmation {ALPHANUM1000} SECN 2.3.9R 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 PRM App 2
Annex 14.2R.
STSAT28 Transferred underlying exposures without defaulted exposures Detailed Explanation {ALPHANUM} SECN 2.3.10R A detailed explanation how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in SECN 2.3.10R, as applicable. If appropriate, a clear statement whether the securitisation contains any creditimpairedness at the time of securitisation as specified in SECN 2.3.10R (2)(b)(i). Confirmation that:
at the time of origination, the requirements referred to in SECN 2.3.10R (2)(c) are met; at the time of selection, the requirements referred to in SECN 2.3.10R (2)(d) are met. Item 2.2.8 of PRM App 2
Annex 14.2R.
STSAT29 At least one payment at the time of transfer Confirmation {ALPHANUM1000} SECN 2.3.11R Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. Where no payment has been made, an explanation why this is the case, including a statement as to whether the reason is one of the exceptions permitted under SECN 2.2.13R applies. Items 3.3 and
3.4.6 of PRM
App 2 Annex
14.3R.
STSAT30 Repayment of the holders shall not have been structured to depend predominantly on the sale of assets Detailed Explanation {ALPHANUM} SECN 2.3.12R 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 considered to depend on the sale of assets, as specified under SECN 2.3.12R (3). Item 3.4.1 of PRM App 2
Annex 14.3R.
STSAT31 Mitigation of interest rates
(IR) and currency (FX) risks
Concise
Explanation
{ALPHANUM10000}
SECN 2.3.13R A concise explanation whether and how the interest rates and currency risks are appropriately mitigated and confirm that the measures to that effect are disclosed. A concise explanation whether any hedging instruments used are underwritten and documented Items 3.4.2 and
3.8 of PRM App 2
Annex 14.3R.

FCA 2026/XX according to commonly accepted standards.
STSAT32 Derivatives purchased/sold by SSPE
Concise
Explanation
{ALPHANUM10000}
SECN 2.3.13R Except for the purpose of hedging interest rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contracts. Items 3.4.2 and
3.8 of PRM App 2
Annex 14.3R.
STSAT33 Derivatives in underlying exposures Concise Explanation {ALPHANUM10000} SECN 2.3.13R A concise explanation on the presence of any derivatives in the pool of underlying exposures. Items 3.4.2 and
3.8 of PRM App 2
Annex 14.3R.
STSAT34 Derivatives using common standards
Concise
Explanation
{ALPHANUM10000}
SECN 2.3.13R A concise explanation whether any derivatives permissible under SECN 2.3.13R are underwritten and documented according to common standards in international finance. Items 3.4.7 and
3.8 of PRM App 2
Annex 14.3R.
STSAT35 Clear and consistent definitions relating to the treatment of problem loans Confirmation {ALPHANUM1000} SECN 2.3.14R 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 2.3.14R. Item 2.2.2 of PRM App 2
Annex 14.2R.
STSAT36 Priorities of payment and trigger events Confirmation {ALPHANUM1000} SECN 2.3.14R Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to SECN 2.3.14. Items 3.4.7 and
3.4.8 of PRM
App 2
Annex 14.3R.
STSAT37 Historical default and loss performance data Confirmation {ALPHANUM1000} SECN 2.3.16R 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, 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. Item 2.2.2 of PRM App 2
Annex 14.2R.
STSAT38 Homogeneity of assets Detailed
Explanation
{ALPHANUM} SECN 2.3.17R A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, 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 PRM App 2
Annex 14.2R.
STSAT39 Underlying exposure obligations
Confirmation {ALPHANUM1000}
SECN 2.3.17R Confirmation that the pool of underlying exposures has a remaining weighted average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years. Item 2.2.7 of PRM App 2
Annex 14.2R.

FCA 2026/XX
Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with SECN 2.3.17R (3). STSAT40 Underlying exposure obligations Confirmation {ALPHANUM1000} SECN 2.3.17R Confirmation, where appropriate, that the underlying exposures:
do not include loans secured by residential or commercial mortgages; contain obligations that are contractually binding and enforceable, with full recourse to debtors with defined payment streams relating to rental, principal, interest, or related to any other right to receive income from assets warranting such payments; does not include transferable securities as defined in the Glossary to the FCA Handbook other than corporate bonds, that are not listed on a trading venue as defined in the Glossary to the FCA Handbook. Item 2.2.7 of PRM App 2
Annex 14.2R.
STSAT41 Referenced interest payments based on generally used interest rates Concise Explanation {ALPHANUM10000} SECN 2.3.18R 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. Items 2.2.2 and
2.2.13 of PRM
App 2 Annex
14.2R.
STSAT42 No trapping of cash following enforcement or acceleration notice Concise Explanation {ALPHANUM10000} SECN 2.3.19R A concise explanation on whether each of the requirements of SECN 2.3.19R are met, including a concise explanation of cases where cash may be trapped. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT43 No trapping of cash following enforcement or acceleration Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that no cash would be trapped following an enforcement or an acceleration notice was delivered. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT44 Principal receipts shall be passed to investors Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT45 No provisions shall require automatic liquidation of the underlying exposures at market value Confirmation {ALPHANUM1000} SECN 2.3.19R Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of PRM App 2
Annex 14.3R.
STSAT46 Soundness of the underwriting standards Detailed Explanation {ALPHANUM} SECN 2.3.20R A detailed explanation as to whether the underlying exposures were originated in the seller’s ordinary course of business, specifying

FCA 2026/XX whether the underwriting standard are no less Item 2.2.7 of stringent that those applied to exposures that PRM App 2 were not securitised. Annex 14.2R. A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP transaction. STSAT47 Seller expertise Detailed {ALPHANUM} SECN 2.3.20R A detailed explanation as to whether the seller has Item 2.2.7 of Explanation the required expertise in originating exposures of aPRM App 2 similar nature to those securitised. Annex 14.2R. STSAT48 Detailed {ALPHANUM} SECN 2.3.21R A detailed explanation how the provisions or Items 2.3 and 2.4 Revolving ABCP Explanation triggers in SECN 2.3.21R are included in the of PRM App 2 transaction/credit quality securitisation documentation. Annex 14.2R. trigger STSAT49 Securitisation participant duties Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes the contractual Item 3.2 of PRM obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and App 2 Annex 14.3R. other ancillary service provider. STSAT50 Servicing continuity provisions Confirmation {ALPHANUM1000} SECN 2.3.22R Confirmation that the securitisation documentation includes the processes and Item 3.7 of PRM responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a App 2 Annex 14.3R. termination of servicing. STSAT51 Derivative counterparties Confirmation {ALPHANUM- SECN 2.3.22R Confirmation that the securitisation and account bank continuity provisions 1000} documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and Item 3.8 of PRM App 2 Annex 14.3R. other specified events, where applicable. STSAT52 Sponsor robustness Confirmation {ALPHANUM- SECN 2.3.22R Confirmation that the securitisation Item 3.2 of PRM 1000} documentation includes provisions on how the sponsor meets the requirements in SECN 2.3.25R(1). App 2 Annex 14.3R.

FCA 2026/XX
ABCP Programme
FIELD
NUMBER BOX TO COMPLETE FOR STS
NOTIFICATION
BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION
TYPE
FOR THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSAP0 First contact point N/A (General Information) {ALPHANUM1000} SECN 2.5.1R Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of Annex 14.3R of PRM App 2. STSAP1 Instrument identification code N/A (General Information) {ISIN} N/A If applicable, the international security identification (ISIN) codes assigned to the ABCP programmes. Where available under Item 3.1 of PRM App 2 Annex 14.3R. STSAP2 Legal Entity Identifier (LEI) N/A (General Information) {LEI} N/A If available, the LEI of the sponsor(s) and/or ABCP programme(s). Item 4.2 of PRM App 2 Annex 7.4R. STSAP3 Notification identifier N/A (General Information) {ALPHANUM100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSAP4 Unique identifier N/A (General Information) {ALPHANUM100} N/A The unique identifier assigned by the reporting entity to this ABCP programme in accordance with SECN 11.12.1R. N/A STSAP5 Prospectus identifier N/A (General Information) {ALPHANUM100} N/A If available, the prospectus identifier as provided by the relevant national regulator(s). N/A STSAP6 Securitisation repository N/A (General Information) {ALPHANUM1000} N/A If available, the name of the registered securitisation repository. N/A STSAP7 Securitisation name N/A (General Information) {ALPHANUM100} N/A The name of the ABCP programme. Section 4 of PRM App 2 Annex 7.4R. STSAP8 Country of establishment N/A (General Information) {Y/N} Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R Confirmation that the sponsor is established in the United Kingdom. Item 4.3 of PRM App 2 Annex 7.4R. STSAP9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A STSAP10 Issuance date N/A (General Information) {DATEFORMAT} N/A The date of the first issuance of the ABCP programme.
Section 4 of PRM
App 2 Annex 7.4R.
STSAP11 Notification date N/A (General
Information)
{DATEFORMAT} N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAP12 Authorised third party If an authorised third party has provided STS verification services in accordance with SECN N/A

FCA 2026/XX
N/A (General
Information)
{ALPHANUM1000}
SECN 2.5.2R 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. STSAP13 Authorised third party (name) N/A (General Information) {ALPHANUM1000} SECN 2.5.2R If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A STSAP14 [Note: empty row that serves to avoid re-numbering of rows.] N/A STSAP15 STS status N/A (General Information) {ALPHANUM1000} Regulation 11 of the Securitisation Regulations 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 STSAP16 Sponsor to be supervised CRR firm, but not an investment firm Confirmation {ALPHANUM1000} SECN 2.3.23R 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 Sponsor support as liquidity facility provider Confirmation {ALPHANUM1000} SECN 2.3.24R 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 Demonstration to the PRA Confirmation {ALPHANUM1000} SECN 2.3.25R Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to the PRA. N/A STSAP19 Compliance with sponsor's due diligence requirements Confirmation {ALPHANUM1000} SECN 2.3.26R 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 SECN 2.3.26R(3) or equivalent requirements in third countries. N/A STSAP20 The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy the risk retention requirements as provided under SECN 5 Concise Explanation {LIST} SECN 2.3.27R A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under SECN 5.2 specifying the option used for retaining the risk including:
vertical slice – i.e. SECN 5.2.8R (1)(a); seller’s share – i.e. SECN 5.2.8R (1)(b); randomly-selected exposures kept on balance sheet – i.e. SECN 5.2.8R (1)(c); first loss tranche – i.e. SECN 5.2.8R (1)(d); first loss exposure in each asset – i.e. SECN 5.2.8R (1)(e); L-shaped risk retention - i.e. SECN 5.2.8R(1)(f); Item 3.4.3 of
Annex 14.3R of
PRM App 2.

FCA 2026/XX no compliance with risk retention requirements of SECN; other. STSAP21 Compliance at ABCP programme level with SECN 6 (transparency requirements) Confirmation {ALPHANUM1000} SECN 2.3.28R Confirmation that:
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 form. N/A STSAP22 Drawdown of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor Concise Explanation {ALPHANUM10000} SECN 2.3.29R A concise explanation from the sponsor as to 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 Compliance of ABCP transactions within an ABCP programme with SECN 2.32R to SECN 2.3.9R and SECN 2.3.13R to SECN 2.3.22R Confirmation {ALPHANUM1000} SECN 2.3.30R 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
STSAP24
Maximum of 5% of the aggregate amount of the exposures underlying the ABCP may temporarily be non-compliant with certain requirements Detailed Explanation {ALPHANUM} SECN 2.3.30R (2) to (3) 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 Remaining weighted of the average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years Confirmation {ALPHANUM1000} SECN 2.3.31R Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years. N/A

FCA 2026/XX
STSAP26 Fully supported ABCP programme (sponsor support) Concise Explanation {ALPHANUM10000} SECN 2.3.32R 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 No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level Confirmation {ALPHANUM1000} SECN 2.3.33R 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 STSAP28 No call options Confirmation {ALPHANUM1000} SECN 2.3.34R 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 Interest rate and currency risks at ABCP programme appropriately mitigated and documented Detailed Explanation {ALPHANUM} SECN 2.3.35R 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. A description of how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance. N/A STSAP30 Requirements for the ABCP programme documentation (responsibilities of the trustee to investors) Confirmation {ALPHANUM1000} SECN 2.3.36R (1) 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 Requirements for the ABCP programme documentation (contractual obligations of the sponsor) Confirmation {ALPHANUM1000} SECN 2.3.36R (2) 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 STSAP32 Requirements for the ABCP programme documentation (process and responsibilities in case of defaulted servicer) Confirmation {ALPHANUM1000} SECN 2.3.36R (3) Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity. N/A STSAP33 Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) Confirmation {ALPHANUM1000} SECN 2.3.36R (4) 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 N/A

FCA 2026/XX events, where the liquidity facility does not cover such events. STSAP34 Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) Confirmation {ALPHANUM1000} SECN 2.3.36R (5) 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 Requirements for the ABCP programme documentation (liquidity facility and maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry) Confirmation {ALPHANUM1000} SECN 2.3.36R (6) Confirmation that the ABCP programme’s documentation contains provisions ensuring that the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. 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 (6). N/A A detailed explanation of how the requirements of SECN 2.3.37R are met, including the policies STSAP36 Servicer expertise Detailed {ALPHANUM} and procedures ensuring compliance with these Item 3.2 of Annex Explanation requirements. 14.3R of PRM App SECN 2.3.37R A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in SECN 2.3.37R (as applicable) ('servicer expertise, policies, procedures, and risk management'). 2.

FCA 2026/XX
2 Annex Private anonymised templates for STS notifications under SECN 3R 2.6.1R(2)(b) [Editor’s note: insert link to ‘Private anonymised templates for STS notifications under SECN 2.6.1R(2)(b)’.]

FCA 2026/XX
Non-ABCP securitisation
FIELD
NUMBER BOX TO COMPLETE FOR STS
NOTIFICATION
BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE EXPLANATION
TYPE FOR THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSS3 Notification identifier N/A (General Information) {ALPHANUM100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSS4 Unique identifier N/A (General Information) {ALPHANUM100} N/A The unique identifier assigned by the reporting entity in accordance with SECN 11.12.1R. N/A STSS9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A STSS10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:
residential loans that fall within SECN
2.4.1R(1)(a)(i); commercial loans that fall within SECN 2.4.1R(1)(a)(ii); credit facilities that fall within SECN 2.4.1R(1)(a)(iii); 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 that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters. N/A STSS12 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA or if prior to IP completion day, date of notification to ESMA. N/A ABCP Transaction FIELD NUMBER BOX TO COMPLETE FOR STS NOTIFICATION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION TYPE FOR
THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSAT3 Notification identifier N/A (General Information) {ALPHANUM-100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A

FCA 2026/XX
STSAT4 Unique identifier N/A (General Information) {ALPHANUM-100} N/A The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with SECN 11.12.2R. N/A STSAT9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A STSAT10 Underlying exposures classification N/A (General Information) {LIST} N/A The type of underlying exposures including:
residential loans that fall within SECN
2.4.1R(1)(a)(i); commercial loans that fall within SECN 2.4.1R(1)(a)(ii); credit facilities that fall within SECN 2.4.1R(1)(a)(iii); 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 that are considered by the originator or sponsor to constitute a distinct asset type on the basis of internal methodologies and parameters. N/A STSAT12 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A ABCP programme FIELD NUMBER BOX TO COMPLETE FOR STS NOTIFICATION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
APPLICABLE
EXPLANATION TYPE FOR
THIS FIELD
BACKGROUND
INFORMATION:
FIELD FORMAT
PROVISION OF THE
SECURITISATION
REGUALTIONS
AND/OR SECN
BACKGROUND INFORMATION:
(If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available) ADDITIONAL INFORMATION STSAP3 Notification identifier N/A (General Information) {ALPHANUM-100} N/A If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSAP4 Unique identifier N/A (General Information) {ALPHANUM-100} N/A The unique identifier assigned by the reporting entity to this ABCP programme in accordance with SECN 11.12.1R. N/A STSAP9 Securitisation classification N/A (General Information) {LIST} N/A The type of securitisation (non-ABCP securitisation; ABCP transaction; or ABCP programme). N/A STSAP11 Notification date N/A (General Information) {DATEFORMAT} N/A The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A

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SECN 2 Annex 4R to SECN 2 Annex 6R are deleted in their entirety. The deleted text is not shown but the annexes are marked [deleted] as shown below. 2 Annex STS notification template for a non-ABCP securitisation [deleted] 4R 2 Annex STS notification template for an ABCP transaction [deleted] 5R 2 Annex STS notification template for an ABCP programme [deleted] 6R Amend the following as shown. 4 Due diligence requirements …
4.2 Before holding a securitisation position
4.2.1 R (1) Prior to holding a securitisation position, an institutional investor,
other than the originator, sponsor or original lender, shall verify that must be satisfied that:
(a) where the originator or original lender is established in the United Kingdom and is not a CRR firm or FCA investment firm, the originator or original lender grants all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan) on the basis of:
(i) sound and well-defined criteria; and
(ii) clearly established processes for approving, amending, renewing and financing those credits, and has effective systems in place to apply those criteria and processes, in accordance with SECN 8.2 (or equivalent PRA rules); [deleted] (b) where the originator or original lender is not established in the United Kingdom, the originator or original lender grants all the credits giving rise to the underlying exposures (unless they are trade receivables not originated in the form of a loan) on the basis of:
(i) sound and well-defined criteria; and
(ii) clearly established processes for approving, amending, renewing and financing those credits,

FCA 2026/XX and has effective systems in place to apply those criteria and processes, to ensure that credit granting is based on a thorough assessment of the obligor’s creditworthiness; [deleted] (c) if established in the United Kingdom, the originator, sponsor or original lender retains on an ongoing basis 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, SECN 11 and SECN 12 (or equivalent PRA rules); [deleted] (d) if not none of the originator, sponsor or original lender are established in the United Kingdom, the originator, sponsor or original lender retains one of them has and will maintain on an ongoing basis a material net economic interest which, in any event, must not be less than 5%, determined in accordance with SECN 5 (or equivalent PRA rules), and discloses the risk retention to institutional sufficient and appropriate alignment of commercial interest with the institutional investor in the performance of the securitisation; and (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 available on an ongoing basis, to enable the institutional investor to monitor the performance of the securitisation position and the underlying exposures as appropriate. That information must include at least the following:
Information Frequency
1 In the case of a securitisation which is not an ABCP programme or an ABCP transaction, 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, (i) At least quarterly in the case of a securitisation which is not an ABCP programme or an ABCP transaction.

FCA 2026/XX 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. (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 events that could result in a material In the case of primary market investments:
(i) before pricing or commitment to invest in draft or initial form; impact on the performance of the securitisation position. (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. In the case of secondary market investments:
(i) before a commitment to invest in final form; and (ii) 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.

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6 Any approved prospectus or other offering or marketing document prepared with the cooperation of the originator or sponsor. In the case of primary market investments:
(i) before pricing or commitment to invest in draft or initial form; and (ii) no later than 15 days after closing of the transaction in final form. In the case of secondary market investments, before a commitment to invest in final form. 7 If there is an STS notification or a notification falling within regulation 12(3)(b) of the Securitisation Regulations 2024 in respect of the transaction, that STS notification or that notification falling within regulation 12(3)(b) of the Securitisation Regulations 2024. In the case of primary market investments:
(i) before pricing or commitment to invest 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. In the case of secondary market investments:
(i) before a commitment to invest in final form; and (ii) an updated version as soon as practicable following any material change.

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4.2.1A G The level and nature of the information made available in accordance with SECN 4.2.1R(1)(e) should be proportionate to the risk profile of the securitisation position and may include:
(1) information on the underlying exposures, which may be made available in aggregated form for a securitisation of short-term highly granular underlying exposures; (2) investor reports providing periodic updates on:
(a) all materially relevant data on the credit quality and performance of the underlying exposures; (b) all materially relevant data on the risk characteristics of the underlying exposures; (c) 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; (d) data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation; and (e) the calculation and/or modality of any applicable alignment of commercial interest in the performance of the securitisation retained by the originator, sponsor or original lender; (3) 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 events that could result in a material impact on the performance of the securitisation position; (4) information describing any changes or events materially affecting the transaction, including breaches of obligations under the transaction documents; (5) any approved prospectus or other offering or marketing document prepared with the cooperation of the originator or sponsor; and (6) if there is an STS notification or a notification falling within regulation 12(3)(b) of the Securitisation Regulations 2024 in respect of the transaction, that STS notification or that notification falling within regulation 12(3)(b) of the Securitisation Regulations 2024.

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4.2.1B G For the purposes of SECN 4.2.1R(1)(d), the originator, sponsor or original lender would maintain a sufficient and appropriate alignment of commercial interest in the performance of the securitisation if it:
(1) retains on an ongoing basis a material net economic interest in the securitisation of not less than 5% determined in accordance with SECN 5 (or equivalent PRA rules); or (2) maintains a material alignment of commercial interest through alternative means, such as management fees due to the originator, sponsor or original lender under the terms of the transaction documents that are linked to the performance of the securitisation.
4.2.2 R (1) Prior to holding a securitisation position, an institutional investor,
other than the originator, sponsor or original lender, shall must carry out a due diligence assessment, which enables it to assess obtain a comprehensive and thorough understanding of the risks involved. That Subject to SECN 4.3.1R, that assessment shall must consider at least all of the following:
(a) the risk characteristics of the individual securitisation position and of the underlying exposures; (b) all of the structural features of the securitisation that can 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 transaction-specific definitions of default; and (c) with regard to a securitisation included on the list maintained under regulation 10(2) of the Securitisation Regulations 2024, compliance with SECN 2; [deleted] (d) with regard to a securitisation that appears to the institutional investor to be an overseas STS securitisation as defined in regulation 12(2) of the Securitisation Regulations 2024, whether the securitisation falls within a description of securitisation specified in regulations made from time to time under regulation 13(1) of the Securitisation Regulations 2024 in relation to a country or territory designated under such regulations; [deleted] (e) with regard to a securitisation falling within paragraph (3)(b) and (c) of regulation 12 of the Securitisation Regulations 2024, compliance with the requirements referred to in paragraph (3)(a) of that regulation and with
Article 27 of the Securitisation Regulation as it had effect
in relation to the EU at the time of the notification mentioned in paragraph (3)(b) of that regulation; [deleted]

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(f) in considering the matter referred to in point (c), an institutional investor may rely to an appropriate extent on the STS notification and on the information disclosed by the originator, sponsor and SSPE concerning compliance with the STS criteria, without solely or mechanistically relying on that notification or information; and [deleted] (g) in considering the matter referred to in point (d), an institutional investor may rely to an appropriate extent on the notification referred to in regulation 12(3)(b) of the Securitisation Regulations 2024 and on the information disclosed by the originator, sponsor and SSPE to ESMA concerning compliance with the requirements referred to in regulation 12(3)(a) of the Securitisation Regulations 2024, without solely or mechanistically relying on that notification or information. [deleted] (h) where the originator or original lender is not a CRR firm or FCA investment firm, the credit granting standards and processes of the originator or original lender applicable to the underlying exposures (unless they are trade receivables not originated in the form of a loan). … 4.2.2A G The level and nature of the due diligence assessment undertaken in accordance with SECN 4.2.2R(1) should be proportionate to the risk profile of the securitisation position. 4.2.2B G For the purposes of SECN 4.2.2R(1)(b), structural features that can materially impact the performance of the securitisation position may include contractual priorities of payment and priority of payment-related triggers, credit enhancements, liquidity enhancements, market value triggers, and transaction-specific definitions of default.
4.3 Requirements on sponsors
4.3.1 R (1) As regards fully supported ABCP transactions the requirement
specified in SECN 4.2.1R(1)(a) shall apply SECN 4.2.2R(1)(h) applies to the sponsor and not to the institutional investor. (2) In such cases, the sponsor must verify that where the originator or original lender which is not 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) on the basis of:, the sponsor must consider the credit granting standards and processes of the originator or original lender applicable to the underlying exposures (unless they are trade receivables not originated in the form of a loan) (a) sound and well-defined criteria; and

FCA 2026/XX
(b) clearly established processes for their approving, amending, renewing and financing those credits, and has effective systems in place to apply those criteria and processes, in accordance with SECN 8.2 (or equivalent PRA rules).
4.4 While holding a securitisation position
4.4.1 R An institutional investor, other than the originator, sponsor or original
lender, holding a securitisation position, shall must at least:
(1) establish appropriate written procedures that are proportionate to the risk profile of the securitisation position 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 and SECN 4.2.2R and the performance of the securitisation position and of the underlying exposures; Where relevant with respect to the securitisation and the underlying exposures, those written procedures shall include monitoring of:. (a) the exposure type; (b) the percentage of loans more than 30, 60 and 90 days past due; (c) default rates; (d) prepayment rates; (e) loans in foreclosure; (f) recovery rates; (g) repurchases; (h) loan modifications; (i) payment holidays; (j) collateral type and occupancy; and (k) 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; (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,

FCA 2026/XX 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 programmes, regularly perform 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, upon 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 4.3 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, upon 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. 4.4.1A G The level and nature of monitoring undertaken in accordance with SECN 4.4.1R should be proportionate to the risk profile of the securitisation position. In considering what elements of a securitisation are relevant to monitor on an ongoing basis, an institutional investor may consider the following:
(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-toPage 64 of 149

FCA 2026/XX value ratios with bandwidths that facilitate adequate sensitivity analysis. … 5 Requirements on risk retention …
5.2 Retention of a material net economic interest
…
5.2.8 R (1) Only the following shall qualify as a retention of a material net
economic interest of not less than 5% within the meaning of SECN 5.2.1R:
...
(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.; or (f) the retention of a percentage of the first loss tranche and, where such retention does not amount to 5% of the nominal value of the securitised exposures, the retention of a percentage of the nominal value of each of the other tranches sold or transferred or sold to investors (the same percentage to be applied to each such tranche), so that the combined retention is not less than 5% of the nominal value of the securitised exposures. … ...
5.3 Retainers of material net economic interest
...
5.3.2 R Where more than one originator is eligible to fulfil the retention
requirement, each originator shall must fulfil that requirement on a pro rata basis by reference to the securitised exposures for which it is the originator. Where SECN 5.2.8R(1)(f) is relied on for compliance with the retention requirement, all originators must retain pro rata the same

FCA 2026/XX percentage of the first loss tranche and of the nominal value of the other tranches sold or transferred to investors.
5.3.3 R Where more than one original lender is eligible to fulfil the retention
requirement, each original lender shall must fulfil that requirement on a pro rata basis by reference to the securitised exposures for which it is the original lender. Where SECN 5.2.8R(1)(f) is relied on for compliance with the retention requirement, all original lenders must retain pro rata the same percentage of the first loss tranche and of the nominal value of the other tranches sold or transferred to investors. ...
5.4 Fulfilment of the retention requirement through a synthetic form of
retention or contingent form or retention
5.4.1 R (1) The fulfilment of An originator, sponsor or original lender may fulfil
the retention requirement in SECN 5.2 in a manner equivalent to one of the options set out in SECN 5.2.8R through a synthetic or contingent form of retention shall meet all of the following conditions provided that:
(a) the amount retained is at least equal to the amount required under the option 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 or other transaction documentation that it will retain a material net economic interest in the securitisation through a synthetic or contingent form of retention on an ongoing basis. (2) For the purposes of SECN 5.4.1R(1)(b) the retainer shall must disclose in the final offering document, prospectus transaction summary or overview of the main features of the securitisation, or other transaction documentation all the details on the applicable synthetic form of retention or contingent form of retention, including, the methodology used in its determination of the material net interest retained and an explanation on which of the options in in SECN 5.2.8R the retention is equivalent to. … ... Insert the following new section, SECN 5.9A, after SECN 5.9 (Retention of a first loss exposure of not less than 5% of every securitised exposure). All the text is new and is not underlined. 5.9A Retention of a portion of the first loss tranche and of a portion of the nominal value of each of the tranches sold or transferred to investors

FCA 2026/XX
5.9A.1 R The combination of retained risk referred to in SECN 5.2.8R(1)(f) must be fulfilled by applying SECN 5.8 to the retained portion of the first loss tranche referred to in SECN 5.2.8R(1)(d) and by applying SECN 5.5 to the retained portion of the nominal value of each of the tranches sold or transferred to investors as referred to in SECN 5.2.8R(1)(a). Amend the following as shown.
5.17 Retention requirement on resecuritisations
5.17.1 R …
(4) The retranching by the securitisation’s originator of an issued tranche into contiguous tranches shall not constitute a resecuritisation. [deleted] ...
5.19 Disclosure of the level of the commitment to maintain a net economic interest
5.19.1 R (1) The retainer shall must disclose to investors within the final offering
document, prospectus, transaction summary or overview of the main features of the securitisation or other transaction documentation at least the following information regarding the level of its commitment to maintain a net economic interest in the securitisation:
…
(2) Where the exemptions referred to in SECN 5.2.10R and SECN 5.2.11R apply to a securitisation transaction, firms acting as originator, sponsor or original lender shall must disclose within the final offering document, prospectus, transaction summary or overview of the main features of the securitisation or other transaction documentation information on the applicable exemption to investors. (3) The disclosure referred to in (1) and (2) shall must be appropriately documented within the final offering document, prospectus, transaction summary or overview of the main features of the securitisation or other transaction documentation 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. … 6 Transparency requirements for originators, sponsors and SSPEs …

FCA 2026/XX
6.2 Provision of information to holders of a securitisation position about a
securitisation
6.2.1 R The originator, sponsor and SSPE of a securitisation shall must, in
accordance with SECN 6.3, and SECN 11 and SECN 12, make at least the following information available to holders of a securitisation position, to the FCA and, upon request, to potential investors and the FCA:
(1)
(a) for a non-ABCP securitisation, information on the underlying exposures on a quarterly basis as specified in SECN 11.3, or, in the case of asset backed commercial paper, information on the underlying receivables or credit claims on a monthly basis; or (b) for a securitisation which is an ABCP programme or an ABCP transaction, information on the underlying receivables or credit claims in aggregated form on a monthly basis as specified in (5)(a) and (d) below, and in SECN 11.3.1R(6) where applicable; (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 or termsheet together with all of the closing transaction documents, excluding legal opinions; and (b) for traditional securitisation, the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust; [deleted] (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; [deleted] (d) the servicing, back-up servicing, administration and cash management agreements; [deleted] (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; [deleted] (f) any relevant inter-creditor agreements, derivatives documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements; and [deleted]

FCA 2026/XX
(g) a detailed description of the priority of payments of the securitisation; [deleted] (h) the disclosure in relation to risk retention requirements pursuant to SECN 5.19.1R. (3) where the rules in PRM 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; [deleted] (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 asset backed commercial paper a securitisation which is an ABCP programme or an ABCP transaction, monthly investor reports, containing providing periodic updates on at least the following:
(a) all materially relevant data on the credit quality and performance of underlying exposures in aggregated form; (b) any relevant financial or other triggers contained in the transaction documentation, including information on events which trigger changes in the priority of payments or the replacements a substitution of any counterparties, and, in the case of a securitisation which is not an ABCP transaction or an ABCP programme, data on the cash flows generated by the underlying exposures and by the liabilities of the securitisation counterparty to the transaction; and (c) information about the risk retained, including information on which of the modalities provided for in SECN 5.6.1R SECN 5.2.8R has been applied, in accordance with SECN 5, SECN 11 and SECN 12.;

FCA 2026/XX
(d) all materially relevant data on the risk characteristics of the underlying exposures in aggregated form; (e) information on the tranches in the securitisation or the ABCP programme, for each tranche or commercial paper issuance in the securitisation or ABCP programme or other instrument to which an ISIN has been assigned and for each subordinated loan in the securitisation or ABCP programme; (f) data on the cash flows of the liabilities of the securitisation and those generated by the underlying exposures; (g) where the securitisation is a synthetic non-ABCP securitisation, information on:
(i) synthetic coverage for as many protection arrangements as exist in the securitisation; and (ii) issuer collateral for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement (each asset for which an ISIN exists must be treated as an individual collateral asset, cash collateral of the same currency must be aggregated and treated as an individual collateral asset, and cash collateral of different currencies must be reported as separate collateral assets); (h) where the securitisation is a collateralised loan obligation (CLO), information on the CLO manager involved in the securitisation; (i) where the securitisation is an ABCP programme, information on:
(i) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cutoff date; and (ii) information on 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 (i) above; (j) information on accounts, for each account in the securitisation or, in the case of an ABCP programme, for each account in each ABCP transaction; and (k) information on counterparties, for each counterparty in the securitisation or in the case of an ABCP programme, for each counterparty in each ABCP transaction;

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(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; and (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 the FCA or PRA have taken remedial or administrative actions; and (e) any material amendment to transaction documents. 6.2.1A R Where an originator, sponsor and SSPE of a securitisation in respect of which there is no requirement to provide a prospectus under the rules in PRM is obliged to provide information referred to in SECN 6.2.1R(6) and (7) to holders of a securitisation position, they must also provide that information to the FCA in the relevant templates specified in SECN 6.4.2R and SECN 6 Annex 1R, SECN 6 Annex 2R, and SECN 6 Annex 3R, in an electronic and machine-readable format.
6.2.2 R (1) The information described in SECN 6.2.1R(1) and SECN 6.2.1R(5)
shall must be made available simultaneously as follows:
(a) in the case of non-ABCP securitisations, each quarter at the latest one month after the due date for the payment of interest, with the data cut-off date not later than 2 months before the submission date; or, (b) in the case of ABCP transactions and ABCP programmes, each month at the latest one month after the end of the period the report covers, with the data cut-off date not later than one month before the submission date. (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 or original commitment to invest in draft or initial form. Final versions of this information must be made available at the latest 15 30 days after closing of the transaction, or by the first scheduled interest payment date of the transaction if it falls within 30 days of closing of the transaction.

FCA 2026/XX
(3) Where a securitisation transaction has a first interest period that exceeds 3 months, the information must be made available at the latest 1 month after the due date for the first payment of interest.
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) shall be made a securitisation which is an ABCP programme or an ABCP transaction, the originator must make 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 information on the underlying receivables or credit claims at an individual exposure level to sponsors and, upon request, to the holders of a securitisation position, potential investors, and the FCA. The information must be provided in an electronic and machine-readable format.
6.2.4 R Without prejudice to Subject to the provisions of the Market Abuse
Regulation, the information described in SECN 6.2.1R(6) and SECN 6.2.1R(7) shall 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 may provide the information specified in anonymised or aggregated form or, in relation to SECN 6.2.1R(2), as a summary of the specified documentation, where and to the extent that anonymisation or aggregation is necessary in order to comply with the law applicable in the United Kingdom governing the protection of confidentiality of information and the processing of personal data and with any confidentiality obligation relating to customer, original lender original lender or debtor information. …
6.3 Designation of securitisation repository a reporting entity
6.3.1 R (1) The originator, sponsor and SSPE of a securitisation must designate
one of their number (the ‘reporting entity’) 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) and SECN 6.4. (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 The reporting entity shall make the information for a securitisation
transaction available by means of a securitisation repository registered by the FCA. [deleted]
6.3.3 R The obligations referred to in SECN 6.3.2R and SECN 6.3.4R shall not apply
to securitisations for which the rules in PRM do not require a prospectus to be drawn up. [deleted]
6.3.4 R Where no securitisation repository is registered in accordance with
regulation 14 of the Securitisation Regulations 2024, the The reporting entity

FCA 2026/XX must make the information referred to in SECN 6.3.1R(1) available by means of a website that:
(1) includes include a well-functioning data quality control system; (2) is are 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 those means; (3) is are subject to appropriate systems, controls and procedures that identify all relevant sources of operational risk; (4) includes include systems that ensure the protection and integrity of the information received and the prompt recording of the information; and (5) makes make it possible to keep records of the information for at least 5 years after the maturity date of the securitisation.
6.3.5 R In relation to SECN 6.3.2R SECN 6.3.1R and SECN 6.3.4R, the reporting
entity and the securitisation repository where the information is made available shall be indicated in originator, sponsor and SSPE of a securitisation must ensure that the documentation regarding the securitisation specifies the reporting entity and instructions on how to gain access to the means by which the information is to be made available. Insert the following new section, SECN 6.4, and Annexes, SECN 6 Annex 1R, 2R and 3R, after SECN 6.3 (Designation of a reporting entity). All the text is new and is not underlined.
6.4 Notification requirements
6.4.1 R SECN 6.4 applies to securitisations in respect of which there is no
requirement to provide a prospectus under the rules in PRM.
6.4.2 R (1) Where an originator, sponsor or SSPE of a non-ABCP securitisation is
established in the United Kingdom, such originator, sponsor and SSPE must send the information specified in the template in SECN 6 Annex 1R (either directly, or by designating one of their number to do so, without relieving the other parties of their obligations under this
section).
(2) Where a sponsor or an SSPE of an ABCP programme is established in the United Kingdom, the sponsor and the SSPE (and the originator, if also established in the United Kingdom) must send the information specified in the template in SECN 6 Annex 2R (either directly, or by designating one of their number to do so, without relieving the other parties of their obligations under this section). (3) Where neither the sponsor nor the SSPE of an ABCP programme is established in the United Kingdom, but an originator, sponsor or SSPE of an ABCP transaction within that ABCP programme is established in

FCA 2026/XX the United Kingdom, the originator, sponsor or SSPE established in the United Kingdom must send the information specified in the template in SECN 6 Annex 3R (either directly, or by designating one of their number to do so, without relieving the other parties of their obligations under this section). (4) The information required by this rule must be provided to the FCA in the template specified in the relevant SECN 6 Annex in an electronic and machine-readable format.
6.4.3 R The information required in SECN 6.4.2R must be sent to the FCA at
private.securitisation@fca.org.uk and in accordance with the following timeframes:
(1) the information provided in accordance with SECN 6 Annex 1R or SECN 6 Annex 3R must be sent within 1 week of each issuance of securities (or, in respect of non-ABCP securitisations and ABCP transactions which do not involve the issuance of securities, within 1 week of the creation of any new securitisation positions); and (2) the information provided in accordance with SECN 6 Annex 2R must be sent within 1 week of the first issuance of securities at the ABCP programme level (and must be filled in with respect to the ABCP programme including that issuance), and subsequently within 1 month of the first issuance of securities at the ABCP programme level following the inclusion of a new originator within the programme (and must be filled in with respect to the ABCP programme including that issuance). 6 Annex R Notification template for SECN 6.4.2R(1) [Editor’s note: insert link to ‘Notification template for SECN 6.4.2R(1)’.] Main notification form for private securitisations that are non-ABCP securitisations FIELD NUMBER COMPLETE FOR PRIVATE NON-ABCPSECURITISATION BACKGROUND INFORMATION: FIELD NAME BACKGROUND INFORMATION:
FIELD FORMAT
BACKGROUND INFORMATION: FIELD DESCRIPTION
SECPR1 Full legal name of originator
{ALPHANUM250}
Name of the originator of the private securitisation.
Where there is no originator, this field may be left blank.
In the case of securitisations with multiple originators the reporting entity shall provide the name of each originator involved in the transaction, separated with a semicolon (;). SECPR2 Legal Entity Identifier (LEI) of originator {LEI} The LEI of the originator. In the case of securitisations with multiple originators the reporting entity shall provide the LEI of each originator involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR3 Originator established in the United Kingdom? {Y/N} Fill in "Y" if any originator listed in SECPR1 is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024.

FCA 2026/XX
SECPR4 Full legal name of sponsor
{ALPHANUM250}
Name of the sponsor of the private securitisation.
Where there is no sponsor this field may be left blank.
In the case of securitisations with multiple sponsors the reporting entity shall provide the name of each sponsor involved in the transaction, separated with a semicolon (;). SECPR5 Legal Entity Identifier (LEI) of sponsor {LEI} The LEI of the sponsor. In the case of securitisations with multiple sponsors the reporting entity shall provide the LEI of each sponsor involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR6 Sponsor established in the United Kingdom? {Y/N} Fill in "Y" if any of the sponsors listed in SECPR4 is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR7 Full legal name of the SSPE {ALPHANUM250} Name of the SSPE in the private securitisation. Where there is no SSPE, this field may be left blank. In the case of securitisations with multiple SSPEs the reporting entity shall provide the name of each SSPE involved in the transaction, separated with a semicolon (;). SECPR8 Legal Entity Identifier (LEI) of the SSPE {LEI} The LEI of the SSPE. In the case of securitisations with multiple SSPEs the reporting entity shall provide the LEI of each SSPE involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR9 SSPE established in the United Kingdom? {Y/N} Fill in "Y" if the SSPE is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR10 STS (Simple Transparent Standardised) status {Y/N} The originator and sponsor to indicate if the securitisation is: Y = STS or N = not STS. SECPR11 Securitisation name {ALPHANUM100} Internal (alpha-numerical) code used by the reporting entity to identify the securitisation. The internal code shall be associated to the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR12 Non-ABCP securitisation Securitisation classification {LIST} The type of securitisation:
-non-ABCP securitisation;
-ABCP transaction;
-ABCP programme.
SECPR13 Underlying exposures classification {LIST} Enter in the type of underlying exposures of the securitisation. If multiple types from the list below are present, enter in 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to 'Consumer loans' must be entered): Automobile Loan or Lease (ALOL) Collateralised Loan Obligation of corporate underlying exposures (CLOS) Consumer Loan (CONL) Commercial Mortgage (CMRT) Credit-Card Receivable (CCRR) Lease (LEAS) Residential Mortgage (RMRT) Mixed (MIXD) Mortgage Guarantee Scheme or similar private schemes (MGSS)2 Small and Medium Enterprise (SMEL) Non Small and Medium Enterprise Corporate (NSML) Other (OTHR)

FCA 2026/XX
SECPR14 Total anticipated notional issuance {NUMBER} Sum (in reporting currency) of the anticipated notional amount of all securitisation positions created in the securitisation at origination. A single value in the reporting currency should be entered here. This should exclude swaps, liquidity facilities and similar types of positions which are supersenior and do not absorb credit risk in the securitisation. In the presence of any overlapping positions (as defined in Article 248(2) of the Securitisation (CRR)
Part of the PRA Rulebook), only one of the positions
should be included in the calculation of this field.
For partially overlapping positions, the reporting entity may split the position into two parts and recognise the overlap in relation to one part in accordance with the previous sentence. SECPR14A Reporting currency {ALPHANUM-3} ISO-4217 code for the reporting currency used in SECPR14. SECPR15 Currency of the notional amount {ALPHANUM-3} ISO-4217 code for the currency in which the issuance notional amount is issued, where different from SECPR14A. If multiple currencies, enter "MXD". SECPR16 Issue date {DATEFORMAT} The closing date of the most recent issuance, or the most recent date of creation of securitisation positions. SECPR17 Lead contact email address {ALPHANUM100} The company email address of lead contact for the securitisation. The email address does not have to be an account associated with a named individual. SECPR20 Expected weighted average life of assets in months {NUMBER} Enter the expected weighted average life of the underlying exposures of the securitisation at the origination of the securitisation transaction. The expected weighted average life should be stated in months. SECPR21 Is this a resecuritisation? {Y/N} Fill in "Y" if this notification refers to a resecuritisation. For the purposes of this field, "resecuritisation" means a securitisation whose underlying exposures include one or more securitisation positions. SECPR22 Is this a synthetic securitisation? {Y/N} Fill in "Y" if this notification refers to a synthetic securitisation. For the purposes of this field, "synthetic securitisation" means 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. 1 Article 6(2) of Chapter 5 of the Reporting (CRR) Part of the PRA Rulebook 2 MGSS notifications must be submitted on an aggregated annual basis, on or before February 11 of each year and must reflect the data of the securitisation position(s), as of December 31 of the previous year. Any securitisations that have been included in a resecuritisation can be excluded from the annual MGSS notification. Supplementary notification form for private securitisations that are non-ABCP securitisations (for information under SECN 6.2.1R (6) or (7)) FIELD NUMBER COMPLETE FOR PRIVATE NON-ABCPSECURITISATION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
FIELD FORMAT
BACKGROUND INFORMATION: FIELD
DESCRIPTION
SECPR11 Securitisation name {ALPHANUM-100} Internal (alpha-numerical) code used by the reporting entity to identify the securitisation. The internal code shall be associated to the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR18 Inside information {ALPHANUM-500} Enter in free text any inside information pursuant to SECN 6.2.1R(6).

FCA 2026/XX
SECPR19 Significant event {ALPHANUM-500} Enter in free text any significant event pursuant to SECN 6.2.1R(7). 6 Annex R Notification Template for SECN 6.4.2R(2) [Editor’s note: insert link to ‘Notification Template for SECN 6.4.2R(2)’.] Main notification form for private ABCP programme where the sponsor or SSPE of the ABCP programme is established in the United Kingdom FIELD NUMBER COMPLETE FOR PRIVATE ABCP PROGRAMME BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
FIELD FORMAT
BACKGROUND INFORMATION: FIELD
DESCRIPTION
SECPR1 Full legal names of originator(s) established in the United Kingdom {ALPHANUM} Name of each originator established in the United Kingdom for ABCP transactions financed by the ABCP programme, separated with a semicolon (;). For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR2 Legal Entity Identifier (LEI) of originator(s) established in the United Kingdom {LEI} The LEI of each originator established in the United Kingdom for ABCP transactions financed by the ABCP programme, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR3 Originator established in the United Kingdom? {Y/N} Fill in "Y" if any originator for an ABCP transaction financed by the ABCP programme is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR4 Full legal name of sponsor for the ABCP programme {ALPHANUM-250} Name of the sponsor of the ABCP Programme. Where there is no sponsor this field may be left blank. In the case of ABCP Programmes with multiple sponsors the reporting entity shall provide the name of each sponsor involved in the ABCP programme separated with a semicolon (;). SECPR5 Legal Entity Identifier (LEI) of sponsor {LEI} The LEI of the sponsor. In the case of ABCP Programmes with multiple sponsors the reporting entity shall provide the LEI of each sponsor involved in the programme, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR6 Sponsor established in the United Kingdom? {Y/N} Fill in "Y" if any of the sponsors listed in SECPR4 is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR6A Full legal name of sponsor established in the United Kingdom for ABCP transactions (if different) {ALPHANUM-250} Name of any sponsor established in the United Kingdom for any ABCP transactions within the ABCP programme, if different from the name reported in SECPR4. Where there is no sponsor this field may be left blank. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. In the case of ABCP transaction with multiple sponsors the reporting entity shall provide the name of each sponsor involved in the ABCP programme separated with a semicolon (;). SECPR6B Legal Entity Identifier (LEI) of sponsor for ABCP transactions {LEI} The LEI of the sponsor named in SECPR6A. In the case of ABCP transactions with multiple sponsors the reporting entity shall provide the LEI of each sponsor involved in the transaction, separated with a semicolon (;). If no LEI is available

FCA 2026/XX this field may be left blank.
SECPR7 Full legal name of the
SSPE
{ALPHANUM-250} Name of the SSPE for the ABCP Programme.
Where there is no SSPE, this field may be left blank.
In the case of ABCP programmes with multiple SSPEs, the reporting entity shall provide the name of each SSPE involved in the programme, separated with a semicolon (;). SECPR8 Legal Entity Identifier (LEI) of the SSPE {LEI} The LEI of the SSPE. In the case of programmes with multiple SSPEs the reporting entity shall provide the LEI of each SSPE involved in the programme, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR9 SSPE established in the United Kingdom? {Y/N} Fill in "Y" if the SSPE is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR10 STS (Simple Transparent Standardised) Status {Y/N} The sponsor to indicate if the ABCP programme is:
Y = STS or N = not STS.
SECPR11 Securitisation name {ALPHANUM-100} Internal (alpha-numerical) code used by the reporting entity to identify the ABCP programme. The internal code shall be associated to the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR12 ABCP programme Securitisation classification {LIST} The type of securitisation:
-non-ABCP securitisation;
-ABCP transaction;
-ABCP programme.
SECPR13 Underlying exposures classification {LIST} Enter in the type of underlying exposures of the securitisation. If multiple types from the list below are present, for example where an ABCP programme is backed by a number of ABCP transactions in different classes, enter in 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases-for these securitisations the value corresponding to 'Consumer loans' must be entered):
Automobile Loan or Lease
(ALOL) Consumer Loan
(CONL) Commercial
Mortgage (CMRT) CreditCard Receivable (CCRR) Lease (LEAS) Residential Mortgage (RMRT) Mixed (MIXD) Small and Medium Enterprise (SMEL) Non Small and Medium Enterprise Corporate (NSML) Other (OTHR) SECPR14 Total anticipated notional issuance {NUMBER} Sum (in reporting currency) of the anticipated total of programme CP outstanding. A single value in the reporting currency should be entered here. This should exclude swaps, liquidity facilities and similar types of positions which are super-senior and do not absorb credit risk in the securitisation. In the presence of any overlapping positions (as defined in Article 248(2) of the Securitisation (CRR) Part of the PRA Rulebook), only one of the positions should be included in the calculation of this field. For partially overlapping positions, the reporting entity may split the position into two

FCA 2026/XX parts and recognise the overlap in relation to one
part in accordance with the previous sentence.
SECPR14A Reporting currency {ALPHANUM-3} ISO-4217 code for the reporting currency used in SECPR14. SECPR15 Currency of the notional amount {ALPHANUM-3} ISO-4217 code for the currency in which the issuance notional amount is issued, where different from SECPR14A. If multiple currencies, enter "MXD". SECPR16 Issue date {DATEFORMAT} The most recent date on which CP was issued by the programme. SECPR17 Lead contact email address {ALPHANUM-100} The company email address of lead contact for the ABCP programme. The email address does not have to be an account associated with a named individual. SECPR20 Expected weighted average life of assets in months {NUMBER} Enter the expected weighted average life of the underlying exposures of the securitisation at the origination of the securitisation transaction. The expected weighted average life should be stated in months. SECPR21 Is this a resecuritisation? {Y/N} Fill in "Y" if this notification refers to a resecuritisation. For the purposes of this field, "resecuritisation" means a securitisation whose underlying exposures include one or more securitisation positions. 1 Article 6(2) of Chapter 5 of the Reporting (CRR) Part of the PRA Rulebook Supplementary notification form for private ABCP programme where the sponsor or SSPE of the ABCP programme is established in the United Kingdom (for information under SECN 6.2.1R (6) or (7)) FIELD NUMBER COMPLETE FOR PRIVATE ABCP PROGRAMME BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
BACKGROUND INFORMATION: FIELD
DESCRIPTION
SECPR11 Securitisation name {ALPHANUM-100} Internal (alpha-numerical) code used by the reporting entity to identify the ABCP programme. The internal code shall be associated to the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR18 Inside information {ALPHANUM-500} Enter in free text any inside information pursuant to SECN 6.2.1R(6). SECPR19 Significant event {ALPHANUM-500} Enter in free text any significant event pursuant to SECN 6.2.1R(7). 6 Annex R Notification Template for SECN 6.4.2R(3) [Editor’s note: insert link to ‘Notification Template for SECN 6.4.2R(3)’.] Main notification form for private ABCP transactions under an ABCP programme where neither the sponsor nor the SSPE of the ABCP programme is established in the United Kingdom FIELD NUMBER COMPLETE FOR PRIVATE ABCP TRANSACTION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
FIELD FORMAT
BACKGROUND INFORMATION: FIELD
DESCRIPTION

FCA 2026/XX
SECPR1 Full legal name of originator
{ALPHANUM-250} Name of the originator for the ABCP transaction. Where there is no originator, this field may be left blank. In the case of ABCP transactions with multiple originators the reporting entity shall provide the name of each originator involved in the transaction, separated with a semicolon (;). SECPR2 Legal Entity Identifier (LEI) of originator {LEI} The LEI of the originator. In the case of ABCP transactions with multiple originators, the reporting entity shall provide the LEI of each originator involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR3 Originator established in the United Kingdom? {Y/N} Fill in "Y" if any originator listed in SECPR1 is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR4 Full legal name of sponsor {ALPHANUM-250} Name of the sponsor of the ABCP transaction. Where there is no sponsor this field may be left blank. In the case of ABCP transactions with multiple sponsors the reporting entity shall provide the name of each sponsor involved in the transaction, separated with a semicolon (;). SECPR5 Legal Entity Identifier (LEI) of sponsor {LEI} The LEI of the sponsor. In the case of ABCP transactions with multiple sponsors the reporting entity shall provide the LEI of each sponsor involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR6 Sponsor established in the United Kingdom? {Y/N} Fill in "Y" if any of the sponsors listed in SECPR4 is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR7 Full legal name of SSPE {ALPHANUM-250} Name of the SSPE in the ABCP transaction. Where there is no SSPE, this field may be left blank. In the case of ABCP transactions with multiple SSPEs the reporting entity shall provide the name of each SSPE involved in the transaction, separated with a semicolon (;). SECPR8 Legal Entity Identifier (LEI) of the SSPE {LEI} The LEI of the SSPE. In the case of ABCP transactions with multiple SSPEs the reporting entity shall provide the LEI of each SSPE involved in the transaction, separated with a semicolon (;). If no LEI is available this field may be left blank. SECPR9 SSPE established in the United Kingdom? {Y/N} Fill in "Y" if the SSPE is established in the United Kingdom. For the purposes of this field, "established in the United Kingdom" has the same meaning as in The Securitisation Regulations 2024. SECPR10 STS (Simple Transparent Standardised) Status {Y/N} The originator and sponsor to indicate if the securitisation is: Y = STS or N = not STS. SECPR11 Securitisation name {ALPHANUM-100} Internal (alpha-numerical) code used by the reporting entity to identify the ABCP transaction. The internal code shall be associated to
the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR12 ABCP transaction Securitisation classification {LIST} The type of securitisation:
-non-ABCP securitisation;

FCA 2026/XX
-ABCP transaction;
-ABCP programme.
SECPR13 Underlying exposures classification {LIST} Enter in the type of underlying exposures of the securitisation. If multiple types from the list below are present, enter in 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to 'Consumer loans' must be entered):
Automobile Loan or
Lease (ALOL) Consumer
Loan (CONL) Commercial
Mortgage (CMRT) CreditCard Receivable (CCRR) Lease (LEAS) Residential Mortgage (RMRT) Mixed (MIXD) Small and Medium Enterprise (SMEL) Non Small and Medium Enterprise Corporate (NSML) Other (OTHR) SECPR14 Total anticipated notional issuance {NUMBER} Sum (in reporting currency) of the anticipated notional amount of all securitisation positions created in the ABCP transaction at origination. A single value in the reporting currency should be entered here. This should exclude swaps, liquidity facilities and similar types of positions which are super-senior and do not absorb credit risk in the securitisation. In the presence of any overlapping positions (as defined in Article 248(2) of the Securitisation (CRR) Part of the PRA Rulebook), only one of the positions should be included in the calculation of this field. For partially overlapping positions, the reporting entity may split the position into two parts and recognise the overlap in relation to one
part in accordance with the previous sentence.
SECPR14A Reporting currency {ALPHANUM-3} ISO-4217 code for the reporting currency used in SECPR14. SECPR15 Currency of the notional amount {ALPHANUM-3} ISO-4217 code for the currency in which the issuance notional amount is issued, where different from SECPR14A. If multiple currencies, enter "MXD". SECPR16 Issue date {DATEFORMAT} The reporting entity shall provide the closing date of the most recent issuance, or the most recent date of creation of securitisation positions. SECPR17 Lead contact email address {ALPHANUM-100} The company email address of lead contact for the securitisation. The email address does not have to be an account associated with a named individual. SECPR20 Expected weighted average life of assets in months {NUMBER} Enter the expected weighted average life of the underlying exposures of the securitisation at the origination of the securitisation transaction. The expected weighted average life should be stated in months. SECPR21 Is this a resecuritisation? {Y/N} Fill in "Y" if this notification refers to a resecuritisation. For the purposes of this field, "resecuritisation" means a securitisation whose underlying exposures include one or more securitisation positions. 1 Article 6(2) of Chapter 5 of the Reporting (CRR) Part of the PRA Rulebook

FCA 2026/XX
Supplementary notification form for private ABCP transactions under an ABCP programme where neither the sponsor nor the SSPE of the ABCP programme is established in the United Kingdom (for information under SECN 6.2.1R (6) or (7)) FIELD NUMBER COMPLETE FOR PRIVATE ABCP TRANSACTION BACKGROUND INFORMATION:
FIELD NAME
BACKGROUND
INFORMATION:
FIELD FORMAT
BACKGROUND INFORMATION: FIELD
DESCRIPTION
SECPR11 Securitisation name {ALPHANUM-100} Internal (alpha-numerical) code used by the reporting entity to identify the ABCP transaction. The internal code shall be associated to the identifier of the securitisation. For firms which submit reporting to the FCA or PRA under COREP, the name shall be the same as the entry in Column [020] IDENTIFIER OF THE SECURITISATION in C14.00. 1 SECPR18 Inside information {ALPHANUM-500} Enter in free text any inside information pursuant to SECN 6.2.1R(6). SECPR19 Significant event {ALPHANUM-500} Enter in free text any significant event pursuant to SECN 6.2.1R(7). Amend the following as shown. 7 Ban on resecuritisation …
7.2 Securitisation positions as underlying exposures
7.2.1 R (1) The underlying exposures used in a securitisation shall must not include
securitisation positions.
(2) Paragraph (1) does not apply to:
(a) any securitisation the securities of which were issued before 1 January 2019; or (b) any securitisation in respect of which the FCA has disapplied, modified or dispensed with (1) such that the underlying exposures may include securitisation positions.; (c) subject to (3), a securitisation that solely comprises senior securitisation positions; or (d) subject to (3), securitisation positions that comprise both a single exposure and directly related credit protection that causes the credit risk of the exposure to be tranched. (3) The derogations in (2)(c) and (d) may only be applied once and not in combination with each other and not to any further resecuritisation that involves the same underlying securitisation positions. (4) The derogations in (2)(c) and (d) do not apply unless the originator of a resecuritisation is:

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(a) a PRA-authorised person; and
(b) the originator and, for the purposes of Chapter 2, Article 6 of the Securitisation Part of the PRA rules, risk retainer of the underlying securitisation.
7.2.2 R …
7.2.3 R The retranching by the securitisation’s originator of an issued tranche
into contiguous tranches (or of contiguous issued tranches into one or a fewer number of tranches) does not constitute a resecuritisation. … 8 Criteria for credit granting …
8.2 Granting of credit
8.2.1 R Originators, sponsors and original lenders shall must apply to exposures to be
securitised (unless they are trade receivables not originated in the form of a loan) the same sound and well-defined criteria for credit-granting which they apply to non-securitised exposures. To that end, originators, sponsors and original lenders must apply the same clearly established processes for approving and (where relevant) amending, renewing and refinancing credits shall be applied. 8.2.1A R Originators, sponsors and original lenders must ensure the criteria and processes that are applicable to securitised exposures are not less stringent than those applicable to comparable assets, if any, remaining on the balance sheet of the originator, sponsor or original lender or that would have applied were the assets to be held on the firm’s balance sheet.
8.2.2 R Originators, sponsors and original lenders shall must have effective systems in
place to apply those the criteria and processes they maintain in compliance with SECN 8.2.1R and SECN 8.2.1AR in order 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 the obligor’s obligations under the credit agreement.
8.3 Verification arrangements
…
8.3.2 R Where an originator purchases a third party’s exposures for its own account
and then securitises them, that originator shall 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 SECN 8.3.1R SECN 8.2 (or equivalent PRA rules). …

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SECN 9 is deleted in its entirety. The deleted text is not shown but the chapter is marked [deleted] as shown below. 9 Requirements on securitisation repositories [deleted] Amend the following as shown. 11 Information and the details of a securitisation, which the originator, sponsor and SSPE must make available
11.1 Application
11.1.1 GR This chapter applies to originators, sponsors and SSPEs which are not PRAauthorised persons and are established in the United Kingdom.
11.1.2 R The requirements specified in SECN 11.3 to SECN 11.5 and SECN 11.10 to
SECN 11.13 apply to all securitisations. [deleted]
11.1.3 R The requirements specified in SECN 11.6 to SECN 11.9 apply to
securitisations for which the rules in PRM require a prospectus to be drawn up. [deleted]
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 cash inflows or outflows in the future; and (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; [deleted] (e) ‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buy-tolet property or the net annual rental income accruing from a commercial real estate property or set of properties relative to

FCA 2026/XX the annual interest cost of the loan secured by the property or set of properties; [deleted] (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; [deleted] (g) ‘micro enterprise’ means an enterprise which employs fewer than 10 people and has a turnover or annual balance sheet that does not exceed £2 million; and [deleted] (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. [deleted]
11.2.2 G In the SECN 11 Annexes, any references to Regulation (EU) 2017/2402 and
related technical standards and to specific Articles therein shall be read as referencing the PRA rules or SECN replacing the relevant provision. [deleted]
11.3 Information on underlying exposures
11.3.1 R This rule sets out the information required under SECN 6.2.1R(1) to be made
available for a securitisation:
(1) The If a non-ABCP securitisation falls within one of the categories set out below, except where it comprises a single underlying exposure, the information to be made available for a non-ABCP securitisation pursuant to SECN 6.2.1R(1) SECN 6.2.1R(1)(a) is specified in the following annexes:
(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; [deleted] (c) SECN 11 Annex 4R SECN 11 Annex 4AR for corporate underlying exposures, including underlying exposures to micro, small and medium-sized enterprises of collateralised loan obligations; (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; and (f) SECN 11 Annex 7R for credit card underlying exposures; [deleted] (g) SECN 11 Annex 8R for leasing underlying exposures; and.

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(h) SECN 11 Annex 9R for underlying exposures that do not fall within any of the categories set out in (a) to (g). [deleted] (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. [deleted] (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. [deleted] (4) A property that has mixed commercial and residential use must, where possible, be treated as 2 separate properties: 1 commercial and 1 residential. Where it is not possible to separate the uses in this manner, the property must be treated as being entirely residential or entirely commercial, whichever is the dominant use of the property. [deleted] (5) The information to be made available for a non-ABCP securitisation of loans for the purposes of acquiring commercial real estate or secured by commercial real estate pursuant to SECN 6.2.1R(1)(a) must include at least:
(a) the securitisation unique identifier assigned in accordance with SECN 11.12.1R; (b) information on the underlying loans including contractual loan terms, swap information if applicable, loan performance information, metrics indicating loan repayment capacity and any applicable covenants which apply at loan level as well as the status of those covenants; (c) information on tenants including occupancy information, number of tenants and weighted average lease terms, as well as information on each of the 3 largest tenants, measured as the total annual rent payable by each tenant, per property, including descriptive tenant information, rent payable and lease expiry dates; and (d) information on loan security including descriptive property information, property valuation information, property income information, property expenses information and lien position held by originator on the property. (6) The information to be made available for a securitisation of credit card or other short-term highly granular underlying exposures pursuant to SECN 6.2.1R(1) must include at least:
(a) the securitisation unique identifier assigned in accordance with SECN 11.12.1R;

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(b) tables presenting stratification data in aggregated form including all materially relevant data on the credit quality and performance of the underlying exposures including delinquencies and delinquency roll rates; and (c) tables presenting stratification data in aggregated form including all materially relevant data on the risk characteristics of the underlying exposures. (7) The information to be made available for a securitisation of corporate underlying exposures which is not a collateralised loan obligation and whose underlying exposures are not short-term highly granular exposures pursuant to SECN 6.2.1R(1) must include at least:
(a) the securitisation unique identifier assigned in accordance with SECN 11.12.1R; (b) information on the underlying loans including contractual loan terms, debt type and seniority, loan or bond identifiers if applicable, swap information if applicable, loan performance information, and any applicable covenants which apply at loan level as well as the status of those covenants; (c) information on each borrower including industry, geographic region, and essential information from the borrower’s financial statements to enable an assessment of the borrower’s loan repayment capacity; and (d) information on loan security including descriptions of collateral and guarantees, collateral valuation information, information on the type of charge which exists over the collateral and the lien position held by the originator in relation to the collateral. (8) For underlying exposures of non-ABCP securitisations that do not fall within any of the categories set out in (1) to (7), the information to be made available pursuant to SECN 6.2.1R(1)(a) for a securitisation must include at least:
(a) the securitisation unique identifier assigned in accordance with SECN 11.12.1R; (b) information on contractual terms of the underlying exposures, swap information if applicable, obligor information, performance information, metrics indicating repayment capacity and any applicable triggers or tests which apply at underlying exposure level as well as the status of those triggers or tests; and (c) information on loan security, if applicable, including descriptions of collateral and guarantees, collateral valuation information and lien position held by originator on the collateral.

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11.3.1A R For the purposes of SECN 11.3.1R:
(1) In SECN 11.3.1R(1)(a), ‘residential real estate’ means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate. (2) In SECN 11.3.1R(5), ‘commercial real estate’ means any incomeproducing real estate, either existing or under development, and excludes social housing and property owned by end-users. (3) A property that has mixed commercial and residential use must, where possible, be treated as 2 separate properties: 1 commercial and 1 residential. Where it is not possible to separate the uses in this manner, the property must be treated as being entirely residential or entirely commercial, whichever is the dominant use of the property. 11.3.1B G Tables presenting stratification data described in SECN 11.3.1R(6)(b) may include categories of data such as the number of accounts and total receivables grouped appropriately, for example by delinquency age or by payment behaviour. Delinquency roll rates showing progression of delinquencies through time may also be included. Tables presenting stratification data described in SECN 11.3.1R(6)(c) may include categories of data such as number of accounts and total receivables grouped appropriately, for example by account balance size, credit limit, interest rate, account age, geographic region, market segment, credit score groupings or employment status.
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 required by that provision for each underlying exposure type. (2) Where the pool of underlying exposures for a non-ABCP securitisation entirely comprises automobile underlying exposures, the information specified in SECN 11 Annex 5R must be provided in respect of the entire pool, regardless of whether the automobile underlying exposures are loans or leases. (3) Except in the circumstances contemplated in (2), where the pool of underlying exposures for a non-ABCP securitisation entirely comprises leasing underlying exposures, the information specified in SECN 11 Annex 8R must be provided in respect of the entire pool.
11.3.3 R The reporting entity for a non-performing exposure an NPE securitisation,
except where it comprises a single underlying exposure, must make available the information specified in:
(1) the annexes referred to in SECN 11.3.1R(1)(a) to (h) SECN 11.3.1R, as relevant to the underlying exposure type; and

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(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. [deleted]
11.3.5 R The reporting entity for an ABCP transaction must make available the
information specified in SECN 11 Annex 11R. [deleted]
11.3.6 G R 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 11.3.1R to SECN
11.3.4 SECN 11.3.3R and the required information under SECN 11.3.5 SECN
6.2.1R, on a monthly basis at the latest 1 month after the end of the period the information covers, with the data cut-off date not later than 1 month before the submission date.
11.3.7 R The information to be made available pursuant to SECN 11.3 must 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.
11.3.8 G (1) A reporting entity intending to make information available in
accordance with SECN 11.3 and SECN 11 Annex 2R may be aware that the Bank of England has a loan level data template for residential mortgages for the purposes of assessing eligible collateral for Sterling Monetary Framework market operations (‘Residential

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Mortgages/Residential Mortgage Backed Securities (RMBS) data template’). (2) If a reporting entity chooses to use that template as a format for making available the information required by SECN 11 Annex 2R, it should ensure that it provides, alongside that template (within the same file, on an additional tab), any information required by SECN 11
Annex 2R which is not included in that template. This could include,
for example, the information specified in fields AR237SECN to AR246SECN of SECN 11 Annex 2R, to be shown alongside fields AR1 (Pool Cut-off Date) and AR3 (Loan Identifier) of SECN 11
Annex 2R.
(3) The Bank of England may change the template without notice. The reporting entity is responsible for ensuring it makes the required information available.
11.3.9 R For the purposes of SECN 11.3 and SECN 11 Annexes 2R, 5R, 6R, 8R and
10R, the reporting entity will be treated as having complied with those provisions if instead it makes information available via templates which are duly completed and compliant with the requirements in Commission Delegated Regulation (EU) 2020/1224 and Commission Implementing Regulation (EU) 2020/1225 as in force on 16 February 2026, which provide for disclosure of underlying exposure templates applicable to the corresponding asset class. SECN 11.4 is deleted in its entirety. The deleted text is not shown but the section is marked [deleted] as shown below. SECN 11.4 Information on investor reports [deleted] Amend the following as shown.
11.5 Information granularity
11.5.1 R (1) The reporting entity must make available the information specified in SECN 11
Annexes 2R, 4AR, 5R, 6R, 8R and to 10R and 12R on the following:
…
(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; [deleted] … (f) tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties which are applicable to individual underlying exposures and their status.

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…
(3) For the purposes of (1)(b), each property acting as security for loans referred to in SECN 11.3.1R(1)(a) and (b) (5) must be treated as a single item of collateral.
11.5.2 R The reporting entity must make available the information specified in SECN 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; and (4) underlying exposures, for each ABCP transaction on which information is made available pursuant to (1) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in SECN 11 Annex 11R. [deleted] SECN 11.6 to SECN 11.9 are deleted in their entirety. The deleted text is not shown but the sections are marked [deleted] as shown below.
11.6 Item codes [deleted]
11.7 Inside information [deleted]
11.8 Information on significant events [deleted]
11.9 Information granularity [deleted]
Amend the following as shown.
11.10 Information completeness and consistency
11.10.1 R The information made available pursuant to SECN 6 and this chapter SECN
11 must be complete and consistent.
11.10.2 R Where the reporting entity identifies factual errors in any information that it
has made available pursuant to SECN 6 and this chapter SECN 11, it must make available, without undue delay, a corrected report of all information about the securitisation required under SECN 6 and this chapter SECN 11.
11.10.3 R Where permitted in the corresponding annex, the reporting entity may must
report one of the following ‘No Data Option’ (‘ND’) as the values corresponding to the reason justifying the unavailability of value where the information to be made is not available:

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(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 on which the required information will be made available; and (5) value ‘ND5’, where the required information is not applicable to the item being reported.
11.10.4 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 SECN 11. (2) On request by the FCA, or the PRA or the Pensions Regulator, the reporting entity must provide details of the circumstances that justify the use of those ND values. SECN 11.11 is deleted in its entirety. The deleted text is not shown but the section is marked [deleted] as shown below.
11.11 Information timeliness [deleted]
SECN 11.13 is deleted in its entirety. The deleted text is not shown but the section is marked [deleted] as shown below.
11.13 Classifications reporting [deleted]
Insert the following new section, SECN 11.14, after SECN 11.3. All the text is new and is not underlined.
11.14 Format of information
11.14.1 R The information provided under SECN 11 must be made available in an
electronic and machine-readable format.

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SECN 11 Annex 1 is deleted in its entirety. The deleted text is not shown but the annex is marked [deleted] as shown below. 11 Classifications reporting and item codes [deleted]
Annex 1
SECN 11 Annex 2 is deleted in its entirety and replaced with the following. The text is not underlined. [Editor’s note: the form that currently forms part of SECN 11 Annex 2 is to be marked as ‘superseded’.] 11 Underlying exposures information – Residential real estate (RRE)
Annex 2
11 Annex R [Editor’s note: insert link to document containing ‘Underlying exposures 1 information - Residential real estate (RRE)’.]

SECN 11 Annex 2: Underlying exposures - residential real estate Field Number Priority TAG Field Name Category Data Type Field Definition & Criteria Data Type / Format Maximum Length Jurisdictions AR1 Mandatory dynamic Pool Cut-off Date Core Date Pool or Portfolio cut-off date. All dates take DD-MM-YYYY format. DD-MM-YYYY 10 All AR3 Mandatory static Loan Identifier Core Text/Numeric Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction. If the original loan ID cannot be maintained in this field enter the original ID followed by the new ID, comma delimited. Text/Numeric 50/15 All AR7 Mandatory static Borrower Identifier Core Text/Numeric Unique identifier (ID) per borrower (not showing the real name) - to enable borrowers with multiple loans in the pool to be identified (e.g. further advances / second liens are shown as separate entries). Should not change over the life of the transaction. If more than one borrower list the Borrower ID's comma delimited with primary borrower first. Text/Numeric 50/15 All AR8 Mandatory static Property Identifier Core Text/Numeric Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances / second liens are shown as separate entries). Text/Numeric 50/15 All AR15 Optional static Borrower Type Borrower Information List The type of borrower IND - individual COM - commercial SCI - Société Civile Immobilière ND - No Data List 3 All AR21 Mandatory static Borrower's Employment Status Borrower Information List Employment status of the primary applicant: Employed or full loan is guaranteed (1) Employed with partial support (company subsidy) (2) Protected life-time employment (Civil/government servant) (3) Unemployed (4) Self-employed (5) No employment, borrower is legal entity (6) Student (7) Pensioner (8) Other (9) No Data (ND) List 2 All AR23 Optional static Right to Buy Borrower Information Y / N / ND Right to Buy (RTB) flag Y / N / ND 2 UK Only

AR24 Optional static Right to Buy Price Borrower Information Numeric Purchase price of RTB property 9(11).99 14 UK Only AR26 Mandatory static Primary Income Borrower Information Numeric Primary borrower underwritten gross annual income (not rent) 9(11).99 14 All AR27 Mandatory static Income Verification for Primary Income Borrower Information List Income verification for primary income: Selfcertified no checks (1) Self-certified with affordability confirmation (2) Verified (3) Non-Verified Income (4) Other (5) No Data (ND) List 2 All AR28 Mandatory static Secondary Income Borrower Information Numeric Secondary borrower underwritten gross annual income (not rent – if single borrower then 0). When there are more than two borrowers indicate total annual combined income 9(11).99 14 All AR29 Mandatory static Income Verification for Secondary Income Borrower Information List Income verification for secondary income: Selfcertified no checks (1) Self-certified with affordability confirmation (2) Verified (3) Non-Verified Income (4) Other (5) No Data (ND) List 2 All AR30 Optional static Resident Borrower Information List Whether borrower is resident of the country: Resident less than 3 years (1) Resident >= 3 years (2) Not Resident (3) No Data (ND) List 2 All AR55 Mandatory static Loan Origination Date Loan Characteristics Date Date of original loan advance QQ-YYYY 7 All AR56 Mandatory dynamic Date of Loan Maturity Loan Characteristics Date The date of loan maturity QQ-YYYY 10 All AR57 Mandatory static Account Status Date Loan Characteristics Date Date which account came into securitised portfolio (important for replenishable pools) DD-MM-YYYY 10 All AR58 Mandatory static Origination Channel / Arranging Bank or Division Loan Characteristics Text Origination channel, arranging bank or division for the loan: Office / branch network (1) Central / Direct (2) Broker (3) Internet (4) Packager (5) No Data (ND) Text 2 All

AR59 Mandatory static Purpose Loan
Characteristics
List
Loan purpose. Permissible answers: Purchase (1) Re-mortgage (2) Renovation (3) Equity release (4) Construction (5) Debt consolidation (6) Other (7) Re-mortgage with Equity Release (8) Re-mortgage on Different Terms (9) Combination Mortgage (10) Investment Mortgage (11) Right to Buy (12) Government Sponsored Loan (13) SCPI (14) Besson (15) Perissol (16) DOM (Défiscalisation Métrople) (17) Other (18) No Data (ND) List 2 All AR60 Optional static Shared Ownership Loan Characteristics List Shared Ownership flag: Not Shared Ownership (1) Central Government Scheme (2) Local Government Scheme (3) Housing Associations (4) Building Developers (5) Other (6) No Data (ND) List 2 All except Spain AR61 Mandatory static Loan Term Loan Characteristics Numeric Original contractual term (number of months) Numeric 2 All AR62 Optional static Principal Grace Period Loan Characteristics Numeric Period, in months, from the origination date of the loan during which only interest and no principal is payable. After this period the loan switches to both interest and principal payments. If no data available specify No Data (ND) 2 12 All AR64 Optional static Subsidy Loan Characteristics Y/N Is the loan repayment subsidised by an external party? If no data available specify No Data (ND) Y/N 1 All

AR65 Mandatory static
Loan Currency
Denomination Loan
Characteristics
Text/Numeric
Loan currency denomination:
EUR (1)
GBP (2)
USD (3)
ANG (4)
BGN (5)
CYP (6)
CZK (7)
DKK (8)
EEK (9)
HUF (10)
LTL (11)
LVL (12)
MTL (13)
PLN (14)
RON (15)
SEK (16)
No Data (ND)
List 2 All
AR66 Mandatory static Original Balance Loan Characteristics Numeric Original loan balance (inclusive of fees) 9(11).99 14 All Amount of loan outstanding as of pool cut off date, This should AR67 Mandatory dynamic Current Balance Loan Characteristics Numeric include any amounts that are secured by the mortgage and will be classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the 9(11).99 14 All transaction these should be added. Excluding any interest arrears or penalty amounts. AR70 Mandatory static Payment Frequency Loan Characteristics List Frequency of payments due, i.e. number of months between payments: Monthly (1) Quarterly (2) Semi annually (3) Annual (4) List 2 All Bullet (5) Other (6) No Data (ND) AR71 Mandatory dynamic Payment Due Loan Characteristics Numeric Periodic contractual payment due (the payment due if there are no other payment arrangements in force) 9(8).99 11 All

Principal payment type:
Annuity (1)
Linear (2)
Increasing instalments (3)
AR72 Mandatory static Payment Type Loan
Characteristics
List
Fixed instalments (changing maturity) with structural protection (4) Fixed instalments (changing maturity) without structural protection (5) Bullet (6) Bullet + Savings deposit (7) Bullet + Life insurance (8) Bullet + Investment portfolio (9) Bi-annual (10) Tri-annual (11) List 2 All Offset mortgage (12) Other (13) No Data (ND) AR73 Optional static Debt to Income Loan Characteristics Numeric Debt to Income (DTI) ratio with definition and calculation. For combined income. Debt defined as the Amount of loan outstanding as of pool cut off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts. Income defined as combined income, sum of primary and secondary income fields (field numbers 34 and 35) 9(4).9(8) 13 All Indicate guarantee provider, if applicable:
No Guarantor (1)
AR74 Optional static Type of Guarantee
Provider Loan
Characteristics
List
Individual - Family
Relation (2) Individual -
Other (3) Government
(4)
Bank (5)
List 2 All
Insurance Product (6)
Nationale Hypotheek Garantie (NHG) Guarantee Scheme (Netherlands) (7) Fonds de Garantie de l'Accession Sociale (FGAS) (8) Caution (France) (9) Other (10) No Data (ND) AR80 Optional dynamic Prior Balances Loan Characteristics Numeric Total balances ranking prior to this loan (including those held with other lenders) 9(11).99 14 All

AR82 Optional dynamic
Pari Passu Loans Loan
Characteristics
Numeric Total value of loans ranking pari passu with loan (not included in this pool) 9(11).99 14 All AR84 Mandatory static Lien Loan Characteristics List Seniority on liquidation of property: 1st Lien (1) 2nd Lien (2) 3rd Lien (3) Other (4) No Data (ND) List 2 All AR87 Mandatory dynamic Maximum Balance Loan Characteristics Numeric For loans with flexible re-draw facilities – the maximum loan amount that could potentially be outstanding i.e. Current Balance adjusted for flexible features or committed further lending (reunderwritten further advances are not within scope). 9(11).99 14 All except Italy AR98 Optional dynamic Pre-payment Date Loan Characteristics Date Last pre-payment date DD-MM-YYYY / ND 10 All AR99 Optional dynamic Pre-payment Penalties Loan Characteristics Numeric Cumulative amount of pre-payment penalties paid to date 9(11).99 14 All except Italy AR100 Mandatory dynamic Cumulative Prepayments Loan Characteristics Numeric Cumulative amount of pre-payments to date 9(11).99 14 All AR101 Optional dynamic Amount of prepayments allowed per year Loan Characteristics Numeric Percentage amount of pre-payments allowed under the product per year. This is for mortgages that allow a certain threshold of prepayments (i.e. 10%) before charges are incurred 9(4).9(8) 13 All except France and Italy AR102 Mandatory dynamic Offset Savings Balance Loan Characteristics Numeric For offset mortgage products, this field must be completed with the offset savings balance for the linked account. 9(11).99 14 All AR103 Optional static Original Percentage Owned Loan Characteristics Numeric For shared ownership or shared equity products, the original percentage owned by the borrower must be populated in this field as a decimal (e.g. 50% should be shown as 0.50). 9(4).9(8) 13 All except Spain AR104 Optional dynamic Current Percentage Owned Loan Characteristics Numeric For shared ownership or shared equity products, the current percentage owned by the borrower must be populated in this field as a decimal (e.g. 50% should be shown as 0.50). 9(4).9(8) 13 All except Spain AR105 Optional static Help to Buy Scheme Type Loan Characteristics List For Help to Buy loans, the complete the field by selecting from the following list: Help to Buy 1 (Equity) (1) Help to Buy 2 (MIG) (2) Other (3) No or not applicable (4) List 2 UK only AR107 Mandatory static Interest Rate Type Interest Rate List Interest rate type:
Floating rate loan (for life) (1)
Floating rate loan linked to SONIA, Euribor, BoE reverting to the Bank's standard variable rate (SVR), ECB reverting to Bank’s SVR (2) Fixed rate loan (for life) (3) Fixed with future periodic resets (4) Fixed rate loan with compulsory future switch to floating (5) Capped (6) List 2 All

Discount (7)
Other (8)
No Data (ND)
AR108 Mandatory dynamic
Current Interest
Rate Index Interest Rate List
Current interest rate index (the reference rate off which the mortgage interest rate is set): 1 month EURIBOR (2) 3 month EURIBOR (4) 6 month EURIBOR (6) 12 month EURIBOR (8) BoE Base Rate (9) SONIA (9A) ECB Base Rate (10) Standard Variable Rate (11) Other (12) No Data (ND) List 2 All AR109 Mandatory dynamic Current Interest Rate Interest Rate Numeric Current interest rate (%). 9(4).9(8) 13 All AR110 Mandatory dynamic Current Interest Rate Margin Interest Rate Numeric Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate 9(4).9(8) 13 All AR111 Mandatory dynamic Interest Rate Reset Interval Interest Rate Numeric The interval in months at which the interest rate is adjusted (for floating loans) Numeric 2 All AR112 Mandatory static Interest Cap Rate Interest Rate Numeric Interest rate cap (%). 9(4).9(8) 13 All AR113 Mandatory dynamic Interest Revision Date 1 Interest Rate Date / ND Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan refixed etc. this is not the next floating rate index reset date) DD-MM-YYYY / ND 10 All AR114 Mandatory dynamic Revision Margin 2 Interest Rate Numeric The margin for the loan at the 2nd revision date 9(4).9(8) 13 All AR115 Mandatory dynamic Interest Revision Date 2 Interest Rate Date / ND Date of 2nd interest rate change DD-MM-YYYY / ND 10 All AR116 Mandatory dynamic Revision Margin 3 Interest Rate Numeric The margin for the loan at the 3rd revision date 9(4).9(8) 13 All AR117 Mandatory dynamic Interest Revision Date 3 Interest Rate Date / ND Date of 3rd interest rate change DD-MM-YYYY / ND 10 All AR118 Mandatory dynamic Revised Interest Rate Index Interest Rate List Next interest rate index. Using codes as per field AR108 List 2 All AR119 Mandatory dynamic Revised Interest Rate Margin Interest Rate Numeric Next interest rate margin 9(4).9(8) 13 All

AR122 Optional static Restructuring
Arrangement
Performance Y / N / ND Has the loan been restructured? Y / N / ND 2 All AR123 Optional dynamic Forbearance Type Performance List This field should be populated with Forbearance Type for loans currently subject to a forbearance arrangement. This field should be populated in conjunction with Restructuring Arrangement (AR122) and Performance Arrangement Date (AR173). With the following list type:
Term extension (including maturity roll over for interest only loans) (1) Temporary transfer to IO (2) Permanent transfer to IO (3) Arrears capitalisation (4) Payment arrangement (5) Non contractual payment holiday (6) Other (7) Multiple forbearance options exercised (8) Not in forbearance (9) List 2 All AR128 Mandatory static Geographic Region Property & Collateral List The region description of where the property is located. List 3 All AR129 Optional static Property Postcode Property & Collateral Text The first 1 or 2 characters representing the postcode area is acceptable. Do not supply the full postcode. Text 3 (4) All Type of property occupancy:
AR130 Mandatory static Occupancy Type Property & Collateral List Owner-occupied (1) Partially owner-occupied (A property which is partly rented) (2) List 2 All Non-owner-occupied/buy-to-let (3) Holiday/second home (4) No Data (ND) Property type:
Residential (House, detached or semidetached) (1) AR131 Mandatory static Property Type Property & Collateral List Residential (Flat/Apartment) (2) Residential (Bungalow) (3) Residential (Terraced House) (4) Multifamily house (properties with more than four units securing one loan) with recourse to the borrower (5) Multifamily house without recourse to the borrower (6) List 2 All Partially 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) (7) Commercial/business use with recourse to the borrower (8)

Commercial/business use without recourse to the borrower (9) Land Only (10) Other (11) No Data (ND) AR135 Mandatory static Original Loan to Value Property & Collateral Numeric Originator’s original underwritten Loan To Value ratio (LTV). For 2nd lien loans this should be the combined or total LTV. 9(4).9(8) 13 All AR136 Mandatory static Valuation Amount Property & Collateral Numeric Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan (field AR65). 9(11).99 14 All Valuation type at origination:
Full, internal and external
AR137 Mandatory static Original Valuation
Type Property &
Collateral
List inspection (1) Full, only external inspection (2) Drive-by (3) AVM (flag as AVM only if this type of valuation has been used for origination purposes) (4) Indexed (5) Desktop (6) List 2 All Managing Agent / Estate Agent (7) Tax Authority (8) Other (9) No Data (ND) AR138 Mandatory static Valuation Date Property & Collateral Date Date of latest property valuation at time of latest loan advance prior to a securitisation. DD-MM-YYYY 10 All AR141 Mandatory dynamic Current Loan to Value Property & Collateral Numeric Originator’s current Loan to Value ratio (LTV). For 2nd lien loans this should be the combined or total LTV 9(4).9(8) 13 All AR143 Mandatory dynamic Current Valuation Amount Property & Collateral Numeric Most recent valuation amount (if e.g. at repossession there were multiple valuations, this should reflect the lowest). If no update, specify as No Data (ND). Valuation amounts should be in the same currency as the loan (field AR65) 9(11).99 14 All

Valuation type at origination:
Full, internal and external
AR144 Mandatory dynamic
Current Valuation
Type Property &
Collateral
List inspection (1) Full, only external inspection (2) Drive-by (3) AVM (flag as AVM only if this type of valuation has been used for origination purposes) (4) Indexed (5) Desktop (6) List 2 All Managing Agent / Estate Agent (7) Tax Authority (8) Other (9) No Data (ND) AR145 Mandatory dynamic Current Valuation Date Property & Collateral Date The date of most recent valuation DD-MM-YYYY 10 All AR151 Optional static Date of Sale Property & Collateral Date The date of sale of the foreclosed property DD-MM-YYYY 10 All AR154 Optional static Gross Annual Rental Income Property & Collateral Numeric Gross Annual Rental income for Buy To Let (BTL) properties 9(11).99 14 All AR156 Optional static Debt Service Coverage Ratio Property & Collateral Text/Numeric For Buy to Lets the Debt Service Coverage Ratio (DSCR) - Monthly Gross Rental Income divided by the Mortgage Payment For borrowers the DSCR is the Monthly Income divided by the Mortgage Payment. 9(11).99 14 All AR162 Mandatory dynamic Current Energy Performance Certificate Value Property & Collateral List Latest current Energy Performance Certificate (EPC) rating for the property: Energy Performance Certificate A (A) Energy Performance Certificate B (B) Energy Performance Certificate C (C) Energy Performance Certificate D (D) Energy Performance Certificate E (E) Energy Performance Certificate F (F) Energy Performance Certificate G (G) Confirmed that property is not required to have EPC rating (NR) Unknown / no data (ND) List 2 UK only AR166 Mandatory dynamic Account Status Performance List Current status of account:
Performing (1)
Arrears (2)
Default or
Foreclosure (3)
Redeemed (4)
Repurchased by
Seller (5) Other (6)
Numeric 2 All

No Data (ND)
AR168 Optional dynamic
Date Last in Arrears Performance Date / ND
Date the borrower was last in arrears. If the borrower is current the date they were last in arrears. If no data available specify No Data (ND) DD-MM-YYYY 10 All AR169 Mandatory dynamic Arrears Balance Performance Numeric Current balance of arrears. Arrears defined as: Total payments due to date LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account 9(8).99 11 All AR170 Mandatory dynamic Number Months in Arrears Performance Numeric Number of months this loan is in arrears (at pool cut off date) according to the definition of the issuer Numeric 3 All AR173 Mandatory dynamic Performance Arrangement Performance Date The date when the borrower had an arrangement put in place to reduce the balance of any arrears whilst maintaining their current payment. If no data available specify No Data (ND). DD-MM-YYYY 10 All AR174 Mandatory dynamic Litigation Performance Y / N / ND Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this should be re-set to N) Y / N / ND 2 All except Holland AR175 Mandatory dynamic Redemption Date Performance Date Date on which account redeemed DD-MM-YYYY 10 All AR177 Mandatory dynamic Default or Foreclosure Performance Numeric Total default amount before the application of sale proceeds and recoveries. 9(8).99 11 All AR178 Mandatory dynamic Date of Default Performance Numeric The date of default or foreclosure. DD-MM-YYYY 10 All AR179 Mandatory dynamic Sale Price Performance Numeric Price achieved on sale of property in case of foreclosure 9(11).99 14 All AR180 Mandatory dynamic Loss on Sale Performance Numeric Total loss 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 9(11).99 14 All AR181 Mandatory dynamic Cumulative Recoveries Performance Numeric Cumulative recoveries – only relevant for cases with losses 9(11).99 14 All AR189 Optional static Second Borrower's Employment Status Borrower Information List Employment status of the primary applicant: Employed or full loan is guaranteed (1) Employed with partial support (company subsidy) (2) Protected life-time employment (Civil/government servant) (3) Unemployed (4) Self-employed (5) No employment, borrower is legal List 2 All

entity (6) Student (7)
Pensioner (8)
Other (9)
No Data (ND)
AR237SECN Mandatory Static
Securitisation unique identifier Securitisation Information Text/Numeric The unique identifier assigned by the reporting entity in accordance with SECN 11.12. The reporting entity must not amend this unique identifier. For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/Numeric 28 All AR238SECN Mandatory Static Originator Name Securitisation Information Text/Numeric Give the full legal name of the underlying exposure originator, involved in the securitisation. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AR239SECN Mandatory Static Originator Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. Text/Numeric 20 All AR240SECN Mandatory Static Originator Establishment Country Securitisation Information List Country where the underlying exposure originator is established. Text/Numeric 50 All AR241SECN Mandatory Static Original Lender Name Securitisation Information Text/Numeric Give the full legal name of the original lender. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AR242SECN Mandatory Static Original Lender Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Text/Numeric 20 All AR243SECN Mandatory Static Original Lender Establishment Country Securitisation Information List Country where the original lender is established. Text/Numeric 50 All AR244SECN Mandatory Static Credit Impaired Obligor (STS only) Securitisation Information Y / N / ND Confirm that at the time that this underlying exposure was selected for transfer to the SSPE, the exposure met the criteria set out in SECN 2.2.12R(2) and SECN 2.2.12R(3) regarding exposures in default, exposures to a credit-impaired debtor or guarantor and exposures which have undergone a debt restructuring process. Y / N / ND 2 All AR245SECN Mandatory Static Number Of Payments Before Securitisation Securitisation Information Numeric Enter the number of payments made prior to the exposure being transferred to the securitisation. 9(3) 12 All AR246SECN Mandatory Static Primary Income Currency Borrower Information List Currency in which the primary borrower's income is paid. List 2 All

SECN 11 Annex 3 and SECN 11 Annex 4 are deleted in their entirety. The deleted text is not shown but the annexes are marked [deleted] as shown below. 11 Underlying exposures information – Commercial real estate
Annex 3 (CRE) [deleted]
11 Underlying exposures information – Corporate [deleted]
Annex 4
Insert the following new annex, SECN 11 Annex 4A, after SECN 11 Annex 4. All the text is new and is not underlined.
Annex
4A
Underlying exposures information – Collateralised loan obligations
Annex
4A
R [Editor’s note: insert link to document containing ‘Underlying exposures information - Collateralised loan obligations’.]

SECN 11 Annex 4A: Underlying exposures - Collateralised loan obligations Field number Priority TAG Field Name Category Data Type Field Definition & Criteria Date type/format Maximum Length CLO1 Mandatory dynamic Pool Cut-off Date Core Date Current pool or Portfolio cut-off date. DD-MM-YYYY 10 CLO2 Mandatory static Loan Identifier Core Text/ Numeric Unique identifier for each underlying exposure. Where applicable, industry standard unique identifiers such as loan identifiers or bond ISINs should be used. Text/ Numeric CLO3 Mandatory Static Pool Addition Date Core Date Date that the loan entered the pool DD-MM-YYYY 10 CLO4 Mandatory static Obligor Identifier Core Text/ Numeric Unique identifier per obligor. Text/ Numeric CLO5 Mandatory static Obligor Name Core Text/ Numeric Obligor name Text/ Numeric CLO6 Mandatory static Country Obligor Information List Country of permanent establishment. Text/ Numeric CLO7 Mandatory static Industry Code Obligor Information Text/Numeric Obligor industry code Text/ Numeric CLO8 Mandatory dynamic Revenue Obligor Information Numeric Annual sales volume net of all discounts and sales taxes of the obligor. 9(11).99 14 CLO9 Mandatory dynamic Equity Obligor Information Numeric Amount of equity 9(11).99 14 CLO10 Mandatory dynamic Total Debt Obligor Information Numeric Total gross debt of the obligor, including the financing provided in the present underlying exposure. 9(11).99 14 CLO11 Mandatory dynamic EBITDA Obligor Information Numeric Recurring earnings from continuing operations plus interest, taxes, depreciation, and amortisation. 9(11).99 14 CLO12 Mandatory dynamic Enterprise Value Obligor Information Numeric Enterprise value i.e. market capitalisation plus debt, minority interest and preferred shares, minus total cash and cash equivalents. 9(11).99 14 CLO13 Mandatory dynamic Free Cashflow Obligor Information Numeric Net income plus non-cash charges plus interest x (1 - tax rate) plus long-term investments less investments in working capital. Non-cash charges include depreciation, amortisation, depletion, stock-based compensation and asset impairments. 9(11).99 14 CLO14 Mandatory dynamic Date Of Financials Obligor Information Date The date of the financial information (e.g. EBITDA) on the obligor DD-MM-YYYY 10

of this underlying exposure.
CLO15 Mandatory dynamic Financial Statement Currency Obligor Information List The reporting currency of the financial statements. Text/Numeric 50 CLO16 Mandatory static Origination Date Loan Characteristics Date Date of the credit agreement relevant to this underlying exposure DD-MM-YYYY 10 CLO17 Mandatory static Maturity Date Loan Characteristics Date The date of maturity of the underlying exposure. DD-MM-YYYY 10 CLO18 Mandatory static Currency Denomination Loan Characteristics List The underlying exposure currency denomination. Text/Numeric 50 CLO19 Mandatory static Original Principal Balance Loan Characteristics Numeric 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. 9(11).99 14 CLO20 Mandatory dynamic Current Principal Balance Loan Characteristics Numeric Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are 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. 9(11).99 14 CLO21 Mandatory static Purpose Loan Characteristics List Underlying exposure purpose: Mergers and Acquisitions Refinancing Recapitalisation General corporate purposes Other Text/ Numeric CLO22 Mandatory dynamic Seniority Loan Characteristics List Debt Instrument Seniority: Senior Secured Senior Unsecured Subordinated Other List 20 CLO23 Mandatory Static Loan security Loan Characteristics Text/ Numeric Description of the loan security package. Text/ Numeric CLO24 Mandatory Dynamic Recourse Loan Characteristics Y / N / ND Is there recourse (full or limited) to the obligor's assets beyond the proceeds of any collateral for this underlying exposure? Y / N / ND 2

CLO25 Mandatory static Syndicated Loan
Characteristics
Y / N / ND Is the underlying exposure a broadly syndicated loan? Y / N / ND 2 CLO26 Mandatory dynamic Payment in Kind Loan Characteristics Y / N / ND Is the underlying exposure currently paying in kind? (i.e. interest is paid in the form of capitalised principal) Y / N / ND 2 CLO27 Mandatory dynamic Market Value Loan Numeric Enter the market value of the underlying 9(11).99 14 Characteristics exposure, where applicable. For underlying exposures with flexible redraw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum CLO28 Mandatory dynamic Total Credit Limit Loan Characteristics Numeric underlying exposure amount that could potentially be outstanding. This field is only to be populated for underlying exposures that have flexible or further drawing characteristics. 9(11).99 14 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. CLO29 Mandatory static Purchase Price Loan Numeric Enter the price, relative to par, at which the 9(11).99 14 Characteristics underlying exposure was purchased by the SSPE. Amortisation:
Linear (1)
French (2)
CLO30 Mandatory static Amortisation Type Loan Characteristics List Fix Amortisation Schedule (3) Bullet (4) Partial Bullet (5) Revolving (6) Other (7) No Data (ND) List 2 CLO31 Mandatory static Principal Payment Frequency Loan Characteristics List Frequency of principal payments due, i.e. number of months between payments. Monthly (1) Quarterly (2) Semi annually (3) Annual (4) Bullet (5) Other (6) No data (ND) List 2

CLO32 Mandatory static Interest Payment
Frequency
Loan
Characteristics
List
Frequency of interest payments due, i.e. number of months between payments. Monthly (1) Quarterly (2) Semi annually (3) Annual (4) Bullet (5) Other (6) No data (ND) List 2 CLO33 Mandatory dynamic Payment Due Loan Characteristics Numeric This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. 9(11).99 14 CLO34 Mandatory dynamic Balloon Amount Loan Numeric Total amount of principal repayment to be 9(11).99 14 Characteristics paid at the maturity date of the underlying exposure. 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 CLO35 Mandatory dynamic Interest Rate Type Loan Characteristics List (FXPR) Fixed rate underlying exposure with compulsory future switch to floating (FLCF) Floating rate underlying exposure with floor (FLFL) Floating rate underlying List 4 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) Gross rate per annum used to calculate the CLO36 Mandatory dynamic Current Interest Rate Loan Characteristics Numeric current period scheduled interest on the underlying exposure. Rates calculated on a period-by-period basis must be annualised. 9(4).9(8) 13 The base reference interest index currently applicable (the reference rate off which the CLO37 Mandatory dynamic Current Interest Rate Index Loan List interest rate is set):
Euribor (EURI) SONIA (SONI) SOFR (SOFR)
BBSW (BBSW) CDOR (CDOR) List 4
Characteristics Other (OTHR)

CLO38 Mandatory dynamic Current Interest Rate Index Tenor Loan Characteristics List Tenor of the current interest rate index:
Overnight (OVNG)
1 month (MNTH)
3 month (QUTR)
6 month (SEMI)
12 month (YEAR) Other (OTHR)
List 4
CLO39 Mandatory dynamic
Current Interest Rate
Margin Loan
Characteristics
Numeric
Current interest rate margin of the floatingrate underlying exposure over (or under, in which case input as a negative) the index rate. 9(4).9(8) 13 CLO40 Mandatory dynamic Interest Rate Reset Interval Loan Characteristics Numeric Number of months between each interest rate reset date on the underlying exposure. 9(4) 5 CLO41 Mandatory dynamic Interest Rate Cap Hedging information Numeric Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. 9(4).9(8) 13 CLO42 Mandatory dynamic Interest Rate Floor Hedging information Numeric Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. 9(4).9(8) 13 CLO43 Mandatory dynamic Interest Rate Swap Notional Hedging information Numeric If there is an interest rate swap on the underlying exposure, enter the notional amount. 9(11).99 14 CLO44 Mandatory dynamic Interest Rate Swap Provider Legal Entity Identifier Hedging information Text/ Numeric Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider. Text/Numeric 20 CLO45 Mandatory dynamic Interest Rate Swap Provider Hedging information Text/ Numeric 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. Text/ Numeric CLO46 Mandatory dynamic Interest Rate Swap Maturity Date Hedging information Date If there is an interest rate swap on the underlying exposure, enter the maturity date of the swap. DD-MM-YYYY / ND 10 CLO47 Mandatory dynamic Currency Swap Notional Hedging information Numeric If there is an exchange rate swap on the underlying exposure, enter the notional amount. 9(11).99 14 CLO48 Mandatory dynamic Currency Swap Provider Legal Entity Identifier Hedging information Text/ Numeric If there is an exchange rate swap on the underlying exposure, provide the Legal Entity Identifier (as specified in the Global Text/ Numeric

Legal Entity Foundation (GLEIF) database) of the swap provider. CLO49 Mandatory dynamic Currency Swap Provider Hedging information Text/ Numeric 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 Text/ Numeric associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. CLO50 Mandatory dynamic Currency Swap Maturity Date Hedging information Date If there is an exchange rate swap on the underlying exposure, enter the maturity date of the swap. DD-MM-YYYY / ND 10 CLO51 Mandatory dynamic Date Last In Arrears Performance information Date / ND Date the obligor was last in arrears. DD-MM-YYYY / ND 10 Current balance of arrears, which is defined as: Total payments due to date CLO52 Mandatory dynamic Arrears Balance Performance information Numeric PLUS any amounts capitalised PLUS any fees applied to the account LESS total payments received to date. If no 9(11).99 14 arrears then enter 0. CLO53 Mandatory dynamic Number of Days in Arrears Performance information Numeric Number of days this underlying exposure is in arrears (either interest or principal and, 9(4) 5 if different, the higher number of the two) as at the data cut-off date. Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured - No Arrears (RNAR)
Restructured - Arrears (RARR)
Defaulted according to Basel III Definition of default (DFLT) Not defaulted according to Basel III Definition of default but classified as defaulted due to another CLO54 Mandatory dynamic Account Status Performance information List definition of default being met (NDFT) Defaulted both according to Basel III Definition of default 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 List 4

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 arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generallyaccepted measures of restructuring due to forbearance. Using Basel III Definition Reason for Reason for Default or Performance default. Bankruptcy / Insolvency (1) Failure to Pay (2) Breach of Terms (3) Other CLO55 Mandatory dynamic Foreclosure information List (4) No data (ND) List 2 CLO56 Mandatory dynamic Default Amount Performance Numeric Total gross default amount before the 9(11).99 14 information application of sale proceeds and recoveries. If not in default, enter 0. CLO57 Mandatory dynamic Default Date Performance information Date / ND The date of default. DD-MM-YYYY / ND 10 The allocated losses to date, net of fees, CLO58 Mandatory dynamic Allocated Losses Performance information Numeric accrued interest etc. after application of sale proceeds. Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, 9(11).99 14 i.e. as recoveries are collected and the work out process progresses. CLO59 Mandatory dynamic Cumulative Recoveries Performance information Numeric Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of 9(11).99 14 recoveries here, not just proceeds from the disposal of any collateral. Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made CLO60 Mandatory Dynamic Date Of Restructuring Performance information Date / ND to the contractual terms of the underlying exposure agreement due to forbearance, DD-MM-YYYY / ND 10 including arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generallyPage 113 of 149

accepted measures of restructuring due to forbearance.
CLO61 Mandatory Dynamic Recovery Source
Performance information List
The source of the recoveries: Liquidation of Collateral (LCOL) Enforcement of Guarantees (EGAR) Additional Lending (ALEN) Cash Recoveries (CASR) Mixed (MIXD) Other (OTHR) No data (ND) List 4 CLO62 Mandatory Static Securitisation unique identifier Securitisation Information Text/ Numeric The unique identifier assigned by the reporting entity in accordance with SECN
11.12. The reporting entity must not
amend this unique identifier.
For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/ Numeric CLO63 Mandatory Static Originator Name Securitisation Information Text/ Numeric Give the full legal name of the underlying exposure originator, involved in the securitisation. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/ Numeric CLO64 Mandatory Static Originator Legal Entity Identifier Securitisation Information Text/ Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. Text/ Numeric CLO65 Mandatory Static Originator Establishment Country Securitisation Information List Country where the underlying exposure originator is established. Text/ Numeric CLO66 Mandatory Static Original Lender Name Securitisation Information Text/ Numeric Where the loan has been originated through direct lending (rather than as a broadly syndicated loan), give the full legal name of the original lender. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/ Numeric CLO67 Mandatory Static Original Lender Legal Entity Identifier Securitisation Information Text/ Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Text/ Numeric

CLO68 Mandatory Static Original Lender
Establishment Country
Securitisation
Information
List Where applicable, country where the original lender is established. Text/ Numeric CLO69 Mandatory Static Number Of Payments Before Securitisation Securitisation Information Numeric Enter the number of payments made prior to the exposure being transferred to the securitisation. 9(4) 5

SECN 11 Annex 5 and SECN 11 Annex 6 are deleted in their entirety and replaced with the following. The text is not underlined. [Editor’s note: the forms that currently form part of SECN 11 Annex 5 and SECN 11 Annex 6 are to be marked as ‘superseded’.] 11 Underlying exposures information – Automobile
Annex 5
11 Annex R [Editor’s note: insert link to document containing ‘Underlying 5 exposures information - Automobile’.]

SECN 11 Annex 5: Underlying exposures - automobile Field number Priority TAG Field Name Category Data Type Field Definition & Criteria Date type/format Maximu m Length Jurisdiction s Individua ls / Corporat es AA1 Mandatory dynamic Pool Cut-off Date Core Date Pool or Portfolio cut-off date. DD-MM-YYYY 10 All AA5 Optional dynamic Servicer Identifier Core Text/ Numeric Unique identifier per servicer to flag which entity is servicing the loan Text/Numeric 50 All AA6 Optional dynamic Servicer Rating Core Text/ Numeric Rating of the Servicer from the Rating Agency which rated the deal. If that particular Rating Agency did not also rate the deal, then use an alternative rating if available. If no ratings available, enter ND for no data. Text/Numeric 10 All AA7 Mandatory Static Loan Currency Denomination Core List The loan currency denomination. List 2 All AA15 Mandatory Static Loan Identifier Core Text/ Numeric Unique identifier for the loan. The loan ID should not change through the life of the transaction. If the original loan ID cannot be maintained in this field, enter the original ID followed by the new ID, comma delimited. Text/Numeric 50 All AA16 Mandatory Static Corporate Identifier Core Text/ Numeric Unique identifier for the corporate sponsor of the loan. If the borrower is an individual enter ND for no data. Text/Numeric 50 All Corporat e AA20 Mandatory Static Customer Type Loan level information List Type of Customer: Individual (1) Corporate (2) Other (3) List 1 All AA22 Mandatory Static Borrower's Employment Status Loan level information List Employment status of the primary applicant:
Employed or full loan is guaranteed (1)
Employed with partial support (company subsidy) (2) Protected life-time employment (Civil/government servant) (3) Unemployed (4) Self-employed (5) No employment, borrower is legal entity (6) Student (7) Pensioner (8) Other (9) No Data (ND) List 2 All Individual s

AA23 Mandatory Static Primary Income Loan level information Numeric Primary borrower underwritten annual income. If income not
part of the underwriting decision or the borrower is
a corporate, enter ND.
9(11).99 50 All Individual s
AA24 Mandatory Static Primary Income
Currency
Loan level information
List The income currency denomination. List 2 All Individual s AA25 Mandatory Static Income Verification for Primary Income Loan level information List Income verification for primary income: Selfcertified no checks (1) Self-certified with affordability confirmation (2) Verified (3) Non-Verified Income / Fast Track (4) Other (5) No Data (ND) List 2 All Individual s AA26 Mandatory dynamic Revenue Loan level information Numeric Revenue of the corporate customer, per the most recent audited financial statements. If data is not available enter ND for no data. 9(11).99 14 All Corporat e AA27 Optional dynamic EBITDA Loan level information Numeric Earnings Before Interest, Tax, Depreciation and Amortisation of the corporate customer, per the most recent audited financial statements. If data is not available enter ND for no data. 9(11).99 14 All Corporat e AA28 Optional dynamic Date of the most recent Financial Statements Loan level information Date Date of the most recent audited financial statements. If data is not available enter ND for no data. DD-MM-YYYY 10 All Corporat e AA29 Mandatory dynamic Financial Statement Currency Loan level information List The reporting currency of the financial statements. If data is not available enter ND for no data. List 2 All Corporat e AA30 Mandatory dynamic Geographic Region Loan level information List The region where the borrower is located. ITL 1 region coding to be used. See ONS Open Geography Portal for relevant choices. List 3 All AA31 Mandatory Static Origination Date Loan level information Date Date of original loan or lease advance. DD-MM-YYYY 10 All AA32 Mandatory dynamic Date of Loan Maturity Loan level information Date Date of loan maturity or expiry of lease. DD-MM-YYYY 10 All AA33 Mandatory Static Loan Term Loan level information Numeric Original contractual term (number of months). 9(11).99 14 All AA34 Mandatory Static Original Principal Balance Loan level information Numeric Borrower's original loan balance (inclusive of fees). 9(11).99 14 All AA35 Mandatory dynamic Current Principal Loan level information Numeric Borrower's loan outstanding as the of pool cut off date. This should include any amounts that are secured against the vehicle. For example if fees have been added to the loan balance and are part 9(11).99 14 All

Outstanding
Balance of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts. AA36 Mandatory dynamic Scheduled Payment Due Loan level information Numeric The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force). 9(11).99 14 All AA37 Mandatory dynamic Scheduled Payment Frequency Loan level information List Scheduled Payment Frequency: Weekly (1) Fortnightly (2) Monthly (3) Quarterly (4) Semi Annually (5) Annually (6) Other (7) No Data (ND) List 2 All AA38 Mandatory Static Downpayment Amount Loan level information Numeric Amount of deposit/downpayment on origination of loan (this should include the value of traded-in vehicles etc.) 9(11).99 14 All AA39 Mandatory Static Original Loan to Value Loan level information Numeric The LTV of the vehicle at origination. Rounded to the nearest 5 percent. 9(11).99 14 All AA40 Mandatory dynamic Product Type Loan level information List Product Type:
Hire Purchase (1)
Balloon (2)
Loan (3)
Personal Contract Purchase (4) Other (5)
No Data (ND)
List 2 All
AA41 Mandatory Static Balloon
Payment
Amount
Loan level information
Numeric The balloon payment amount 9(11).99 14 All AA42 Mandatory dynamic Interest Rate Type Loan level information List Interest Rate Type: Fixed Rate (1) Floating Rate (2) Other (3) List 1 All AA43 Optional dynamic Annual Percentage Rate Loan level information Numeric Annual Percentage Rate (APR). The yearly cost of the loan, including interest, insurance and the origination fee, expressed as a percentage. Rounded to the nearest half a percent. 9(11).99 14 All AA44 Mandatory dynamic Current Interest Rate Loan level information Numeric Current interest rate (%) of the loan. Rounded to the nearest half a percent. 9(11).99 14 All AA45 Mandatory Static Car Manufacturer Loan level information Text Name of the vehicle manufacturer Text 50 All

AA46 Optional Static Car Model Loan level information Text Name of the car model Text 50 All AA47 Optional Static Engine Size Loan level information Numeric Engine size in Litres 9(11).99 14 All AA48 Optional Static Year of Registration Loan level information Date Year the car was registered DD-MM-YYYY 10 All AA49 Mandatory Static New or Used Car Loan level information List Condition it went into the pool:
New (New cars are those with zero or delivery mileage) (1) Used (Cars with a prior owner) (2) Demo (3) Other (4) No Data (ND) List 1 2 All AA50 Mandatory Static Original List Price of Car Loan level information Numeric List price of the vehicle at origination. For a used car, enter the trade value or the sale price of the used car. 9(11).99 14 All AA51 Mandatory dynamic Residual Value Loan level information Numeric Residual value at end of contract, as at pool cut off date. If data not available enter ND for no data. 9(11).99 14 All AA52 Mandatory Static Origination Channel Loan level information List Origination channel: Dealer (1) Broker (2) Direct (3) Indirect (4) Other (5) No Data (ND) List 2 All AA53 Mandatory dynamic Account Status Loan level information List Current status of account: Performing (1) Arrears (2) Default or Foreclosure (3) Redeemed (4) In advance (5) Repurchased by Seller (6) Other (7) No Data (ND) List 2 All AA54 Mandatory dynamic Payments in Arrears Loan level information Numeric Number of scheduled payments in Arrears. (Enter 0 for loans not in arrears) 9(11).99 14 All AA55 Mandatory dynamic Arrears Balance Loan level information Numeric Current balance of arrears. Arrears defined as:
Total payments due to date
LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. 9(11).99 14 All

AA56 Mandatory dynamic Payment method
Loan level information
List
Payment method used Direct Debit (1)
Cash (2)
Monthly bank transfer (not direct debit) (3) Cheque (4) Other (5) No Data (ND) List 2 All AA65 Mandatory Static Date of Default Performance information Date The date of default or foreclosure. DD-MM-YYYY 10 All AA66 Mandatory Static Sale Price Performance information Numeric Price achieved on sale of vehicle in case of foreclosure. If no data available enter ND for no data. 9(11).99 14 All AA67 Mandatory Static Loss on Sale Performance information Numeric Total loss 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. 9(11).99 14 All AA68 Mandatory dynamic Cumulative Recoveries Performance information Numeric Cumulative recoveries – only relevant for cases with losses. (If not in default/foreclosure enter ND for no data). 9(11).99 14 All AA69 Mandatory dynamic Gross Default Amount Performance information Numeric Gross Default Amount. (If not in default/foreclosure enter ND for no data). 9(11).99 14 All AA70 Optional dynamic Net Losses Performance information Numeric Cumulative Net Losses. (If not in default/foreclosure enter ND for no data). 9(11).99 14 All AA71 Optional dynamic Gross Losses Performance information Numeric Cumulative Gross Losses. (If not in default/foreclosure enter ND for no data). 9(11).99 14 All AA72 Mandatory dynamic Residual Value Losses Performance information Numeric Cumulative Residual Value Losses. (If not in default/foreclosure enter ND for no data). 9(11).99 14 All AA92 Optional dynamic Voluntary Termination? Termination Information Y / N / ND Was the auto loan terminated voluntarily? Y / N / ND 12 UK only AA93 Optional dynamic VT Date Termination Information Date Voluntary Termination Date DD-MM-YYYY 12 UK only AA94 Optional dynamic VT Amount Termination Information Numeric Outstanding Balance as of Termination Date 9(11).99 14 UK only AA95 Optional VT Sale Date Termination Information Date Date of sale of asset returned in case of voluntary termination of contract. DD-MM-YYYY 12 UK only AA96 Optional dynamic VT Sale Price Termination Information Numeric Price achieved on sale of asset in case of voluntary termination of contract. 9(11).99 14 UK only AA97 Optional dynamic VT Loss on Sale Termination Information Numeric Total loss net of fees, accrued interest etc. after application of sale proceeds in case of voluntary termination of contract. 9(11).99 14 UK only

AA98 Mandatory Static Pool Addition
Date
Core Date Date that the loan or lease entered the pool DD-MM-YYYY 10 All AA109SECN Mandatory Static Securitisation unique identifier Securitisation Information Text/ Numeric The unique identifier assigned by the reporting entity in accordance with SECN 11.12. The reporting entity must not amend this unique identifier. For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/Numeric 28 All AA110SECN Mandatory Static Originator Name Securitisation Information Text/ Numeric Give the full legal name of the underlying exposure originator, involved in the securitisation. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AA111SECN Mandatory Static Originator Legal Entity Identifier Securitisation Information Text/ Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. Text/Numeric 20 All AA112SECN Mandatory Static Originator Establishment Country Securitisation Information List Country where the underlying exposure originator is established. Text/Numeric 50 All AA113SECN Mandatory Static Original Lender Name Securitisation Information Text/ Numeric Give the full legal name of the original lender. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AA114SECN Mandatory Static Original Lender Legal Entity Identifier Securitisation Information Text/ Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Text/Numeric 20 All AA115SECN Mandatory Static Original Lender Establishment Country Securitisation Information List Country where the original lender is established. Text/Numeric 50 All AA116SECN Mandatory Static Credit Impaired Obligor (STS only) Securitisation Information Y / N / ND Confirm that at the time that this underlying exposure was selected for transfer to the SSPE, the exposure met the criteria set out in SECN 2.2.12R(2) and SECN 2.2.12R(3) regarding exposures in default, exposures to a creditimpaired debtor or guarantor and exposures which have undergone a debt restructuring process. Y / N / ND 2 All AA117SECN Mandatory Static Number Of Payments Securitisation Information Numeric Enter the number of payments made prior to the exposure 9(3) 12 All

Before
Securitisation being transferred to the securitisation.
AA118SECN Optional Static Fuel Type Loan level information List Vehicle fuel type: Petrol (1) Diesel (2) Hybrid Electric (3) Battery Electric (4) Other (5) No Data (ND) List 2 All AA119SECN Mandatory Dynamic Date Of Restructuring Performance information Date / ND 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. DD-MM-YYYY / ND 10 All AA120SECN Mandatory Dynamic Date Last In Arrears Performance information Date / ND Date the obligor was last in arrears. DD-MM-YYYY / ND 10 All AA121SECN Mandatory Dynamic Cumulative Prepayments Performance information Numeric Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date 9(11).99 14 All AA122SECN Mandatory Static Original Residual Value Loan level information Numeric The residual value of the asset at the date of lease origination. 9(11).99 14 All AA123SECN Mandatory Static Securitised Residual Value Securitisation Information Numeric Residual value amount which has been securitised only. 9(11).99 14 All AA124SECN Mandatory Dynamic Current Interest Rate Margin Loan level information Numeric Where applicable, the current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. 9(4).9(8) 13 All

11 Underlying exposures information – Consumer
Annex 6
11 R [Editor’s note: insert link to document containing ‘Underlying
Annex 6 exposures information - Consumer’.]

FCA 2026/XX
SECN 11 Annex 6: Underlying exposures - consumer Field number Priority TAG Field Name Category Data Type Field Definition & Criteria Date type/format Maximum Length Jurisdictions AN1 Mandatory dynamic Pool Cut-off Date Core Date Pool or Portfolio cut-off date. DD-MM-YYYY 10 All AN4 Optional Static Servicer Identifier Core Text/Numeric Unique identifier per servicer to flag which entity is servicing the loan Text/Numeric 50 All AN5 Mandatory Static Loan Currency Denomination Core List The loan currency denomination. List 2 All AN16 Mandatory Static Pool Addition Date Core Date Date that the loan entered the pool DD-MM-YYYY 10 All AN17 Mandatory Static Loan Identifier Core Text/Numeric Unique identifier for a particular loan in the pool Text/Numeric 50 All AN18 Mandatory Static Borrower Identifier Core Text/Numeric Unique identifier for a particular borrower. Should be encrypted to ensure data protection. Text/Numeric 50 All AN22 Mandatory Static Borrower's Employment Status Loan Level Information List Employment status of the primary applicant:
Employed (1)
Full loan is guaranteed (2)
Employed with partial support (company subsidy) (3) Protected life-time employment (Civil/government servant) (4) Unemployed (5) Self-employed (6) No employment, borrower is legal entity (7) Student (8) Pensioner (9) Other (10) No Data (ND) List 2 All AN23 Mandatory Static Primary Income Loan Level Information Numeric Primary borrower underwritten gross annual income (not rent). 9(11).99 14 All AN24 Mandatory Static Primary Income Currency Loan Level Information List Primary income currency denomination. List 2 All AN25 Mandatory Static Income Verification for Primary Income Loan Level Information List Income verification for primary income: Selfcertified no checks (1) Self-certified with affordability confirmation (2) Verified (3) Partially Verified (4) Non-Verified Income / Fast Track (5) Other (6) No Data (ND) List 2 All AN26 Mandatory dynamic Geographic Region Loan Level Information Text/Numeric The region where the borrower is located. ITL 1 classification to be List 3 All

FCA 2026/XX used. See ONS Open Geography Portal for relevant choices. AN27 Mandatory Static Origination Date Loan Level Information Date Date of original loan advance. DD-MM-YYYY 10 All AN28 Mandatory dynamic Date of Loan Maturity Loan Level Information Date Date of loan maturity. DD-MM-YYYY 10 All AN29 Mandatory Static Original Loan Term Loan Level Information Numeric Original contractual term (number of months). Numeric 2 All AN31 Mandatory Static Original Principal Balance Loan Level Information Numeric Original loan balance (inclusive of fees). 9(11).99 14 All AN32 Mandatory dynamic Current Principal Outstanding Balance Loan Level Information Numeric Amount of loan outstanding as of pool cut off date. This should include any amounts that are secured against the loan. For example if fees have been added to the loan balance and are
part of the principal in the transaction these
should be added. Excluding any interest arrears or penalty amounts. 9(11).99 14 All AN33 Mandatory dynamic Current Outstanding Balance inc. Principal, Accrued Interest and Fees Loan Level Information Numeric Amount of loan outstanding as of pool cut off date, this should include any accrued interest and penalty fees payable 9(11).99 14 All AN34 Mandatory dynamic Repayment Method Loan Level Information List Type of principal repayment: Interest Only (1) Constant Instalment Repayment (2) StraightLine Repayment (3) Mixture of Interest Only & Repayment (4) Other (5) No Data (ND) List 2 All AN35 Mandatory dynamic Payment Frequency Loan Level Information List Payment Frequency: Weekly (1) Fortnightly (2) Monthly (3) Quarterly (4) Semi Annually (5) Annually (6) Other (7) No Data (ND) List 2 All AN36 Mandatory dynamic Scheduled Payment Due Loan Level Information Numeric The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force). 9(11).99 14 All

FCA 2026/XX
Loan Purpose:
Tuition Fees (1)
Living Expenses (2)
Medical (3)
Home Improvements (4)
Appliance/Furniture (5)
Travel (6)
AN37 Mandatory Static Loan Purpose Loan Level Information List Debt Consolidation (7) New Car (8) List 2 All Used Car (9) Other Vehicle (10) Equipment (11) Property (12) Other (13) No Data (ND) AN38 Mandatory Static Customer Type Loan Level List Customer Type:
New (1)
Existing (2) List 2 All
Information Other (3)
No Data (ND)
AN39 Optional dynamic Annual
Percentage Rate
Loan Level
Information
Numeric
Annual Percentage Rate (APR). The yearly cost of the loan, including interest, insurance and the origination fee, expressed as a 9(4).9(8) 13 All percentage. AN40 Mandatory dynamic Current Interest Loan Level Numeric Current interest rate (%) of the loan 9(4).9(8) 13 All Rate Information Distribution Current interest rate basis Fixed (1) ECB Base rate (2) 1m Euribor (3) 3m Euribor (4) Current Interest 12m Euribor (5) UK Base Rate (6) SONIA (6A) Lender’s SVR (10) AN41 Mandatory dynamic Rate Basis Loan Level Information List Other (11) No Data (ND) List 2 All Current status of account: Performing (1) Restructured - No Arrears (2) Restructured - Arrears (3) Defaulted (4) Arrears (5) AN42 Mandatory dynamic Account Status Loan Level Information List Redeemed (6) Other (7) No Data (ND) List 2 All

FCA 2026/XX
AN43 Mandatory dynamic Arrears Balance Loan Level Information Numeric Current balance of arrears. Arrears defined as:
Total payments due to date
LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. If the loan is not in arrears enter a balance of 0 9(11).99 14 All AN44 Mandatory dynamic Arrears Balance Capitalised Loan Level Information Numeric Total current capitalised arrears balance. 9(11).99 14 All AN45 Mandatory dynamic Number of Days in Arrears Loan Level Information Numeric Number of days the loan is in arrears as of the pool cut off date. Numeric 3 All AN46 Mandatory dynamic Origination Channel Loan Level Information List Channel of Origination: Dealer (1) Broker (2) Direct (3) Indirect (4) Other (5) No Data (ND) List 2 All AN47 Optional dynamic Payment Method Loan Level Information List Method of Payment:
Direct debit (1)
Cash (2)
Bank transfer (not direct debit) (3) Cheque (4) Other (5) No Data (ND) List 2 All AN48 Optional dynamic Number of Borrowers Loan Level Information Numeric Number of borrowers to the Loan Numeric 3 All AN49 Mandatory dynamic Percentage of Prepayments allowed Loan Level Information Numeric Maximum percentage of the outstanding balance allowed annually as a prepayment without incurring a penalty 9(4).9(8) 13 All AN50 Mandatory dynamic Early Repayment Charges Loan Level Information Numeric Percentage of the outstanding balance which is payable as a charge if the prepayment limit is exceeded 9(11).99 14 All AN51 Mandatory dynamic Set off amount Loan Level Information Numeric If the originator holds deposits from the borrower, its the amount of the deposit that they set off against the loan. 9(11).99 14 All AN55 Mandatory Static Date of Default Performance Information Date The date of default. DD-MM-YYYY 10 All AN56 Mandatory dynamic Cumulative Recoveries Performance Information Numeric Cumulative recoveries – only relevant for cases with losses. 9(11).99 14 All AN58 Mandatory dynamic Gross Defaults Performance Information Numeric Cumulative gross defaults 9(11).99 14 All AN59 Optional dynamic Gross Losses Performance Information Numeric Cumulative gross losses 9(11).99 14 All

FCA 2026/XX
AN60 Optional dynamic Net Losses Performance Information Numeric Cumulative net losses 9(11).99 14 All AN83 Optional Static Associated Insurance Core Y / N / ND Y / N / ND 2 All AN84 Optional Static Insurance Type Core List Life, Accident, Sickness & Unemployment Insurance (1) Life, Accident &Sickness Insurance(2) Accident, Sickness, & Unemployment (3) Accident & Sickness Insurance (4) Other (5) No Data (ND) List 2 All AN85 Optional Dynamic Insurance Amount Core Numeric Insurance balance - amount which insurance currently covers 9(11).99 14 All AN86 Optional Dynamic Insurance premium Core Numeric Insurance premium 9(11).99 14 All AN87 Optional Static Insurance Payment Frequency Core List Payment Frequency: Weekly (1) Fortnightly (2) Monthly (3) Quarterly (4) Semi Annually (5) Annually (6) Other (7) No Data (ND) List 2 All AN88 Optional Static insurance provider Core Text Name of the insurance provider for this borrower Text 50 All AN99SECN Mandatory Static Securitisation unique identifier Securitisation Information Text/Numeric The unique identifier assigned by the reporting entity in accordance with SECN 11.12. The reporting entity must not amend this unique identifier. For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/Numeric 28 All AN100SECN Mandatory Static Originator Name Securitisation Information Text/Numeric Give the full legal name of the underlying exposure originator, involved in the securitisation. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AN101SECN Mandatory Static Originator Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. Text/Numeric 20 All AN102SECN Mandatory Static Originator Establishment Securitisation Information List Country where the underlying exposure originator is established. Text/Numeric 50 All

FCA 2026/XX
Country
AN103SECN Mandatory Static Original Lender
Name
Securitisation
Information Text/Numeric
Give the full legal name of the original lender.
Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AN104SECN Mandatory Static Original Lender Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Text/Numeric 20 All AN105SECN Mandatory Static Original Lender Establishment Country Securitisation Information List Country where the original lender is established. Text/Numeric 50 All AN106SECN Mandatory Static Credit Impaired Obligor (STS only) Securitisation Information Y / N / ND Confirm that at the time that this underlying exposure was selected for transfer to the SSPE, the exposure met the criteria set out in SECN 2.2.12R(2) and SECN 2.2.12R(3) regarding exposures in default, exposures to a credit-impaired debtor or guarantor and exposures which have undergone a debt restructuring process. Y / N / ND 2 All AN107SECN Mandatory Static Number Of Payments Before Securitisation Securitisation Information Numeric Enter the number of payments made prior to the exposure being transferred to the securitisation. 9(3) 12 All AN108SECN Mandatory Dynamic Date Of Restructuring Performance information Date / ND 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. DD-MM-YYYY / ND 10 All AN109SECN Mandatory Dynamic Date Last In Arrears Performance information Date / ND Date the obligor was last in arrears. DD-MM-YYYY / ND 10 All AN110SECN Mandatory Dynamic Cumulative Prepayments Performance information Numeric Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date 9(11).99 14 All AN111SECN Mandatory dynamic Current Interest Rate Margin Loan Level Information Numeric Where applicable, the current interest rate margin of the floating9(4).9(8) 13 All

FCA 2026/XX rate underlying exposure over (or under, in which case input as a negative) the index rate.

FCA 2026/XX
SECN 11 Annex 7 is deleted in its entirety. The deleted text is not shown but the
annex is marked [deleted] as shown below.
11 Underlying exposures information – Credit card [deleted]
Annex 7
SECN 11 Annex 8 is deleted in its entirety and replaced with the following. The text is not underlined. [Editor’s note: the form that currently forms part of SECN 11 Annex 8 is to be marked as ‘superseded’.] 11 Underlying exposures information– Leasing
Annex 8
11 R [Editor’s note: insert link to document containing ‘Underlying
Annex 8 exposures information – Leasing’.]

FCA 2026/XX
SECN 11 Annex 8: Underlying exposures - leasing Field Number Priority TAG Field Name Category Data Type Field Definition & Criteria Data Type / Format Maximum Length Jurisdictions AL1 Mandatory dynamic Pool Cut-off Date Core Date Pool or Portfolio cut-off date. All dates take DD-MM-YYYY format DD-MMYYYY 10 All AL3 Mandatory static Lease Identifier Core Text/Numeric Unique identifier (ID) for each Lease. The Lease ID should not change through the life of the transaction. Text/Numeric 100 All AL5 Optional static Servicer Identifier Core Text/Numeric Unique identifier per servicer to flag which entity is servicing the Lease Text/Numeric 100 All AL6 Optional dynamic Servicer Name Core Text Servicer name Text 100 All AL8 Mandatory static Lessee Identifier Core Text/Numeric Unique identifier (ID) per Lessee (not showing the real name) - to enable Lessees with multiple Leases in the pool to be identified (e.g. further advances / second liens are shown as separate entries). Should not change over the life of the transaction If more than one Lessee list the Lessee ID's comma delimited with primary Lessee first. Text/Numeric 100 All AL9 Mandatory static Lessee Legal Form / Business Type Core List Public Company (1) Limited Company (2) Partnership (3) Individual (4) Government Entity (5) No Data (ND) List 2 All AL10 Mandatory dynamic Group Company Identifier Core Text/Numeric Unique group company identifier Text/Numeric 100 All AL67 Mandatory dynamic Amortisation Type Lease Information List Amortisation type:
Annuity (1)
Linear (2)
French (3)
Fix Amortisation Schedule (4) Bullet (5)
Partial Bullet (6)
Revolving (7)
Other (8)
No Data (ND)
List 12 All
AL69 Mandatory dynamic Balloon Amount Lease Information Numeric The balloon payment amount 9(11).99 14 All AL72 Mandatory static Lease type Lease Information List Financial (1) Operational (2) Other (3) No Data (ND) List 12 All AL73 Mandatory static Current Securitised Residual Value Lease Information Numeric Amount of the most recent forecast residual value of the securitised asset 9(11).99 14 All

FCA 2026/XX
AL74 Mandatory static
Date of Current
Securitised
Residual
Value
Lease
Information
Date The date which the Current Securitised Residual Value was most recently updated. DD-MMYYYY 12 All AL80 Mandatory static Interest Rate Type Interest Rate Information List Interest rate type:
Floating rate Lease (for life) (1)
Floating rate Lease linked to SONIA, Euribor, BoE reverting to the Bank's standard variable rate (SVR), ECB reverting to Bank’s SVR (2) Fixed rate Lease (for life) (3) Fixed with future periodic resets (4) Fixed rate Lease with compulsory future switch to floating (5) Capped (6) Discount (7) Other (8) No Data (ND) List 2 All AL81 Mandatory dynamic Current Interest Rate Index Interest Rate Information List Current interest rate index (the reference rate off which the lease interest rate is set):
SONIA (1A)
1 month EURIBOR (2)
3 month EURIBOR (4)
6 month EURIBOR (6)
12 month EURIBOR (8)
BoE Base Rate (9) ECB Base Rate (10)
Standard Variable Rate (11) Other (12)
No Data (ND)
List 2 All
AL82 Mandatory dynamic Current Interest
Rate
Interest Rate
Information
Numeric Current interest rate (%). 9(4).9(8) 13 All AL83 Mandatory dynamic Current Interest Rate Margin Interest Rate Information Numeric Current interest rate margin (for fixed rate Leases this is the same as the current interest rate, for floating rate Leases this is the margin over (or under if input as a negative) the index rate. 9(4).9(8) 13 All AL90 Mandatory static Interest Reset Period Interest Rate Information List Annual (1) Semi-annual (2) Quarterly (3) Monthly (4) Not apply (5) Other (6) No Data (ND) List 12 All AL100 Optional static Turnover of Lessee Financial Information Numeric Annual turnover of the Lessee 9(10) 10 All AL115 Mandatory static Country of Asset Collateral Information List Follow ISO classification List 12 All AL116 Mandatory static Asset Manufacturer Collateral Information Text Name of the manufacturer Text 100 All AL117 Mandatory static Asset Name/Model Collateral Information Text Name of the asset/model Text 100 All

FCA 2026/XX
AL118 Mandatory static Year of
Manufacture /
Construction
Collateral
Information
Date Year of manufacture YYYY / ND 12 All
AL119 Mandatory static New or Used
Asset
Collateral
Information
List
Condition it went into the pool
New (1)
Used (2)
Demo (3)
List 12 All
AL120 Mandatory static Expected
Residual Value
Collateral
Information
Numeric Expected Residual Value of the Asset at the end of the Lease at the time the assets were securitised 9(11).99 14 All AL121 Mandatory static Asset Type Collateral Information List Auto Vehicles (1) Industrial Vehicles (2) Commercial Trucks (3) Rail Vehicles (4) Nautical Commercial Vehicles (5) Nautical Leisure Vehicles (6) Aeroplanes (7) Machine Tools (8) Industrial Equipment (9) Office Equipment (10) Medical Equipment (11) Energy Related Equipment (12) Commercial Building (13) Residential Building (14) Industrial Building (15) Energy Related Real Estate (16) IT Equipment (17) Other Vehicles (18) Other Equipment (19) Other Real Estate (20) List 12 All AL126 Mandatory static Original Valuation amount Collateral Information Numeric Latest asset valuation prior to securitisation 9(11).99 14 All AL127 Mandatory static Original Valuation type Collateral Information List Valuation type at origination:
Full (1)
Drive-by (2)
AVM (flag as AVM only if this type of valuation has been used for origination purposes) (3) Indexed (4) Desktop (5) Managing Agent / Estate Agent (6) Purchase Price (7) Hair Cut (8) Other (9) No Data (ND) List 12 All AL128 Mandatory static Original Valuation date Collateral Information date Date of latest asset valuation prior to securitisation. MM-YYYY 12 All AL129 Mandatory dynamic Updated Valuation amount Collateral Information Numeric Latest asset valuation 9(11).99 14 All

FCA 2026/XX
AL130 Mandatory dynamic Updated
Valuation type
Collateral
Information
List
Valuation type at most recent valuation date:
Full (1)
Drive-by (2)
AVM (flag as AVM only if this type of valuation has been used for origination purposes) (3) Indexed (4) Desktop (5) Managing Agent / Estate Agent (6) Purchase Price (7) Hair Cut (8) Other (9) No Data (ND) List 12 All AL131 Mandatory dynamic Updated Valuation date Collateral Information date Date of latest asset valuation. MM-YYYY 12 All AL140 Mandatory dynamic Account Status Performance Information List Current status of account: Performing (1) Arrears (2) Default or Foreclosure (3) Redeemed (4) Repurchased by Seller (5) Other (6) Restructured - No Arrears (7) Restructured - Arrears (8) No Data (ND) List 12 All AL142 Optional dynamic Date Last in Arrears Performance Information Date / ND Date the Lessee was last in arrears. If the Lessee is current the date they were last in arrears. DD-MMYYYY 12 All AL143 Mandatory dynamic Arrears Balance Performance Information Numeric Current balance of arrears. Arrears defined as: Total payments due to date LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. 9(11).99 14 All AL144 Mandatory dynamic Number Months in Arrears Performance Information Numeric Number of months this Lease is in arrears (at pool cut off date) according to the definition of the issuer. 9(10) 10 All AL149 Mandatory dynamic Sale Price Performance Information Numeric Price achieved on sale of asset in case of foreclosure. 9(11).99 14 All AL150 Mandatory dynamic Loss on Sale Performance Information Numeric Total loss 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. 9(11).99 14 All AL151 Mandatory dynamic Cumulative Recoveries Performance Information Numeric Cumulative recoveries – only relevant for cases with losses. 9(11).99 14 All AL156 Mandatory dynamic Default or Foreclosure on the Lease per the transaction definition Performance Information Y / N Whether there has been a default or foreclosure on the Lease per the transaction definition. Y / N / ND 12 All AL157 Mandatory dynamic Default or Foreclosure Performance Information Y / N / ND Whether there has been a default or foreclosure on the Lease per Basel III definition. Y / N / ND 12 All

FCA 2026/XX on the Lease per
Basel III definition
AL158 Mandatory dynamic Reason for
Default (Basel III definition)
Performance
Information
List
Using Basel III Definition Reason for default: Bankruptcy / Insolvency (1) Failure to Pay (2) Breach of Terms (3) Other (4) No Data (ND) List 12 All AL159 Mandatory dynamic Default Date Performance Information Date Date the Lease defaulted per the transaction default definition. DD-MMYYYY 12 All AL160 Mandatory dynamic Default Amount Performance Information Numeric Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. 9(11).99 14 All AL163 Optional dynamic Recovery Source Performance Information List The source of the recoveries: Liquidation of Collateral (1) Enforcement of Guarantees (2) Additional Lending (3) Cash Recoveries (4) Mixed (5) Other (6) No Data (ND) List 12 All AL166 Mandatory dynamic Allocated Losses Performance Information Numeric The allocated losses to date. 9(11).99 14 All AL167 Optional dynamic Redemption Date Performance Information Date Date on which account redeemed. DD-MMYYYY 12 All AL199 Optional dynamic Voluntary Termination? Termination Information Y / N / ND Was the lease be terminated voluntarily? Y / N / ND 12 UK only AL200 Optional dynamic VT Date Termination Information Date Voluntary Termiation Date DD-MMYYYY 12 UK only AL201 Optional dynamic VT Amount Termination Information Numeric Outstanding Balance as of Termination Date 9(11).99 14 UK only AL202 Optional VT Sale Date Termination Information Date Date of sale of asset returned in case of voluntary termination of contract. DD-MMYYYY 12 UK only AL203 Optional dynamic VT Sale Price Termination Information Numeric Price achieved on sale of asset in case of voluntary termination of contract. 9(11).99 14 UK only AL204 Optional dynamic VT Loss on Sale Termination Information Numeric Total loss net of fees, accrued interest etc. after application of sale proceeds in case of voluntary termination of contract. 9(11).99 14 UK only AL215S ECN Mandatory Static Securitisation unique identifier Securitisation Information Text/Numeric The unique identifier assigned by the reporting entity in accordance with SECN
11.12. The reporting entity must not amend this unique
identifier.
For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/Numeric 28 All AL216S ECN Mandatory Static Originator Name Securitisation Information Text/Numeric Give the full legal name of the underlying exposure originator, involved in the securitisation. Where applicable, the name Text/Numeric 100 All

FCA 2026/XX entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. AL217S ECN Mandatory Static Originator Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. Text/Numeric 20 All AL218S ECN Mandatory Static Originator Establishment Country Securitisation Information List Country where the underlying exposure originator is established. Text/Numeric 50 All AL219S ECN Mandatory Static Original Lender Name Securitisation Information Text/Numeric Give the full legal name of the original lender. Where applicable, the name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Text/Numeric 100 All AL220S ECN Mandatory Static Original Lender Legal Entity Identifier Securitisation Information Text/Numeric Where applicable, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Text/Numeric 20 All AL221S ECN Mandatory Static Original Lender Establishment Country Securitisation Information List Country where the original lender is established. Text/Numeric 50 All AL222S ECN Mandatory Static Credit Impaired Obligor (STS only) Securitisation Information Y / N / ND Confirm that at the time that this underlying exposure was selected for transfer to the SSPE, the exposure met the criteria set out in SECN 2.2.12R(2) and SECN 2.2.12R(3) regarding exposures in default, exposures to a creditimpaired debtor or guarantor and exposures which have undergone a debt restructuring process. Y / N / ND 2 All AL223S ECN Mandatory Static Number Of Payments Before Securitisation Securitisation Information Numeric Enter the number of payments made prior to the exposure being transferred to the securitisation. 9(3) 12 All AL224S ECN Mandatory dynamic Date Of Restructuring Performance information Date / ND 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. DD-MMYYYY / ND 10 All AL225S ECN Mandatory dynamic Cumulative Prepayments Performance information Numeric Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date 9(11).99 14 All AL226S ECN Mandatory static Financial Statement Currency Financial Information List The reporting currency of the financial statements. List 3 All

FCA 2026/XX
SECN 11 Annex 9 is deleted in its entirety. The deleted text is not shown but the
annex is marked [deleted] as shown below.
Underlying exposures information – Esoteric [deleted]
Annex 9
SECN 11 Annex 10 is deleted in its entirety and replaced with the following. The text is not underlined. [Editor’s note: the form that currently forms part of SECN 11 Annex 10 is to be marked as ‘superseded’.] 11 Underlying exposures information – Add-on for nonAnnex performing exposures 11 R [Editor’s note: insert link to document containing ‘Underlying
Annex exposures information - Add-on for non-performing
10 exposures’.]

FCA 2026/XX
Field number
Priority TAG Field Name Category Data Type Field Definition & Criteria Date type/format Maximum Length NP1 Mandatory Static Securitisation Unique Identifier Securitisation Information Text/Numeric The unique identifier assigned by the reporting entity in accordance with SECN
11.12. The reporting entity must not amend this unique
identifier.
For example, for a Non-ABCP securitisation the unique identifier is composed of the following elements: [LEI of reporting entity+N+year of first issuance under the securitisation+[01, 02, 03, etc.]]. Text/Numeric 28 NP2 Mandatory Static Loan Identifier Loan Information Text/Numeric Unique loan 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. This entry must match the loan identifier field in the accompanying underlying exposures template being completed for this specific underlying exposure. Text/Numeric 50 NP3 Mandatory Static Obligor Identifier Loan Information Text/Numeric 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. This entry must match the obligor or borrower identifier field in the accompanying underlying exposures template being completed for this specific underlying exposure. Text/Numeric 50 NP4 Mandatory Dynamic Pool Cut-Off Date Loan Information Date Pool or portfolio cut-off date. DD-MM-YYYY 10 NP5 Mandatory Dynamic In Receivership Loan Information Y / N / ND Indicator as to whether the obligor is in receivership Y / N / ND 2 NP6 Mandatory Dynamic Date of Last Contact Loan Information Date Date of last direct contact with the obligor DD-MM-YYYY 10 NP7 Mandatory Dynamic Deceased Loan Information Y / N / ND Indicator as to whether the obligor has passed away Y / N / ND 2

FCA 2026/XX
The type of legal status of the obligor.
Listed Corporate is a corporate entity whose shares are quoted and traded on a stock exchange (LCRP) NP8 Mandatory Static Legal status of obligor Loan Information List Unlisted Corporate is a corporate entity whose shares are not quoted and traded on a stock exchange, however an unlisted corporate may have an unlimited number of shareholders to raise capital for any commercial venture (UCRP) Listed Fund is a fund whose shares are quoted and traded on a stock exchange (LFND) List 4 Unlisted Fund is a fund whose shares are not quoted and traded on a stock exchange (UFND) Partnership is where the sponsor constitutes a group of individuals who form a legal partnership, where profits and liabilities are shared (PSHP) Private Individual (INDV) NP9 Mandatory Dynamic Legal Procedure Type Loan Information List Type of the insolvency process the obligor is currently in:
Corporate Restructuring Procedure, which also includes funds (CPRR) Corporate Insolvency Procedure, which also includes funds (CPRI) Private Individual Obligor Debt Compromise Procedure (PRCM) Private Individual Obligor Insolvency Procedure (PRIP) Partnership Restructuring Procedure (PRTR) Partnership Insolvency Procedure (PRIS) Other (OTHR) List 4 NP10 Mandatory Dynamic Legal Procedure Name Loan Information Text/ Numeric Name of the legal procedure which provides an indication of how advanced the relevant procedure has become, depending on the country where the obligor is located. Text/Numeric 1000 NP11 Mandatory Dynamic Legal Actions Completed Loan Information Text/ Numeric Description of the legal actions completed for the obligor. Text/Numeric 1000 NP12 Mandatory Static Date of Entering Into Current Legal Process Loan Information Date Date that the obligor entered into their current legal procedure. DD-MM-YYYY 10

FCA 2026/XX
NP13 Mandatory Static Date of Insolvency
Practitioner
Appointment
Loan
Information Date Date that the insolvency practitioner was appointed. DD-MM-YYYY 10 NP14 Mandatory Dynamic Number of Current Judgements Loan Information Numeric Number of outstanding court enforcement orders against the obligor. 9(4) 5 NP15 Mandatory Dynamic Number of Discharged Judgements Loan Information Numeric Number of discharged court enforcement orders against the obligor. 9(4) 5 NP16 Mandatory Static Date when Demand Notice was issued Loan Information Date Date that a demand notice was sent by solicitors who act on behalf of the Institution DD-MM-YYYY 10 NP17 Mandatory Static Date when Reservation of Rights Letter Was Issued Loan Information Date Date that the reservation of rights letter was issued by the Institution DD-MM-YYYY 10 NP18 Mandatory Static Court Jurisdiction Loan Information List Location of the court where the case is being heard Text/Numeric 50 NP19 Mandatory Static Date of Obtaining Order for Possession Loan Information Date Date that the order for possession is granted by the court DD-MM-YYYY 10 NP20 Optional Dynamic Comments on Other Litigation Related Process Loan Information Text/ Numeric Further comments or details if there are other litigation processes in place Text/Numeric 1000 NP21 Mandatory Static Governing Law Loan Information List Jurisdiction governing the loan agreement. This does not necessarily correspond to the country where the loan was originated. Text/Numeric 50 NP22 Mandatory Static Bespoke Repayment Description Loan Information Text/ Numeric Description of the bespoke repayment profile when "Other" is selected in field "Amortisation Type" or "Payment Type" or "Repayment Method" Text/Numeric 1000 NP23 Mandatory Static Start Date of Interest Only Period Loan Information Date Date that the current interest repayment only period starts. DD-MM-YYYY 10 NP24 Mandatory Static End Date of Interest Only Period Loan Information Date Date that the interest repayment only period ends. DD-MM-YYYY 10 NP25 Mandatory Static Start Date of Current Fixed Interest Period Loan Information Date Date that the current fixed interest period started. DD-MM-YYYY 10 NP26 Mandatory Static End Date of Current Fixed Interest Period Loan Information Date Date that the current fixed interest period ends. DD-MM-YYYY 10 NP27 Mandatory Static Current Reversion Interest Rate Loan Information Numeric Current level of reversion interest rate according to the loan agreement. 9(4).9(8) 13 NP28 Mandatory Static Last Payment Date Loan Information Date Date that the last payment was made DD-MM-YYYY 10 NP29 Optional Static Syndicated Portion Loan Information Numeric Percentage of the portion held by the Institution when "Yes" is selected in the field named "Syndicated" in the applicable
Annex for the non-performing
exposure.
9(4).9(8) 13
NP30 Optional Dynamic MARP Entry Loan
Information
Date Date loan entered current MARP status DD-MM-YYYY 10

FCA 2026/XX
NP31 Optional Dynamic
MARP Status Loan
Information
List
The status of the current Mortgage Arrears Resolution Process:
Not in MARP (NMRP)
Exited MARP (EMRP)
Provision 23, 31 days in arrears (MP23) Provision 24, Financial difficulty (MP24) Provision 28, Not co-operating warning (MP28) Provision 29, Not co-operating (MP29) Provision 42, Restructure offer (MP42) Provision 45, Restructure declined by seller (MP45) Provision 47, Restructure declined by borrower (MP47) Self-Cure (MPSC) Alternative Repayment Arrangement (MPAR) Other (OTHR) List 4 NP32 Mandatory Static External Collections Level Loan Information Y / N / ND Indicator as to whether the external collections have been prepared on an obligor level or at loan level Y / N / ND 2 NP33 Mandatory Static Repayment Plan Loan Information Y / N / ND Indicator as to whether a repayment plan has been agreed with the external collection agency Y / N / ND 2 NP34 Mandatory Static Forbearance Level Loan Information Y / N / ND Indicator as to whether forbearance has been prepared on an obligor level or at loan level Y / N / ND 2 NP35 Mandatory Static Date of First Forbearance Loan Information Date Date that the first forbearance happened DD-MM-YYYY 10 NP36 Mandatory Dynamic Number of Historical Forbearance Loan Information Numeric Number of forbearance(s) that happened in the past 9(4) 5 NP37 Mandatory Static Principal Forgiveness Loan Information Numeric Amount of the principal that was forgiven as part of current forbearance, including principal forgiveness agreed by external collection agencies 9(11).99 14 NP38 Mandatory Static Date of Principal Forgiveness Loan Information Date Date that the principal forgiveness happened DD-MM-YYYY 10 NP39 Mandatory Static End Date of Forbearance Loan Information Date Date that the current forbearance arrangement ends DD-MM-YYYY 10 NP40 Mandatory Static Repayment Amount Under Forbearance Loan Information Numeric Periodic repayment amount that the Institution and obligor agreed under the current forbearance terms 9(11).99 14

FCA 2026/XX
NP41 Mandatory Static Collateral Identifier Collateral Information Text/Numeri c The unique identifier assigned to the collateral or guarantee. The reporting entity must not amend this unique identifier. This entry must match the collateral or property identifier field in the accompanying underlying exposures template being completed for this specific collateral item. Text/Numeric 50 NP42 Mandatory Static VAT Payable Collateral Information Numeric The percentage of VAT payable on the disposal of the Unit 9(4).9(8) 13 NP43 Mandatory Dynamic Percentage Complete Collateral Information Numeric The percentage of development completed since construction started. 9(4).9(8) 13 NP44 Mandatory Dynamic Enforcement Status Collateral Information Y / N / ND Status of the enforcement process that the collateral is currently in as at cut-off date, e.g. if it is in receivership Y / N / ND 2 NP45 Mandatory Dynamic Enforcement Status Third Parties Collateral Information Y / N / ND Have any other secured creditors have taken steps to enforce security over the asset? Y / N / ND 2 NP46 Mandatory Dynamic Mortgage Amount Assigned Collateral Information Numeric Total amount of the mortgage assigned to the property collateral. 9(11).99 14 NP47 Mandatory Dynamic Higher Ranking Underlying Exposure Collateral Information Numeric Amount of higher ranking or higher lien debt secured against the collateral that is not held by the Institution and does not form a part of the pool. 9(11).99 14 NP48 Optional Dynamic Enforcement Description Collateral Information Text/Numeri c Comments or description of the stage of enforcement Text/Numeric 1000 NP49 Mandatory Static Court Appraisal Amount Collateral Information Numeric Court appraisal amount of the property or collateral 9(11).99 14 NP50 Mandatory Static Date of Court Appraisal Collateral Information Date Date that the court appraisal happened DD-MM-YYYY 10 NP51 Mandatory Dynamic On Market Price Collateral Information Numeric Price of the property or collateral for which it is on the market 9(11).99 14 NP52 Mandatory Dynamic Offer Price Collateral Information Numeric The highest price offered by potential buyers 9(11).99 14 NP53 Mandatory Static Prepare Property for Sale Date Collateral Information Date Prepare property or collateral for sale date DD-MM-YYYY 10 NP54 Mandatory Static Property on Market Date Collateral Information Date Collateral on market date, i.e. the date when the collateral is advertised and marketed for sale. DD-MM-YYYY 10 NP55 Mandatory Static On Market Offer Date Collateral Information Date On market offer date DD-MM-YYYY 10 NP56 Mandatory Static Sale Agreed Date Collateral Information Date Sale agreed date DD-MM-YYYY 10 NP57 Mandatory Static Contracted Date Collateral Information Date Contracted date DD-MM-YYYY 10 NP58 Mandatory Static First Auction Date Collateral Information Date Date that the first auction has been performed in order to sell the property or DD-MM-YYYY 10

FCA 2026/XX collateral
NP59 Mandatory Static
Court Auction Reserve
Price for First Auction
Collateral
Information
Numeric
Court set reserve price for first auction, i.e. minimum price required by the court 9(11).99 14 NP60 Mandatory Dynamic Next Auction Date Collateral Information Date Date that the next intended auction has been performed in order to sell the property or collateral DD-MM-YYYY 10 NP61 Mandatory Static Court Auction Reserve Price for Next Auction Collateral Information Numeric Court set reserve price for next auction, i.e. minimum price required by the court 9(11).99 14 NP62 Mandatory Static Last Auction Date Collateral Information Date Date that the last auction was performed in order to sell the property or collateral DD-MM-YYYY 10 NP63 Mandatory Static Court Auction Reserve Price for Last Auction Collateral Information Numeric Court set reserve price for last auction, i.e. minimum price required by the court 9(11).99 14 NP64 Mandatory Dynamic Number of Failed Auctions Collateral Information Numeric Number of failed previous auctions for the property or collateral 9(4) 5 NPH1 Mandatory Static Securitisation Unique Identifier Historical Collections Information Text/Numeri c Report the same unique identifier here as the one entered into field NP1. Text/Numeric 28 NPH2 Mandatory Static Loan Identifier Historical Collections Information Text/Numeri c Unique loan identifier. This must match the identifier in field NP2. The reporting entity must not amend this unique identifier. Text/Numeric 50 NPH[3-38] Mandatory Dynamic Legal Unpaid Balance at month n Historical Collections Information Numeric History of total legal unpaid balance in the thirty-six months previous to the pool cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPH3 and end with the oldest month in NPH38. 9(11).99 14 NPH[39-74] Mandatory Dynamic History of Past-Due Balances at month n Historical Collections Information Numeric History of total past-due balance in the thirty-six months previous to the pool cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPH39 and end with the oldest month in NPH74. 9(11).99 14 NPH[75- 110] Mandatory Dynamic History of Repayments

Not from collateral
sales at month n
Historical
Collections
Information
Numeric
Repayment made by the obligor in the thirty-six months previous to the pool cut-off date, excluding collateral sales, including collections by external collection agencies, each monthly amount reported in a separate field. Start with the most recent month in field NPH75 and end with the oldest month in NPH110. 9(11).99 14

FCA 2026/XX
NPH[111-
146]
Mandatory Dynamic
History of Repayments

From collateral sales
at month n
Historical
Collections
Information
Numeric
Repayment made by the collateral disposal in the thirty-six months previous to the pool cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPH111 and end with the oldest month in NPH146. 9(11).99 14

FCA 2026/XX
SECN 11 Annex 11 to SECN 11 Annex 15 are deleted in their entirety. The deleted text is not shown but the annexes are marked [deleted] as shown below.
Annex
Underlying exposures information – asset-backed commercial paper [deleted]
Annex
Investor report information – Non-asset backed commercial paper securitisation [deleted]
Annex
Investor report information – Asset backed commercial paper securitisation [deleted]
Annex
Inside information or significant event information – Non-asset backed commercial paper securitisation [deleted]
Annex
Inside information or significant event information – Asset backed commercial paper securitisation [deleted] SECN 12 is deleted in its entirety. The deleted text is not shown but the chapter is marked [deleted] as shown below. Format and standardised templates for making available the information and details of a securitisation [deleted] Amend the following as shown. Sch 1 Recordkeeping requirements … Sch 1.2 G It is not a complete statement of those requirements and should not be relied on as if it were. Handbook reference Notifier Matter to be notified … … … SECN 2.5.4R Originator and sponsor That a securitisation no longer meets STS criteria

FCA 2026/XX
SECN 9.5.4R(8) Securitisation repository
That the information submitted to a securitisation repository is incomplete or inconsistent That the securitisation repository has not received written confirmation from the reporting entity that all required information about the securitisation has been provided to the securitisation repository SECN 9.6.9D(6) Securitisation repository Any planned material changes to the applicant’s information technology systems, before their implementation SECN 9.6.22D(3) Securitisation repository Any breaches in the applicant’s physical and electronic security measures 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 Sch 2 Notification requirements … Sch 2.2 G It is not a complete statement of those requirements and should not be relied on as if it were. Handbook reference Notifier Matter to be notified … … … SECN 2.5.4R Originator and sponsor That a securitisation no longer meets STS criteria SECN 9.5.4R(8) Securitisation repository That the information submitted to a securitisation repository is incomplete or inconsistent That the securitisation repository has not received written confirmation from the reporting entity that all required information about the securitisation has been provided to the securitisation repository SECN 9.6.9D(6) Securitisation repository Any planned material changes to the applicant’s information technology systems, before their implementation

FCA 2026/XX
SECN 9.6.22D(3) Securitisation repository
Any breaches in the applicant’s physical and electronic security measures 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 Sch 3 Fees and other requirement payments payment requirements … Sch 3.2 G The provisions relating to fees payable in respect of securitisation repositories are set out in FEES 3.2.7R (Table of application, notification, vetting and other fees payable to the FCA), FEES 3 Annex 13R (Fees payable for registration as a credit rating agency, trade repository or securitisation repository), FEES 4.2.11R (Table of periodic fees payable to the FCA) and FEES 4 Annex 16R (Periodic fees for credit rating agencies, trade repositories and securitisation repositories). [deleted] …

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Website: www.fca.org.uk
All rights reserved
Pub ref: 1-008485
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CP26/6: Rules for reforming the UK Securitisation Framework

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