PS24/4: Rules relating to Securitisation

Policy Statement
PS24/4
Rules Relating to Securitisation Feedback to CP23/17 and final rules April 2024

This relates to
Consultation Paper 23/17 which is available on our website at www.fca.org.uk/publications Email:
cp23-17@fca.org.uk
Contents

Introduction 3
Summary 6
Approach to rules 12
Due diligence requirements for institutional
investors 16
Risk retention 22
Other measures 28
Cost benefit analysis (CBA) 37
Annex 1
List of respondents 39
Annex 2
Securitisation Sourcebook (SECN) 2024 – Derivation and Changes Table 40
Annex 3
Abbreviations used in this paper 57
Appendix 1
Made rules (legal instrument)
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Chapter 1
Introduction
1.1 As part of the repeal and replacement of assimilated law (i.e., retained European Union
(EU) law) under the Smarter Regulatory Framework (SRF), most firm-facing provisions of the UK Securitisation Regulation (UK SR) will be set out in the FCA and the Prudential Regulation Authority (PRA) rulebooks, while other provisions are restated in domestic legislation by His Majesty’s Treasury (the Treasury).
1.2 In CP23/17: Rules Relating to Securitisation (CP23/17), we set out our proposed rules for
the securitisation market in the United Kingdom. Our approach was to largely preserve the relevant requirements of the UK SR. However, we also proposed targeted policy changes that had been identified following feedback received from our engagement with market participants and the outcomes of HM Treasury’s 2021 Review of the Securitisation Regulation: Report and call for evidence response (Treasury Review).
1.3 In this policy statement, we summarise the feedback received on our proposals and
set out our response to it. We outline the final approach to our rules and highlight where we have made corrections and technical adjustments brought to our attention by respondents. Where appropriate, we set out the rationale for these amendments in the relevant chapters below. This policy statement also contains the final Securitisation Sourcebook (SECN). As was the case in the draft rules, all previous Technical Standards and annexes related to UK SR are also set out, to the extent retained, in SECN as rule requirements. Who this affects
1.4 This policy statement will affect:

authorised firms that are involved in securitisation markets either as institutional
investors or as manufacturers (i.e., original lender, originator, sponsor and/or (as appropriate) Securitisation Special Purpose Entity (SSPE) of securitisations)
unauthorised entities acting as an original lender, originator or SSPE of a
securitisation subject to the UK SR
sellers of securitisation positions to retail clients
individuals holding offices or positions involving responsibility for taking
management decisions at firms involved in securitisation markets
persons applying to be Third Party Verifiers (TPVs)
Securitisation Repositories (SRs) as well as those applying to be SRs
1.5 Retail clients may be exposed to securitisations directly or indirectly through their
pension funds or investment funds. We have made rules to replicate the UK SR position for selling securitisation positions to retail clients.

How to read this policy statement
1.6 In each of the following chapters we describe the changes proposed in CP23/17. We
summarise the feedback received from respondents and set out our response to those comments. Finally, we outline any changes we have made to our proposals in response to the feedback received.
1.7 At the end of each chapter, where we have received comments that did not focus
on the specific policy changes proposed in CP23/17, we have provided a summary of these comments without providing any further specific feedback. The comments are summarised under the heading titled “Other areas of feedback”. These comments may inform future policy development, including for the purposes of our planned second consultation, as described in the Regulatory Initiatives Grid. In CP23/17, we had included a discussion chapter on the definition of public and private securitisation for which we received feedback. We are not proposing to summarise the responses in this policy statement, but the feedback received will be considered further and will inform our future consultation which will propose changes to our rules where appropriate.
1.8 CP23/17 was published broadly in parallel with the PRA’s consultation, CP15/23
Securitisation – general requirements, replacing relevant firm facing provisions in the UK SR and related technical standards with PRA rules. Accordingly, readers of this policy statement may be interested in reading the PRA’s policy statement, PS7/24 Securitisation-General Requirements Policy Statement. Readers of this policy statement may also want to refer to the Securitisation Regulations 2024 (SR 2024) which has restated some provisions of the UK SR in legislation. Readers will also note that the draft Securitisation (Amendment) Regulation 2024 laid in Parliament on 22 April 2024 amends SR 2024. Structure of this policy statement
1.9 In Chapter 2, we set out the wider context behind our changes and outline how
our changes link to our primary objectives and our new secondary international competitiveness and growth objective (SICGO). We also highlight our proposal for an extension of the implementation period.
1.10 In Chapter 3, we address our general approach to rules. We consider responses and
explain the changes we have made to our rule drafting, how we have incorporated certain recitals from the EU Securitisation Regulation (EU SR) and address our broader approach to EU non-legislative materials, recitals, and waivers.
1.11 In Chapter 4, we explain the changes we have made in relation to the due diligence
requirements for institutional investors and summarise feedback received. In particular, we focus on changes regarding the concept of ‘pricing’, but we also clarify our approaches to due diligence regarding Simple, Transparent and Standardised (STS) securitisations, delegation of due diligence requirements, due diligence requirements in relation to Asset-Backed Commercial Paper (ABCP), along with a clarificatory point in relation to waivers and modifications.

1.12 Chapter 5 deals with our changes regarding risk retention provisions. In this chapter, we
consider responses relating to our key proposals on risk retention and outline further points of feedback we received.
1.13 Chapter 6 outlines changes in a number of areas including, but not limited to, geographical
scope, the criteria for homogeneity in STS securitisations and credit granting criteria. We also summarise additional areas of feedback not addressed in our consultation.
1.14 Finally, in Chapter 7, we consider responses and any further potential implications
relating to our cost benefit analysis (CBA) from CP23/17.

Chapter 2
Summary
The wider context of this policy statement Our consultation
2.1 In August 2023, we published CP23/17, which outlined the proposed rules in our
Handbook that replace the firm-facing provisions from the UK SR.
2.2 In addition to the transfer of those provisions into our Handbook, we consulted on rules to:

Clarify what kind of information UK institutional investors require to fulfil their due
diligence obligations;
Amend and clarify risk retention provisions, with particular reference to changes to
facilitate non-performing exposure (NPE) securitisation;
Clarify that in certain circumstances where an institutional investor instructs a
managing party to fulfil any of its due diligence obligations, only the managing party and not the delegating party would be responsible for any failure to comply with the relevant obligation;
Make a number of clarificatory changes to other areas of the regulation based on
market feedback, such as the geographical scope of the UK SR and the criteria for homogeneity in STS securitisations; and
As part of our consultation, we also included a discussion chapter which sought
views from respondents on an alternative definition of public and private securitisations but did not put forward any policy proposals. We indicated that we would consider the feedback before consulting on a new definition as well as changes to the associated disclosure templates.
2.3 On 16 October 2023, we published an addendum to CP23/17. In this addendum, we
adjusted the draft Handbook text as published in Appendix 1 of CP23/17. This did not represent a material change to our policy intention, rather, it addressed an issue we identified in the draft Handbook text.
2.4 The primary aim of the policy proposals outlined in CP23/17 was to transfer the largely
preserved firm facing requirements of the UK SR to our Handbook and bring clarity to a targeted number of provisions of the UK SR. At a later stage we intend that our second consultation will have a broader remit for policy change, including a review of the reporting regime.
2.5 Further, we are conducting an exercise to deal with gender references in our entire
Handbook which we will consult on. The gendered references in SECN are all contained within SECN 11 Annexes. Therefore, recognising the potential cost implication of changing those annexes several times, we will consult on removing the gendered language as part of our second consultation on the rules relating to securitisation.

What we are changing in response to the consultation Summary of feedback and our response
2.6 We received and considered 12 responses to CP23/17. Those responses were from
trade associations, individual market participants, and regulated SRs (see Annex 1). We received two further responses considerably after the consultation period closed, these responses are not summarised in this policy statement. We thank those who responded to our consultation, and we look forward to continuing the engagement with market participants and trade associations that has underpinned our approach so far.
2.7 We received feedback on a number of points that did not specifically relate to the policy
changes proposed in CP23/17. Some of the feedback received was relevant to the legislation, for example the definition of a “securitisation”, or matters which are more appropriately covered in legislation post-SRF (e.g., deference to overseas regimes). Other areas of feedback were in relation to aspects of our rules that we had not proposed changing at this stage.
2.8 This additional feedback will not be directly addressed in this policy statement, as any
new policy proposals will need to be consulted on to seek the views of the wider market. However, the feedback, alongside further engagement with market participants, will inform our policy development in the future. In that context, we note the plans we have for a second consultation, in which we will propose further changes to our rules where appropriate.
2.9 Overall, the feedback we received on our policy proposals was broadly positive.
Respondents welcomed our policy approach for increased proportionality of our rules, especially in our due diligence requirements and our adjustments to risk retention requirements for NPEs.
2.10 Respondents also requested a number of changes and clarifications relevant to the
policy changes. These included, for example, requests for:

A delay to the implementation date;
Transitional provisions in relation to securitisations which were set up prior to the
implementation of the proposed new rules (“pre-implementation securitisations”);
Better alignment between FCA and PRA rules;
Clarification of the status of recitals and EU non-legislative materials;
Clarification about whether it is possible for a UK institutional investor to delegate
its due diligence to another investor, which is not an “institutional investor”;
Clarification of the interaction between transparency requirements and
requirements relating to confidentiality and processing of personal data; and
Fine-tuning of the new due diligence and transparency rules.
2.11 We discuss these areas of feedback in further detail in the relevant chapters below.

What we are changing in response to the consultation
2.12 Following the feedback to CP23/17, we consider it appropriate to make some
amendments to the policy proposals we consulted on. Below we outline the changes that are most material.
2.13 We have:

allowed for a 6-month period between publication of this policy statement and the
implementation date for the new rules;
added transitional provisions for pre-implementation securitisations which broadly
preserve their treatment under the pre-SRF framework;
broadly aligned FCA and PRA rule drafting;
clarified the meaning of “before pricing” in the due diligence, transparency, and STS
requirements;
adjusted the due diligence requirements for secondary market investors in relation
to disclosures made by manufacturers;
clarified that it is possible for a UK institutional investor to delegate its due
diligence to another investor, which is not a “managing party” as defined for purposes of SECN so long as the institutional investor retains the responsibility for compliance with the due diligence requirements as specified in our rules;
clarified the prohibition on hedging of the material net interest required to be
retained under the risk retention requirements;
clarified that there is no need for risk retention in relation to securitisations of own
liabilities (e.g., own issued covered bonds) ); and
incorporated a new rule which is similar to the cooperation requirement outlined in
PRIN 11 (Relations with regulators).
2.14 We have considered the impact of the changes set out above on the CBA in CP23/17,
please see Chapter 7 for further detail on these considerations. How it links to our objectives
2.15 For the most part, we do not consider that the changes outlined in this policy statement
materially impact the analysis of the interaction between our proposals in CP23/17 and our statutory objectives.
2.16 However, we have updated our analysis in light of the changes we have made in this
policy statement:
Investor Protection:
Our rules on risk retention are designed to align the interests of the manufacturers
with those of the investors. They clarify and amend some provisions to make their application more consistent and robust. Clear requirements will support appropriate implementation of key protections for the investors. Our rules also seek to balance investor protection with access to a potential wider range of investment opportunities by focusing on ensuring sufficient and timely disclosures that allow investors to adequately assess their risks and make informed investment decisions.

Market Integrity:

Our changes aim to bring a greater level of clarity and improvement to our
rules. This, in turn, will help strengthen the functioning and integrity of the UK securitisation market. Transitional provisions will enhance the proportionality of the regime, by reducing adjustment costs for participants in pre-implementation securitisations. Finally, the choice we made to align our rule drafting with the PRA will also improve the coherence and uniformity of the regulatory regime. Competition:
As we highlighted in CP23/17, a clearer and more proportionate regulatory
framework supports competition, and the changes we have made in finalising our rules should facilitate this. SICGO:
As outlined in CP23/17, the primary aim of our final rules is to remove unnecessary
barriers to the issuance of – and investment in – securitisations and to reduce ambiguity within the rules, while maintaining appropriate and proportionate protections in the current regulatory framework. Clear and proportionate rules in this market support growth and help increase the market’s competitiveness because they help maintain market stability through appropriate management of, and sufficient transparency on, related risks. Market stability protects investors, consumers and builds confidence in UK financial markets and institutions. This, in turn, provides a stable platform for increasing investment in the UK, which increases productivity, market size and depth.
2.17 In drafting our rules, we also took into consideration the new requirement to ‘have
regard’ to the coherence of the securitisation regulatory framework which is specified in the SR 2024. As part of CP23/17, we co-ordinated closely with the PRA on our approach to the replacement of relevant firm-facing provisions in the UK SR to ensure alignment of the policy proposals that we consulted upon. Following the feedback received from market participants the FCA and PRA are now closely aligning the drafting of our rules, in shared areas, to reinforce the coherence of the regulatory framework in line with the ‘have regard’ requirements. Outcomes we are seeking
2.18 As described in CP23/17, the outcomes we are seeking from our policy changes are:
to make the UK SR more proportionate;
to remove barriers to the issuance of, and investment in, securitisations;
to implement such proposals while maintaining appropriate protections for
investors and with as minimal additional regulatory and operational cost upon impacted firms as is possible; and
to provide a clearer framework within which the market can operate.

Measuring success
2.19 The Rule Review Framework had not been implemented at the time of our initial
consultation. We intend to monitor the rules as per the details provided under the measuring success section of CP23/17.
2.20 While regulation is not necessarily a key driver in origination/investment choices by
manufacturers and investors in securitisations, we recognise that macro-economic and other factors have significant impacts on securitisation market trends. Over time, we aim to consider the impact of our changes by monitoring the size and breadth of the UK securitisation market and the investments UK institutional investors make.
2.21 Further to monitoring the levels of new issuance in the securitisation market, we will
continue to assess whether the securitisation market adequately balances the needs of the originators/sponsors with the protection of investors.
2.22 Other measures of success include an increase in perceived effectiveness of our role and
impact in regulation of the wholesale markets and other metrics as described in our Annual Report published metrics. One aim of the SRF is to facilitate a more agile UK regulatory framework by handing over responsibility for firm-facing requirements to the regulators. Environmental, social & governance (ESG) considerations
2.23 In developing this policy statement, we have considered the ESG implications of our
proposals and our duty under ss. 1B (5) and 3B(c) of the Financial Services and Markets Act 2000 (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. Equality and diversity considerations
2.24 We have considered the equality and diversity issues that may arise from the proposals
in this policy statement.
2.25 Overall, we do not consider that the proposals materially impact any of the groups with
protected characteristics under the Equality Act 2010. Implementation and next steps Implementation period
2.26 As mentioned previously, some respondents to CP23/17 requested a 6-month
implementation period in order to provide market participants with more time to

prepare before our final rules come into force. Respondents emphasised the need to familiarise themselves with the changes and conduct reviews of the new rules to determine how they interact with internal systems, processes, and procedures.
2.27 Having considered this request, the FCA, together with the PRA and the Treasury
(for the purposes of SR 2024), have decided on an implementation date for the FCA and PRA rules of 1 November 2024, 6-months after the publication of this policy statement, subject to the revocation of the UK SR and related technical standards. The commencement order that will bring into force the revocation of the UK SR and related technical standards has not yet been laid. The Treasury anticipates making this commencement order later this year once the Securitisation (Amendment) Regulations 2024 come into force. We will consider delaying or revoking these rules if the commencement order is not made.
2.28 We expect that our updated approach to rule drafting, which will ensure the increased
alignment of wording in shared areas between the FCA and the PRA, will mitigate difficulties faced by market participants in familiarising themselves with the rules. What you need to do next
2.29 From 1 November 2024 onwards, you will need to ensure that you comply with our new
requirements and that you have updated your internal procedures. You should therefore ensure that sufficient measures are taken to facilitate familiarisation with our new requirements and the new format of the updated regulatory framework as the firmfacing requirements are transferred into the FCA Handbook and PRA Rulebook. What we will we do next
2.30 As stated in the Regulatory Initiatives Grid, we and the PRA plan to consult on further
changes to our securitisation rules in Q4 2024/Q1 2025 although timings are potentially subject to change. In this second consultation, we plan to review the definition of public and private securitisations and the associated reporting regime, amongst other areas for policy consideration. Any potential changes would aim to make the reporting regime more proportionate. When undertaking our review of the reporting regime, we will also consider enhancing ESG reporting. The feedback provided in response to CP23/17, alongside further engagement with market participants, will inform our policy proposals.

Chapter 3
Approach to rules
3.1 In this chapter, we summarise the feedback received on our overall approach to the
rules. This includes stakeholder feedback on our approach to rule drafting, EU nonlegislative materials, treatment of recitals and our waiver provisions.
3.2 As outlined in CP23/17, while we have largely preserved the current requirements, some
of our amendments to the UK SR’s provisions were intended to effect substantive policy changes, in light of market feedback from the Treasury Review.
3.3 SR 2024 provides a new power for our designated activities rules to be suspended by
notice following consultation with the PRA (see reg 5(5) of SR 2024). Separately, SR 2024 further provides that our rules relating to designated activities may include provisions enabling requirements imposed by the rules to be dispensed with or modified in certain cases or circumstances (see reg 5(6) of SR 2024 and Chapter 13 of SECN). We asked:
Question 1: Do you have any comments about how we have incorporated provisions of the UK SR into our rules, apart from the provisions which have been the subject of policy change as described in this paper? Rule drafting approach
3.4 In CP23/17, we proposed amendments to the firm facing requirements from the UK
SR which did not affect policy changes, but which were intended to improve unclear drafting and ensure the wording followed Handbook style-drafting (HSD). In CP23/17 we also proposed that, at this stage, there will be no changes to the way firms populate or submit templates, as we are cognisant of the cost implications of any changes for firms. We note that, for the purposes of this policy statement, we do not intend to change our approach from CP23/17 on this matter. Feedback
3.5 While there was an understanding of our rule drafting approach, three respondents to
CP23/17 expressed concerns about the lack of a uniform drafting approach between FCA and PRA rules. Respondents argued that the differing approaches to rule drafting could introduce increased compliance cost as the process of analysing the new regulatory framework becomes more challenging. One respondent noted that the costs involved should not be underestimated for the purposes of our cost benefit analysis. We discuss this aspect further in Chapter 7. Another respondent expressed the view that any ‘fragmentation’ of the regulatory framework may reverse some of the improvements made in 2019 through the EU SR, which brought requirements that were previously spread across numerous frameworks into one place.

3.6 It was also argued that the differences in our drafting would result in uncertainty when
interpreting our rules. Another respondent argued that it would be more in keeping with the requirement in SR 2024 for us to ‘have regard’ for the coherence of the overall regulatory framework for securitisation, if our rule drafting language was more closely aligned, especially given that our policy is materially the same in shared areas. Our response:
Following this feedback, we have reconsidered our approach to drafting in areas where both we and the PRA make rules. While the FCA and the PRA generally sought to align the substance of our rules in shared areas, in light of the requirement to ‘have regard’ for the coherence of the overall regulatory framework, we note the feedback from market participants that highlights the potential for increased compliance costs and unforeseen regulatory uncertainty. In our final rules, we have worked with the PRA to align our drafting closely with that of the PRA Rulebook in areas where the rules are shared – both in the language and ordering of our rules. In a limited number of cases, however, we have retained the language on which we consulted where, for example, we considered it provided clarity. In non-shared areas, such as the STS provisions, we have retained the language and structure of the rules as proposed in our consultation. The FCA and the PRA also worked with the Treasury to reduce discrepancies in the drafting between FCA and PRA due diligence rules for FCA and PRA-authorised institutional investors and statutory due diligence requirements for trustees and managers of Occupational Pension Schemes (OPS). EU non-legislative materials
3.7 In CP23/17, we stated that we would continue to follow the guidance we published at
the end of the Brexit transition period in relation to our approach to EU non-legislative materials. Feedback
3.8 Three respondents requested that we acknowledge the existence and continuing
applicability of previously issued non-legislative materials and guidance, both by EU and UK regulators. One viewed the similarity of the new rules with the pre-existing regulatory regime warrants a reconfirmation that guidance will be treated as relevant for interpreting our new rules unless contradicted by newly issued guidance from the FCA or the PRA. Our response:
In our final rules, our approach to EU non-legislative materials remains unchanged from CP23/17. At the end of the Brexit transition period, we

published guidance on our approach to EU non-legislative materials, which we did not directly integrate into our rules at this stage. Market participants should continue to refer to the guidance published at the time: Brexit: our approach to EU non-legislative materials and take a pragmatic approach to the same where the regulators have amended the policy. Recitals
3.9 In CP23/17, we proposed to not preserve wording in recitals in the EU SR or related
technical standards in our rules except where (i) in practice they were relied upon as if they were operating provisions, or (ii) were essential to the interpretation of operating provisions. Feedback
3.10 Respondents pointed to a number of recitals that have aided market participants in their
interpretation of the EU SR and suggested they should be reflected in our rules. Recitals cited in feedback included:

Recital 6 to the assimilated level 1 legislation, on exposures creating direct
payment obligations for transaction or schemes used to finance or operate physical assets (in connection with the securitisation definition and securitisation perimeter),
Recital 9 to the assimilated level 1 legislation, on proportionality in due diligence
requirements,
Recital 13 to the assimilated level 1 legislation on the nature of private
securitisations,
Recital 1 to the pre-2019 EU Capital Requirements Regulations Risk Retention
Regulatory Technical Standards (RTS) (Commission Delegated Regulation (EU) 625/2014) regarding automatic satisfaction of retention in the context of securitisations of own liabilities. Our response:
When drafting our proposed rules, the FCA and PRA sought to reflect the recitals where market participants relied on them as if they were operating provisions, or where they were essential to the interpretation of operating provisions. We agree that the Recital 1 as listed above should be included. Further, we have identified additional wording included in the 2023 EU Risk Retention Technical Standards (Commission Delegated Regulation (EU) 2023/2175) ( EU RR RTS 2023) that we consider functions like an operating provision regarding the hedging of retained interest. We have sought to reflect this additional wording in our final rules. As both recitals result in changes to our risk retention rules, they are addressed directly in Chapter 5.

Waivers
3.11 Under section 138A of FSMA (Modification or waiver of rules), the FCA may, on the
application or with the consent of a firm, direct that its rules: (i) are not to apply to the firm; or (ii) are to apply to the firm with such modifications as may be specified.
3.12 We will consider applications for waivers of requirements applying to manufacturers in
areas shared with the PRA under the Designated Activities Regime (DAR) waiver process set out in Chapter 13 of our rules. However, we encourage firms wishing to apply for the modification or dispensation of a rule to apply under our general modification and waiver power in section 138A of FSMA. We expect to view any applications for DAR waivers through the prism of the conditions applicable to section 138A, our existing power to modify or waive rules made under FSMA. The PRA has proposed a similar approach to its new permission powers in CP3/24- The Prudential Regulation Authority’s approach to rule permissions and waivers.
3.13 We address two further points pertinent to waivers below – one in Chapter 4 on due
diligence and another in Chapter 6 on resecuritisation.
3.14 Anyone who wishes to apply for a waiver or modification will need to contact
centralwaiversteam@fca.org.uk for further details on how to submit an application.

Chapter 4
Due diligence requirements for institutional investors
4.1 In this chapter, we summarise the feedback we received to our policy proposals in
relation to the due diligence requirements for institutional investors.
4.2 In CP23/17, we proposed a principles-based and more proportionate approach to
verifying disclosure made by UK and overseas manufacturers. We sought to clarify what information is required to be received by institutional investors when investing in both domestic and overseas securitisations. We proposed to replace both Article 5(1)(e) and
Article 5(1)(f) with a single approach which requires institutional investors to verify:

the sufficiency of the information a manufacturer has made available to
institutional investors to enable them to independently assess the risk of holding the securitisation position;
they have received at least the information listed in the rules; and
there is a commitment from the manufacturers to make further information
continually available, as appropriate.
4.3 We also proposed to clarify the circumstances in which the fulfilment of due diligence
requirements could be delegated to another institutional investor, with an exception on delegation where an institutional investor subject to our rules delegates the investment decision to an OPS.
4.4 In keeping with our more principles-based approach to due diligence, we also sought
to clarify and propose that information required by institutional investors to conduct their due diligence in accordance with our rules must be made available before pricing at least in draft form, with final versions made available within 15 days of the closing of the transaction. We asked:
Question 2: Do you agree with our proposed clarification of what information an institutional investor should receive to conduct its due diligence? Question 3: Do you agree with our proposed clarification of the delegation of the due diligence responsibility? Question 4: If you do not agree with our proposals on the due diligence requirements, how could we change them?

Feedback
4.5 General feedback on our proposed changes to the due diligence requirements was
positive. Four respondents expressed their support for the proposed changes and were supportive of the principles-based and more proportionate approach. Respondents took the view that our amendments will provide additional certainty and flexibility and make investment in overseas securitisations easier. The concept of ‘pricing’ in the context of private securitisations and secondary market investments
4.6 Two respondents requested clarification on the concept of ‘pricing’ in our due diligence
rules and its interaction with private securitisations and secondary market investments. One of the respondents emphasised that this concept is not generally used when negotiating private securitisations and called for the introduction of the concept of ‘signing’ to replace ‘pricing’. The other respondent proposed replacing the concept of ‘pre-pricing’ information with ‘pre-commitment’ information.
4.7 Both responses also dealt with the interaction between the ‘before pricing’ wording
and secondary market investments. They suggested that secondary market investors should not be required to verify that information had been provided prior to initial pricing (e.g., at issuance). For secondary market investors, they argued, the documentation from the time of ‘pricing’ or ‘commitment’ to invest in the primary market is often no longer useful, and so it would be more appropriate to consider the information most relevant at the time of investment. It was suggested that clarification of our due diligence requirements could increase liquidity in the secondary market. Our response:
Having considered this feedback, we have made two changes to our due diligence rules. Firstly, we have adjusted the wording of our final rules to fit both public and private securitisations. We refer to information provided ‘before pricing or commitment to invest’ in appropriate places so as to address the lack of a concept of ‘pricing’ in private securitisations. Secondly, we have introduced a distinction between primary and secondary market investments, so that secondary market investors are not required to conduct due diligence on documents and information that are no longer relevant. We have clarified that investors are required to conduct due diligence on the most up-to-date information available at the time of investment, as opposed to documents from the time of ‘pricing’ or ‘commitment’. We believe that this change will help improve clarity and proportionality in the rules.

This updated approach to ‘pricing’ in due diligence is also reflected in our STS and transparency requirements, and we have included new guidance in SECN 2.6.3 to reflect the fact that ‘pricing’ in our STS templates is to be understood as also including the ‘original commitment to invest’. STS Securitisations
4.8 Two respondents asked that an institutional investor be required to perform due
diligence on whether securitisations are STS only if they intend to derive a benefit from it being designated STS. One respondent also considered that institutional investors should be permitted to rely on the services of a third-party verifier for this purpose, without having to do their own due diligence. Our response:
Our final rules preserve the intention of the UK SR to harmonise the due diligence requirements across all institutional investors irrespective of the benefits derived from the STS designation. We note that the above feedback does not focus on specific policy changes proposed in CP23/17, however, these comments may be considered further to inform future policy development. To provide further clarification, in SECN 2.5.2R(3), we specify that ‘Using the service of a third party under SECN 2.5.2R (1) does not affect the liability of the originator, sponsor or SSPE in respect of their legal obligations under SECN.’ Similarly, the requirement for institutional investors not to rely solely and mechanistically on the assessment of a TPV is designed to mitigate the risk of over-reliance on TPVs. It remains essential that investors make their own assessment and take responsibility for their investment decisions (see SECN 4.2.3). We consider it to be important to preserve this guardrail and have consequently not amended our final rules. Separately, we have made a technical change to due diligence requirements relating to STS securitisations. Since the publication of our proposed rules, the Treasury has laid the draft Securitisation (Amendment) Regulation 2024 setting out the applicable provisions for due diligence requirements relating to STS for an OPS. We have brought the requirements for the firms covered by our rules in line with those in the draft Securitisation (Amendment) Regulation 2024. We have brought our due diligence rules more into line with STS provisions in the SR 2024, including for the overseas regime. We will consider whether further rules are needed for our firms for the overseas STS regime following any equivalence decisions by the Treasury.

Delegation of due diligence requirements
4.9 Two respondents broadly agree with our proposals. However, one respondent raised a
concern that Alternative Investment Fund Managers (AIFMs) who are not authorised in the UK will now be excluded from the ‘institutional investor’ definition. The respondent pointed out that this could have implications for existing delegation arrangements. The respondent also requested clarification that a UK institutional investor may (while remaining responsible itself for any non-compliance) delegate its due diligence to another investor, such as AIFMs who are not authorised in the UK, which does not meet the revised definition of ‘institutional investor’. Our response:
Our final rules do not prohibit an institutional investor authorised by us to delegate its due diligence requirements to an entity that is not an institutional investor. However, the transfer of responsibility for compliance with the due diligence requirements under our rules does not occur except as expressly covered in our rules. It means that under our new rules institutional investors will not be able to delegate the responsibility for compliance with the due diligence requirements to AIFMs who are not authorised in the UK, as they will no longer fall within the definition of an ‘institutional investor’ (the exclusion of AIFMs who are not authorised in the UK from the definition of institutional investor is a change expressly made by the SR 2024 and is reflected in the proposed FCA (and PRA) definition of an ‘institutional investor’). We recognise that this may have implications for some existing delegation arrangements. It is possible that some delegating parties either have to find a new managing party or need to accept that responsibility for compliance does not shift to the current managing party where it is not an FCA-supervised or PRA-authorised institutional investor. The FCA lacks data on how many FCA-supervised delegating parties may be affected by this change or to what extent they are affected. However, we anticipate that the implementation period should give sufficient time for market participants to deal with any implications. For more information on the implications of our newly added transitional provisions on the delegation of due diligence requirements to AIFMs who are not authorised in the UK, please see Chapter 6. ABCP Due Diligence
4.10 One respondent raised a number of points relating to ABCP due diligence, primarily
outlining general uncertainty regarding the due diligence (and transparency) requirements for ABCP amongst market participants. The two points of feedback we have considered further were in relation to:

i. Potential uncertainty around whether the due diligence requirements in SECN
4.2.1(e) of the FCA Draft Rules and Article 5(1)(e) of Chapter 2 of the draft Securitisation Part of the PRA Rulebook conflict with SECN 6.2.3 and Chapter 2,
Article 7(1)(a), which provide for the provision of data on an aggregate basis. The
respondent requested further clarification on this point.
ii. A suggestion that we had not included wording in SECN 4 to address fully
supported ABCP transactions where the sponsor of the transaction is not a PRAauthorised person. Our response:
On point i, we have chosen not to align the wording of our due diligence requirements further with our transparency requirements. We note that these two sets of requirements perform different functions, and as such are framed differently. Our due diligence requirements are less specific, consistent with our new principles-based approach, than our current transparency requirements. With regard to point ii, we consider that we did in fact include wording in our draft rules (specifically in what was previously SECN 4.5) that covers fully supported ABCP transactions in cases where the sponsor of the transaction is not a PRA-authorised person, this is now reflected in SECN
4.3 for the purposes of our final rules. In any case, through alignment of
our due diligence requirements with those of the PRA, we aim to provide further clarity on this provision. Coverage of waivers and modifications in 4.2.1R(1) (a) and (c)
4.11 In accordance with our approach to waivers set out in Chapter 3, we clarify the following:
4.12 In 4.2.1R(1) (a) and (c), institutional investors are required to verify that UK originators,
sponsors or original lenders grant credits that give rise to underlying exposure in accordance with SECN 8.2 (or equivalent PRA rules), and retain 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). We intend for the wording ‘in accordance with’ to cover waivers and modifications. This means that where the FCA or PRA have granted a waiver or agreed a modification of the credit granting criteria or the risk retention with the manufacturer of a securitisation, the institutional investor can take that waiver/modification into account in its due diligence. Other areas of feedback
4.13 We received a number of other comments on the due diligence requirements. These
mostly did not focus specifically on the changes proposed in CP23/17. However, they may inform our policy development in the future. We summarise other feedback received below:

Two respondents called for a relaxation – or even a total removal – of due
diligence requirements for AIFMs. One argued that UK AIFMs are at a competitive disadvantage because they cannot invest in most US Collateralised Loan Obligations (CLOs).
Another respondent asked for a derogation from due diligence requirements
pertaining to credit granting standards for investors in NPE securitisations.
Two respondents raised the issue of whether due diligence requirements apply
only where a person takes on the credit risk of a securitisation.
One respondent suggested that the due diligence rules replacing Article 5(1) of
the UK SR should be lighter touch for secondary trades in securitisations where manufacturers are subject to certain direct obligations.

Chapter 5
Risk retention
5.1 The draft rules that we proposed in CP23/17 largely preserve the risk retention
requirements from the existing UK SR and all related technical standards. Originators, original lenders, or sponsors continue to be required to hold a material net economic interest of at least 5% in each securitisation on an ongoing basis. This is to ensure that there is alignment of interest between manufacturers and investors.
5.2 However, we proposed a series of targeted policy changes:

We proposed to implement a more proportionate approach for the securitisation
of NPEs by proposing the use of a non-refundable purchase price discount (NRPPD) for NPEs in the risk retention requirements for NPE securitisations.
We proposed to allow a change in retainer or a transfer of the retained interest in
the event of the retainer’s insolvency.
With regards to the sole purpose test, we proposed a consideration of whether
the entity has a business strategy and payment capacity consistent with a broader business enterprise; and the members of the management body have the necessary experience to enable the entity to pursue the established business strategy, as well as adequate corporate governance arrangements.
We sought to clarify the certain instances where resecuritisations are permitted
and where a retainer shall retain the net economic interest in relation to each of the respective transaction levels, consistent with the purpose of risk retention restrictions. We also specified certain instances that do not amount to resecuritisations for risk retention purposes, such as, contiguous tranches and fully supported ABCP programmes (which are not considered to be resecuritisations for the purposes of Article 8 of the UK SR). We also provided further clarity on the treatment of risk retention for resecuritisations where the originator acts as the retainer in the underlying securitisation.
We proposed to extend the scope of the cash collateralisation exemption from only
credit institutions to all Capital Requirements Regulation (CRR) and Solvency II firms.
We also sought to provide further clarity on additional criteria to ‘cherry picking’. We
included an exception (which was set out in recital 11 of the EU SR) that the rules should not restrict the ability of originators or sponsors to select assets which have a higher risk profile compared to other asset classes on the balance sheet of the originator, as long as that NRPPD of the higher risk profile asset is clearly communicated to investors or potential investors. We also proposed to specify what ‘comparable assets’ mean for this purpose and produced guidance to the effect that, in assessing compliance, the originators compliance with its internal policies procedures and controls to prevent ‘cherry picking’, should be considered. We asked:
Question 5: Do you agree with our proposed approach to risk retention for non-performing exposures (NPE)?

Question 6: Do you agree with our proposals around the insolvency of the retainer? Question 7: Do you agree with our proposals for the sole purpose test? Question 8: Do you agree with our proposals for risk retention in resecuritisations? Question 9: Do you agree with our proposals to exempt more firms from cash collateralisation of the retention piece? Question 10: Do you agree with our proposals for comparability of assets on the balance sheet and ‘cherry picking’ in risk retention? Question 11: Is there anything else associated with our proposals on risk retention that you would like to raise? Feedback
5.3 Generally, feedback on our proposed changes to our rules on NPE securitisation and
risk retention was positive. Some technical points not addressed directly in CP23/17 were noted in some responses. We outline the changes we have made to accommodate these comments below.
5.4 As detailed in Chapter 3, we have also reflected in our final rules two EU recitals relevant
to risk retention. Firstly, we introduced Recital 1 to the pre-2019 Risk Retention RTS (Commission Delegated Regulation (EU) 625/2014), now included in Article 16 of the European Commission’s Commission Delegated Regulation (EU) 2023/2175, which covers the fulfilment of the risk retention requirement in securitisations of own liabilities. Secondly, we have sought to reflect Recital 7 of the same delegated regulation, which prohibits the selling or hedging of the retained economic interest in order to permit the hedging of retained interest in limited circumstances. NPE securitisations
5.5 Respondents were generally supportive of our proposal to introduce the use of a NRPPD
for NPEs in the risk retention requirements for NPE securitisation. Our response:
Our final rules reflect the proposals set out in CP23/17 in relation to the calculation of risk retention for NPE securitisations.

Insolvency of the retainer and other exceptions to restrictions on the transfer of a retainer
5.6 Three respondents expressed support for our proposals relating to the insolvency of the
retainer. One respondent pointed to the additional certainty it provides for institutional investors who may otherwise have been forced into selling securitisation positions to ensure continued compliance.
5.7 However, two respondents called for further exceptions to our rules and suggested, like
the EU RR RTS 2023, we should provide for a change in the retainer ‘where the retainer, for legal reasons beyond its control and beyond the control of its shareholders, [the existing retainer] is unable to continue acting as a retainer’. The respondents noted that, since this language is not reflected in our rules, cross-border compliance issues may arise for sell-side parties with a mixture of UK and non-UK originators and for institutional investors. They also enquired about the potential to use our powers of modification and disapplication under the DAR or the waiver powers available to us under section 138BA of FSMA.
5.8 Two respondents also requested a further expansion of the circumstances in which
a replacement of the risk retainer is permitted to ensure that there is appropriate alignment of interests with investors. The respondents specifically referred to certain circumstances such as business restructuring, takeovers and acquisitions, or the reorganisation of a risk retainer entity or its group. The respondents note many of these changes would have been unforeseeable at the time of the securitisation.
5.9 One respondent also noted that divergences in risk retention requirements between
the EU and the UK affect the circumstances in which retention on a consolidated basis is possible and the practical relevance of the provision relating to a change in the retainer in that context. Our response:
Having considered this feedback, the FCA alongside the PRA has decided not to change the proposals in CP23/17 relating to the waivers section in paragraph 3.11 above. Further changes or clarification in relation to the circumstances in which a change of retainer is permitted would require policy consideration and applicable governance and procedural requirements to be followed. However, comments in this regard may inform future policy development. Sole purpose test
5.10 Two respondents expressed support for the approach we have taken to the ‘sole
purpose’ test in our rules, however, they both suggested better alignment of drafting between the FCA and the PRA rules in this regard.

Our response:
As indicated in our consultation, we will continue to monitor market practice in this area and consider whether we need to add further specificity to the sole purpose test in future or take other action. The alignment of our drafting approach with the PRA addresses specific concerns about potential divergence. Risk retention in relation to resecuritisation
5.11 One respondent requested clarification that there is no need for two levels of risk
retention in relation to certain ABCP programmes as referred to in our draft rules SECN 5.10.1R(3). Our response:
We note that SECN 5.10.1R(3) of our draft rules, which is now SECN 5.17.1R(3) of our final rules, already provides the clarification that has been sought by the respondent, stating: ‘A fully supported ABCP programme, which meets the requirements of SECN 7.3 is not a resecuritisation for the purposes of SECN 5.’ Therefore, the FCA, alongside the PRA, have decided to include the proposed specifications on risk retention for resecuritisations in the final rules without further changes. Exemption from cash collateralisation for synthetic/ contingent form of retention
5.12 One respondent supported our amendments to cash collateralisation requirements.
However, one respondent expressed concern about the limited geographical scope of the definitions of the terms ‘CRR firm’ and ‘UK Solvency II firm’ and propose that the impact of this change may potentially be limited. The respondent emphasised the exemption will only apply to the relevant UK-authorised firms, and likewise, the equivalent EU regime is limited in application to EU firms only. Our response:
Having considered this feedback, the FCA and PRA, have decided to reflect the changes proposed in CP23/17 to the exemption from the cash collateralisation requirements for synthetic / contingent retention in the final rules. The FCA and the PRA note that the geographical scope of the definitions of the terms ‘CRR firm’ and ‘UK Solvency II firm’ for these purposes is in keeping with the approach to other risk retention rules.

Additional criteria on ‘cherry picking’
5.13 One respondent agreed with our proposals for comparability of assets on the balance
sheet. Another respondent, while not addressing our changes directly, drew attention to other market practices in the context of certain transactions, that mitigate the risk of ‘cherry-picking’ of the weakest assets for inclusion in securitisations by originators. Our response:
Having considered the feedback, the FCA and PRA, have decided to include the changes proposed in CP23/17 in our final rules. Recitals relevant to risk retention
5.14 In line with the broader approach to recitals detailed above in Chapter 3, we have
decided to reflect, where relevant, the wording of certain recitals to the EU SR or associated RTS in our rules:

We have included wording on the securitisation of own liabilities to align with
Recital 1 to the pre-2019 EU CRR risk retention RTS and the automatic satisfaction of risk retention in the context of securitisations of own-issued debt instruments, including covered bonds. We also note that in the EU RR RTS 2023, the wording in Recital 1 has been elevated to an operating provision.
Separately from the recitals mentioned explicitly in responses, we have decided to
add wording to our rules which clarifies the prohibition of the hedging of material net interest in our risk retention requirements, which aligns with Recital 7 of the EU RR RTS 2023. In doing so, we confirm to institutional investors that hedging in these circumstances is permitted, as it does not compromise the alignment of interest. The specific wording, we have sought to reflect in our rules is as follows: ‘Hedging should, however, also be allowed where it is undertaken prior to the securitisation as a legitimate and prudent element of credit granting or risk management and does not create a differentiation for the retainer’s benefit between the credit risk of the retained securitisation positions or exposures and the securitisation positions or exposures transferred to investors’. Other areas of feedback
5.15 We received a number of other comments on risk retention. These mostly did not focus
on the specific policy changes proposed in CP23/17. However, they may inform our policy development in the future. We summarise other feedback received below:
Two respondents pointed to potential ambiguity surrounding the time of
‘origination’ and called for clarification regarding the time(s) at which ‘origination’ can be deemed to have occurred. One pointed to aligning our rules with wording included in the EU RR RTS 2023. Another respondent suggested, instead, that it

might be helpful to provide non-exhaustive examples of the time of origination in different contexts.

One respondent asked for a change to the rules to permit L-shaped risk retention.
Two respondents requested clarification on how to interpret ‘nominal value’ of a
securitised exposure in the context of our risk retention requirements in specific contexts.
Two respondents wanted clarification on the circumstances in which randomly
selected portfolios of exposures need to be replenished to adhere to risk retention requirements.
One respondent asked for further provisions permitting the synthetic excess
spread to count towards the risk retention requirement.
One respondent noted uncertainty as to whether an NPE asset servicer could act
as an eligible risk retainer, as is the case in the EU, but so far not in the UK (and that a transfer of the retention to replacement servicers be permitted).
One respondent indicated that a risk retention of 5% may be too low in a particular
context.
One respondent called for acknowledgement that the requirement (in what was
previously SECN 5.2.9R) where the originator has ‘established’ the securitisation cannot be satisfied and therefore should not apply.

Chapter 6
Other measures
6.1 In CP23/17, we proposed a number of policy changes and clarifications to enhance our
rules, titled ‘other measures’. The main ones were:

We proposed to limit expressly the application of our rules to entities, including
manufacturers, established in the UK. This was done to provide greater clarity about the geographical scope of some key provisions, particularly in the case of so-called ‘geographically mixed’ scenarios where some, but not all, of the manufacturers of a securitisation are established in the UK.
We proposed to replace references in our rules to Euros with references to Sterling,
except where currencies appear in templates; they will be amended at a later stage when the templates are considered in our second consultation.
In our proposed rules, we defined references to ‘established in the United Kingdom’
so that ‘established’ means an entity which is constituted under UK law with a head office, or, if it has a registered office, that office is in the UK. This is to align with the defined terms used in the SR 2024.
We clarified that a securitisation that meets all STS criteria need only be notified to
us if the originator/sponsor wishes to obtain the STS label.
With regards to homogeneity, we proposed some amendments similar to
those the European Banking Authority (EBA) proposed in its Draft RTS on the homogeneity of the underlying exposures in STS securitisation under Articles 20(14), 24(21) and 26b(13) of Regulation (EU) 2017/2402, as amended by Regulation (EU) 2021/557.
Additionally, we clarified that where no homogeneity criteria are relevant for a
particular securitisation, no homogeneity conditions should apply. A provision was added to make clear that underlying exposures may include corporate bonds for homogeneity purposes, provided that they are not listed on a trading venue. We also clarified in most cases the rules will not allow mixed pools of buy-to-let mortgages and owner-occupier mortgages to be deemed homogenous.
With regards to credit granting, we considered Recital 14 of the UK SR as an
operative provision and so have expressly added it to our rules governing credit granting requirements.
We proposed to disapply section 138D(2) to a contravention of our due diligence
rules made under our general rule-making power. While considering our consumer protection objective, we recognise that securitisation market participants are largely wholesale entities, many of which would be authorised persons. So, any actions for damages by a private person (which excludes authorised persons) otherwise arising under section 138D(2) would likely have limited impact.
For the purposes of our rules, we had not identified the need for any further
transitional provisions.
We proposed to make consequential amendments to the Enforcement Guide (EG)
and the Decision Procedure and Penalties Manual (DEPP).

We asked:
Question 12: Do you agree with our proposals for the scope of our rules in geographically mixed scenarios? Question 13: Do you agree with our proposed amendments to currency references? Question 14: Do you agree with our proposed definition of ‘established in the United Kingdom’? Question 15: Do you agree with our proposals to clarify aspects of simple, transparent, and standardised (STS) notifications and homogeneity? Question 16: Do you agree with our proposals for resecuritisations and credit granting? Question 17: Are there any matters relating to transitional provisions that you would like to raise? Question 18: Are there any other matters relating to our rules that you would like to raise? Geographical scope
6.2 Two respondents welcomed our efforts to define the scope of the rules more clearly.
One of these indicated that it was ‘crucial’ that we establish that our rules do not apply beyond the UK and suggested we needed to clarify that our rules do not have extraterritorial reach. Our response:
As outlined in CP23/17 we have aimed to provide greater clarity about the geographical scope of our key provisions. Following the feedback received, we have added text to the necessary chapters of our rules to clarify where our rules only apply to entities that are ‘established in the United Kingdom’. This change has not been made in chapters applicable to investors, as institutional investors are authorised persons. We will continue to monitor the impact of this rule.

Currency adjustments
6.3 One respondent agreed with our proposed amendments.
Our response:
We have decided to include the changes proposed in CP23/17 in our final rules. References to ‘established in the UK’
6.4 One respondent supported our approach to defining ‘established in the UK’. However,
another respondent suggested we needed to clarify that our rules do not have extraterritorial reach. They had concerns that the draft rules may not state clearly enough that SECN only applies to entities established in the UK.
6.5 We did not receive any objections to the definition of ‘established in the UK’.
Our response:
As described in our response to the feedback on geographical scope (see 6.2) we have aimed to provide further clarity in line with the feedback received. We have decided to include the changes proposed in CP23/17 in the final rules. STS notification
6.6 We received no feedback on this measure; therefore, we have decided to include the
proposed specification in our final rules.
Homogeneity
6.7 One respondent supported our proposals to expand the scope and clarify the criteria for
mixed pools of assets to be consistent with the STS designation. The same respondent welcomed the similarity of our approach to that of the EBA in treating certain corporate loans as being homogeneous with loans to individuals provided that they follow a similar underwriting approach and have similar servicing procedures.
6.8 The respondent also expressed positive support for the similarity of our procedures with
regards to cash receivables, and the fact that servicing procedures are now considered homogeneous irrespective of whether loans are held in a SSPE or whether they remain on the originators’ balance sheet. The respondent also agreed with the clarification that underlying exposures may include corporate bonds for homogeneity purposes.

Our response:
We have decided to include the changes proposed in CP23/17 in the final rules. Resecuritisation and Waivers
6.9 In CP23/17, we proposed to replicate the ban on resecuritisation from Article 8 of the UK
SR through restrictions on manufacturers and investors covered by our rules.
6.10 Article 8(2) currently gives regulators the power to grant permission for resecuritisation
to an entity under their respective supervision as specified in Article 8(3). As we noted in CP23/17, we are unable to grant ourselves such a power via our own rules. However, we may grant a permission for a resecuritisation, waive our rules relating to the ban or otherwise allow a resecuritisation, as we consider appropriate, using our waiver powers (e.g., section 138A of FSMA).
6.11 We have also made additions to risk retention rules to clarify what can be considered a
resecuritisation for risk retention purposes (see Chapter 5). One respondent agreed with our proposals for resecuritisations, and we received no further feedback in relation to this proposal. Our response:
Our final rules replicate our proposals in CP23/17 with some clarificatory changes. The basic position for our rules is a ban on resecuritisation, that is, a securitisation cannot contain securitisation positions as underlying exposures. Our final rules apply to manufacturers subject to our rules and to institutional investors authorised by us. However, manufacturers subject to our rules can apply to us for a waiver of the ban in order to manufacture a securitisation containing securitisation positions as underlying exposures. Similarly, an institutional investor covered by our rules can apply to us for a waiver to allow it to invest in a securitisation containing securitisation positions as underlying exposures. Credit granting
6.12 Recital 14 of the UK SR states that credit granting criteria need not be met with respect
to trade receivables not originated in the form of a loan. We consider this recital an operative provision and so we expressly added it to our rules governing credit granting requirements in CP23/17.
6.13 While there were no direct comments on our preservation of Recital 14, one respondent
made other comments on our credit granting standards. Firstly, there was a comment on the drafting of SECN 8.1.1 of the FCA draft rules not including the same carveout for PRA-authorised persons as what we have included in SECN 4.1.1 and 5.1.1. The

respondent pointed out that the SR 2024 prohibits the FCA from making rules that apply to PRA-authorised firms in this part of our rules. The respondent asked that we include an equivalent carve-out in our rules.
6.14 The same respondent also called for the removal of references to ‘sponsor’ from our credit
granting standards. They argue that the inclusion of ‘sponsors’ alongside ‘originators’ and ‘original lenders’ conflicts with the definition of ‘sponsor’ in the UK SR, where it is not cast as a credit granting entity, and it also conflicts with investor due diligence requirements on credit granting standards that must be verified prior to investing.
6.15 One respondent called for an amendment to our credit granting standards to facilitate
NPE securitisations along the lines of changes made in the EU. The respondent argued this would make the application of our credit granting standards more proportionate for NPE loans. Our response:
In response to the feedback received, we have included a carve-out for PRA-authorised persons in SECN 8.1.1 and we have also introduced it to SECN 6.1.1. Comments in relation to the removal of references to ‘sponsor’ and changes to facilitate NPE securitisations were helpful, but not reflected in our final rules. They may inform our policy development in the future. Disapplication of section 138D
6.16 This change did not attract comments from respondents to our consultation, therefore
we will include the proposed specification in our final rules. Enforcement
6.17 We did not receive any feedback on our proposed consequential amendments to the EG
and the DEPP.
6.18 Our EG contained high-level descriptions of the UK SR and the enforcement powers
available under them and it also signposted our DEPP, where our detailed policy considerations behind the use of those powers were contained.
6.19 As these relevant enforcement powers are now set out in SR 2024, we have made
consequential amendments in EG and DEPP to refer to the new regulations. The EG
chapter is being amended as part of the overall EG review on which a consultation
(CP24/2: Our Enforcement Guide and publicising enforcement investigations–a new approach) was published. The result is a consolidated reference to SR 2024 to reduce duplication with DEPP. We have updated regulatory references in DEPP and included express references to its application to SR 2024. The underlying detailed policy approach to these powers will remain unchanged.

6.20 DEPP changes are included in this policy statement (see Annex F of our rules in
Appendix 1).
Transitional Provisions
6.21 At the time of CP23/17, we did not identify the need for transitional provisions beyond
those set out in the then Near-final Statutory Instrument. Nevertheless, we asked whether market participants wished to raise any matters relating to transitional provisions.
6.22 Three respondents expressed concerns about the lack of transitional provisions in our
rules, despite the limited policy changes presented in CP23/17.
6.23 One respondent highlighted that the detailed analysis on some securitisations may
hinge on very specific drafting details or depend on EU non-legislative material and recitals no longer reflected in our rules, and so bringing transactions into line with the new framework may represent a greater challenge than we had envisaged. The respondent suggested that even minor changes may necessitate further analysis to determine whether a securitisation remains compliant.
6.24 One respondent called for transitional provisions with optionality (i.e., a choice between
pre- or post-implementation securitisations) down to a rule-by-rule, transactionby-transaction level to provide maximum flexibility, or a statement of FCA/PRA commitment to a proportionate approach to enforcement.
6.25 Another respondent echoed calls for transitional or ‘grandfathering’ provisions to ensure
that existing securitisations continue to be compliant with regulations.
6.26 A third respondent expressed concern about the potential impact from the lack of
transitional provisions specifically for originators, original lenders and sponsors, or institutional investors investing in securitisations executed under the EU SR or the UK SR following the UK’s departure from the EU. They call for targeted transitional provisions, rather than a blanket grandfathering approach. Our response:
Having considered the feedback, we have decided to include further transitional provisions in our final rules. We have opted for an approach which generally preserves the current treatment for securitisations issued prior to the implementation of our new rules in relation to entities covered by those rules. We consider that market participants should be able to rely on the position which existed at the time the relevant securitisation was issued, as described in the rules. A disadvantage of this approach is that market participants will not have the benefit of the changes we have made from the UK SR position. However, the changes relate to requirements which apply mostly around issuance and so the benefits would be more limited for pre-implementation securitisations.

To have the benefit of our new rules, market participants may need to update their existing transactions. However, an exception to these transitional provisions has been added so that the position regarding the transfer of responsibility under Article 5(5) of the UK SR is not preserved in circumstances where FCA-authorised institutional investors delegate due diligence to AIFMs who are not authorised in the UK. The reason is that AIFMs who are not authorised in the UK will no longer be institutional investors post-implementation as noted above in 4.9. We anticipate that the implementation period should give sufficient time for market participants to find a new managing party or to shift the responsibility for compliance with the due diligence requirement back to the UK institutional investor. We consider that this approach to transitional provisions is in line with respondents’ feedback. Additionally, this approach to transitional provisions could make it easier to comply with our rules and make requirements clear and simple. We believe that incorporating optionality may have introduced excessive complexity to our transitional provisions. In Chapter 7 we outline the implication of this approach on our initial CBA proposed in CP23/17. Overall, we expect that it will reduce familiarisation costs for market participants, as they will not have to make changes to ensure the compliance of existing transactions with our new rules. Consequential changes
6.27 While not noted in CP23/17, we have since identified a few more consequential changes
that are required to some Handbook chapters being COLL, FUNDS, MiFIDPRU, SYSC and FEES. Most of the changes are minor and relate to updating the cross-references to refer to SR 2024 provisions or to our Handbook instead of the previous legislation. In other cases, minor technical corrections are also required to refer to an updated terminology/glossary term. These changes are not material and merely consequential from the SRF process.
6.28 We have incorporated a new rule which is similar to the cooperation requirement in PRIN
11 (relations with regulators), which will apply to securitisation activity covered by rules made under the DAR. This will require those entities that are not otherwise subject to PRIN 11 but are subject to the FCA’s rules on securitisation to deal with the FCA in an open and cooperative way. We consider that market participants would likely have already expected that position to be the case. Definition of ‘non-ABCP securitisation’
6.29 One respondent addressed our addition of a definition of ‘non-ABCP securitisation’. The
respondent argued the definition could cause complications for transactions funded by both ABCP and by investors on their balance sheet, as these could be considered to be both ABCP and non-ABCP transactions. Therefore, the current drafting would propose

that a securitisation that has both ABCP and non-ABCP investors would be categorised as a non-ABCP securitisation. This would imply that the non-ABCP requirements would need to be met with respect to ABCP investors and could result in confusion as to what the appropriate reporting templates are to be used. Our response:
Our policy intention was to reduce the reporting burden for co-funded transactions (i.e., funded by an ABCP program as well as directly by investors), as they are currently required to comply with two sets of reporting templates under our rules. However, we note that the respondent considered that the inclusion of this definition may cause unintentional consequences. Therefore, following further consideration, we have decided to reverse the addition of the ‘non-ABCP’ definition within our rules at this stage. However, we continue to retain the phrase within our rules, but it currently remains undefined. We will consider further alternative approaches to how we can address the reporting of co-funded securitisations in a future consultation. Selling securitisations to retail clients
6.30 In CP 23/17, we had proposed to broadly preserve the provisions of the UK SR relating to
the sale of securitisations to retail clients. Those provisions set out the conditions under which a sale to a retail client is possible and the requirement for the seller to ensure that certain thresholds in relation to the retail client’s portfolio are not exceeded. The seller will base its calculation on the information provided by the retail client.
6.31 In our final instrument, we have specified our expectation, as guidance, that the retail
client must provide the seller with accurate information on the retail client’s financial instrument portfolio, including any investments in securitisation positions. Use of an FCA-registered TPV
6.32 We have clarified in our rules that when an originator, sponsor or SSPE use a TPV to
assess compliance of a securitisation with the STS criteria, they must check that such TPV is registered by us. Other areas of feedback
6.33 We received a number of other comments. These are largely clarificatory in nature.
These mostly did not focus on the specific policy changes proposed in CP23/17. However, they may inform our policy development in the future. We summarise other feedback received below:

We received technical comments on our rules relating to requirements on SRs.
Two respondents requested that we clarify which requirements apply to
manufacturers of securitisations only if they are involved in a securitisation.
Two respondents requested clarification or a policy change to the requirements
for correlation trading. One of these respondents also mentioned tranched index transactions in this context.
One respondent encouraged us to review the definition of SSPE and checking
whether our requirements for SSPEs are appropriate for synthetic securitisations. This respondent also requested clarification of the treatment of securitisations which (i) neither meet the definition of a ‘synthetic securitisation’ nor the definition of a ‘traditional securitisation’ or (ii) combine features of both ‘synthetic securitisations’ and ‘traditional securitisations’.
Six respondents requested the recognition in the UK, for different purposes, of
requirements in other jurisdictions that are equivalent to certain rules replacing provisions of the UK SR. One respondent asked for a recalibration of the transparency requirements where the investor base is off-shore and either does not require information in a prescribed format, or requires information in a format different to that which is required by UK investors.
In the context of transparency and reporting obligations, two respondents sought
further clarification on the time when certain information first has to be made available.
One respondent requested certain amendments to the transparency
requirements for ABCP.
One respondent suggested removing the requirement on manufacturers,
applicable in certain circumstances, to make available a transaction summary.
Four respondents addressed the issue of confidentiality in relation to transparency
requirements. Notably, there were requests for us to reconsider the interaction between contractual confidentiality and our rules and some called for the expansion of the scope of confidentiality requirements to relevant laws applicable in other jurisdictions.
One respondent called for us to make it possible for managed CLOs to achieve
STS status.
Two respondents requested that we consider including synthetic securitisations in
the STS regime.
One respondent noted two circumstances in which further clarification on the
restrictions on resecuritisation would be useful:
– where the holder of a securitisation position purchases partial credit protection for a securitisation position on a tranched basis, and; – where an originator seeks to purchase additional credit protection for part of its existing retained positions.

Chapter 7
Cost benefit analysis (CBA)
7.1 In CP23/17, in line with the requirements set out in section 138l of the Financial Services
Act 2012, we presented market participants with a CBA on our proposed rules relating to securitisation and the impact of their implementation. The analysis was based on our own qualitative assessment of the identified costs and benefits of the proposed rules, as well as a quantification of the identified costs where it was reasonably practicable to do so.
7.2 We received one response that directly commented on the analysis in the CBA. The
respondent found it helpful that we acknowledged the familiarisation costs and the need for internal reviews that may result from the recast regulatory framework. However, they also stated that the costs involved should not be underestimated as market participants would need more time to familiarise themselves and adapt to the changes, especially given the lack of uniformity between the FCA and PRA drafting of the rules, (addressed more fully above in Chapter 3) and cited the complexity of the task at hand.
7.3 We have taken measures to address these concerns:

The FCA and PRA have worked to align our drafting more closely. This should
reduce some additional familiarisation costs.
We have also provided a 6-month implementation period after the publication of
this policy statement.
7.4 Given our changes enhance the coherence of the overall regulatory framework,
we expect that this will offset costs we may have potentially underestimated in our consultation.
7.5 We have also considered further how the policy changes introduced in this policy
statement impact our CBA in CP23/17. The most significant of the changes is our approach to transitional provisions, for pre-implementation securitisations.
7.6 We acknowledge the changes we have introduced could result in a loss of benefits that
the policy package proposed in CP23/17 introduced, such as a more proportionate approach to our rules, removal of the barriers to the issuance of NPE securitisations and other clarificatory measures introduced to provide a clearer framework within which the market can operate. However, we consider that these losses of benefits are more limited in relation to pre-implementation securitisations than in relation to postimplementation securitisations as there is less scope for market participants to take advantage of the changed requirements.
7.7 We also consider that our changes in approach to transitional provisions will ensure
the vast majority of market participants do not have to reconsider securitisation transactions completed ahead of the implementation of our changes to ensure ongoing compliance with our rules. We expect that this will significantly reduce familiarisation costs for market participants, as they will not have to make changes to ensure the compliance of existing transactions with our new rules.

7.8 Further, we consider the policy changes as a whole are likely to reduce compliance
costs for firms by clarifying the applicable requirements or providing for slightly more proportionate treatment. Additionally, the revised implementation date of our rules is now 6-months after the publication of this policy statement, which allows market participants additional time to consider the final policy package outlined in this policy statement.
7.9 Therefore, we consider that the CBA consulted upon remains appropriate.

Annex 1
List of respondents
We are obliged to include a list of the names of respondents to our consultation who have consented to the publication of their name. That list is as follows (excluding the two late respondents):

A joint response from the Association for Financial Markets in Europe, UK Finance
and the Commercial Real Estate Finance Council Europe
Alternative Investment Management Association
Baillie Gifford
European DataWarehouse Ltd
Internal Association of Credit Portfolio Managers
Legal & General Investment Management
Lloyds Banking Group
Loan Market Association
Managed Funds Association
PGGM Investments
SecRep Limited
Shawbrook Bank Limited

Annex 2
Securitisation Sourcebook (SECN) 2024 – Derivation and Changes Table Securitisation Sourcebook (SECN) 2024 – Derivation and Changes Table Source of provision Handbook Reference Subject matter Policy change/HSD1 / other comment Art 2(7) UK SR Glossary Definition of ‘ABCP programme’ Transferred to SR 2024 with no changes. Cross-referred to in the FCA Handbook Art 2(8) UK SR Glossary Definition of ‘ABCP transaction’ Transferred to SR 2024 with no changes. Cross-referred to in the FCA Handbook Glossary Glossary Definition of ‘client money’ Amendment to the FCA Handbook to add new paragraph 2D which applies to SECN Glossary Glossary Definition of ‘client money rules’ Amendment to the FCA Handbook to clarify that paragraph 3 applies to SECN Glossary Glossary Definition of ‘CRR firm’ Amendment to the FCA Handbook to add new paragraph 2 for the purposes of SECN which cross-references the definition in article 4(1)(2A) of UK CRR Art 2(17) UK SR Glossary Definition of ‘early amortisation provision’ Transferred to the FCA Handbook with no changes Reg 2(1) of SI 2018/1288 Glossary Definition of ‘established in the United Kingdom’ Transferred to SR 2024 with policy changes made by HMT – please refer to paragraph 6.1 of CP23/17 for more details. Cross-referred to in the FCA Handbook N/A Glossary Definition of ‘FCA investment firm’ This is a new definition added to the FCA Handbook cross-references definition from UK CRR “HSD” means handbook style drafting. The term is used to denote instances where retained EU law has been transferred to the handbook with minor drafting changes that do not amount to a change in policy.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Art 2(18) UK SR Glossary Definition of ‘First loss tranche’ Transferred to the FCA Handbook with no changes Art 2(21) UK SR Glossary Definition of ‘Fully supported ABCP programme’ Transferred to the FCA Handbook with no changes Art 2(22) UK SR Glossary Definition of ‘Fully supported ABCP transaction’ Transferred to the FCA Handbook with no changes Art 2(12) UK SR Glossary Definition of ‘Institutional investor’ Transferred to SR 2024 with policy changes made by HMT – please refer to 4.7 of The Securitisation Regulations 2023 Policy Note for more details Art 2(11) UK SR Glossary Definition of ‘Investor’ Transferred to SR 2024 with minor drafting changes made by HMT. No policy change intended. Cross-referred to in the FCA Handbook Art 2(14) UK SR Glossary Definition of ‘Liquidity facility’ Transferred to the FCA Handbook with no changes Glossary Glossary Definition of ‘mixed financial holding company’ Amendment to the FCA Handbook to clarify that paragraph 1 excludes SECN and new paragraph 2 applies to SECN. Paragraph 2 cross-references the definition in regulation 1(2) of the Financial Conglomerates and Other Financial Groups Regulations 2004 Glossary Glossary Definition of ‘network’ Amendment to the FCA Handbook to clarify that paragraph 1 excludes SECN and new paragraph 2 inserts a new definition applicable to SECN N/A Glossary Definition of ‘Non-performing exposure’ New definition added to the FCA Handbook which cross-refers to the definition from the UK CRR N/A Glossary Definition of ‘NPE’ This is a new definition added to the FCA Handbook Regulation (EU) 2021/557 Glossary Definition of ‘Non-refundable purchase price discount’ This is a new definition added to the FCA Handbook. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Regulation (EU)
2021/557
Glossary Definition of ‘NPE securitisations’ This is a new definition added to the FCA Handbook. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted. Art 2(12)(c) UK SR Glossary Definition of ‘occupational pension scheme’ Amendment to the FCA Handbook to clarify that paragraph 1 excludes SECN and new paragraph 2 which cross-refers to SR 2024 applies to SECN. The UK SR definition was transferred to SR 2024 such that the concept of occupational pension scheme was separated from the fund manager of that scheme. Art 2(20) UK SR Glossary Definition of ‘Original lender’ Transferred to SR 2024 with no changes. Cross-referred to in the FCA Handbook Art 2(3) UK SR Glossary Definition of ‘originator’ The UK SR definition was transferred to SR 2024 with no changes. Amendment to FCA Handbook to clarify that:

new paragraph 1 which cross
refers to SR 2024 excludes MIPRU;
paragraph 2 applies to MIPRU; and
paragraph 3 is deleted
Glossary Glossary Definition of ‘over collateralisation’ Amendment to FCA Handbook to add new paragraph 2 which applies to SECN Art 1(1) of Retained EU law version of Commission Delegated Regulation (EU) 2020/1224 Glossary Definition of ‘Reporting entity’ This is a new definition added to the FCA Handbook Art 2(4) UK SR Glossary Definition of ‘Resecuritisation’ Transferred to FCA Handbook with no changes Glossary Glossary Definition of ‘retail client’ Amendment to FCA handbook to clarify that paragraph 1 applies to SECN

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Art 2(15) UK SR Glossary Definition of ‘Revolving exposure’ Transferred to the FCA Handbook with no changes Art 2(16) UK SR Glossary Definition of ‘Revolving securitisation’ Transferred to the FCA Handbook with no changes N/A Glossary Definition of ‘SECN’ This is a new definition added to the FCA Handbook Art 2(1) UK SR Glossary Definition of ‘securitisation’ The UK SR definition was transferred to SR2024 with drafting changes. No policy change was intended. Amendment to the FCA Handbook to clarify that:
1. in paragraph 1, the cross
reference to paragraph 3 should be paragraph 4, and
2. paragraph 4 is amended to
include SECN and to update the cross-reference to SR 2024 Art 2(19) UK SR Glossary Definition of ‘securitisation position’ The UK SR definition was transferred to SR 2024 with no changes. Amendment to FCA Handbook to clarify that:
1. paragraph 2 is deleted, and
2. new paragraph 3 is added which
cross-refers to SR 2024
Glossary Glossary Definition of ‘Securitisation Regulations 2024’ This is a new definition added to the FCA Handbook Art 2(23) UK SR Glossary Definition of ‘securitisation repository’ The UK SR definition was transferred to SR 2024 with minor drafting changes. Amendment to the FCA Handbook to apply to SECN and cross-refer to SR Art 2(2) UK SR Glossary Definition of ‘securitisation special purpose entity’ The UK SR definition was transferred to SR 2024 with no changes. Amendment to the FCA Handbook to add new paragraph 3 which crossreferences to SR 2024 Art 2(13) UK SR Glossary Definition of ‘Servicer’ Transferred to the FCA Handbook with no changes

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Art 2(5) UK SR Glossary Definition of ‘sponsor’ The UK SR definition was transferred SR 2024 with drafting changes. No policy change intended Amendment to FCA Handbook to add paragraph 4 and cross-refer to SR N/A Glossary Definition of ‘SSPE’ This is a new definition added to the FCA Handbook N/A Glossary Definition of ‘STS criteria’ This is a new definition in the FCA Handbook Art 27(1) UK SR Glossary Definition of ‘STS notification’ Transferred to FCA Handbook from Art 27(1) UK SR with HSD changes – please refer to paragraph 6.6 of CP23/17 for more details N/A Glossary Definition of ‘STS securitisation’ This is a new definition in reg 3(1) of the Sec Reg 2024 Art 2(10) UK SR Glossary Definition of ‘synthetic securitisation’ Transferred to FCA Handbook with no changes N/A Glossary Definition of ‘third party verifier’ This is a new definition in reg 3(1) of the Sec Reg 2024 Glossary Glossary Definition of ‘trade repository’ New definition added to SR2024 Amendment to the FCA Handbook to add new paragraph 2 to cross-refer SR 2024 Art 2(9) UK SR Glossary Definition of ‘traditional securitisation’ Amendment to the FCA Handbook to add new para 1 which transfers UK SR definition with no changes Art 2(6) UK SR Glossary Definition of ‘tranche’ The UK SR definition was transferred to SR 2024 with no changes. Amendment to the FCA Handbook to add new paragraph 3 to cross-refer to SR 2024 Art 2(A1) – Art 2(A10) UK SR Not applicable Various definitions Not transferred N/A SECN 1.1.3R GEN General Principles Certain provisions of GEN in the FCA Handbook have been applied to SECN entities. This is to ensure that certain general provisions, for example, those dealing with the Handbook Glossary apply to SECN entities. N/A SECN 1.1.4G GEN General Principles Provision confirms that for authorised persons, GEN applies as usual

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
N/A SECN 1.1.5R PRIN Principles for Businesses Policy change. Please refer to Chapter 6 – Consequential changes - of the PS for further details. N/A SECN 2.1.1G Scope of application of the requirements for the STS securitisations Policy change. Guidance added to clarify the scope of application. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 19 UK SR SECN 2.2.1R Requirements
for a securitisation to be considered STS Transferred to FCA Handbook with HSD changes.
Article 20 UK SR SECN 2.2.2R
to SECN
2.2.14R
Simplicity requirements
Transferred to FCA Handbook with HSD changes.
Article 21 UK SR SECN 2.2.15R
to SECN
2.2.24R
Standardisation requirements
Transferred to FCA Handbook with HSD changes.
Article 22 UK SR SECN 2.2.25R
to SECN
2.2.29R
Transparency requirements
Transferred to FCA Handbook with HSD changes Policy change. Please refer to
Chapter 4 – Due diligence – of the
PS for further details. Introduction of the concept of “commitment to invest” to accommodate for private securitisations where the concept of “pricing” does not always apply.
Article 23 UK SR SECN 2.3.1R STS Criteria:
Simple, transparent and standardised ABCP securitisation Transferred to FCA Handbook with HSD changes.
Article 24 UK SR SECN 2.3.2R
to SECN
2.3.22R
Transaction-level requirements
Transferred to FCA Handbook with HSD changes.
Policy change. Please refer to
Chapter 4 – Due diligence – of the
PS for further details. Introduction of the concept of ‘commitment to invest’ to accommodate for private securitisations where ‘pricing’ does not always apply.
Article 25 UK SR SECN 2.3.23R
to SECN
2.3.29R
Sponsor of an
ABCP programme
Transferred to FCA Handbook with HSD changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 26 UK SR SECN 2.3.30R
to SECN
2.3.37R
Programme-level requirements
Transferred to FCA Handbook with HSD changes.
Retained EU SECN 2.4 STS criteria: Transferred to FCA Handbook with law version of Homogeneity HSD changes. Commission of underlying Policy change. Please refer to Delegated exposures Chapter 6 – Other measures - of Regulation (EU) the PS for further detail. This is to 2019/1851 specify circumstances where loans to certain corporates can be treated as homogeneous with loans to individuals. Please refer to Chapter 6 of CP 23/17 for further policy clarifications.
Article 27 UK SR SECN 2.5 STS notification Transferred to FCA Handbook with
HSD changes.
Additional clarification. Please refer to Chapter 6 of CP23/17 for further detail.
Article 27 UK SR SECN 2.5.2
R(1)
STS notification Conforming change to SR 2024. SR are registered by the FCA.
Article 27 UK SR SECN 2.5.2
R(2)
STS notification Policy change. Please refer to Chapter 6 – Use of an FCA registered TPV – of the PS. It clarifies that if a TPV is used, that TPV must be registered with the FCA. Retained EU SECN 2.6 Information to be HSD and correction of the title which law version of included in the does not apply to the SSPE. Commission STS notification Delegated by the originator, Regulation (EU) sponsor and the 2020/1226 SSPE Retained EU law version of Commission Delegated Regulation (EU) 2020/1226 SECN 2.6.3G Information to be included in the STS notification by the originator, sponsor and the SSPE Policy change. This a clarification that references to ‘pricing’ in the STS notification must be read to also include ‘original commitment to invest’ to accommodate for private securitisations. Retained EU law version of Commission Delegated Regulation (EU) 2020/1227 SECN 2.7 Templates for STS notifications Transferred to FCA Handbook with no changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 3 UK SR SECN 3 Selling
securitisation positions to retail clients Transferred to FCA Handbook with neither policy change nor any HSD amendments. We understand that market participants generally operate satisfactorily within the current provision, although we plan to keep the provision under review and may consider changes to it at a later stage. However, we have made currency adjustments: Please refer to Chapter 6 of CP23/17 for further detail.
Article 3 UK SR SECN 3.1.1G Selling
securitisation positions to retail clients Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 4 UK SR N/A Requirements for
SSPEs
Transferred to SR 2024 with policy changes. Please see paragraph 5.5 of Explanatory Memorandum to the Securitisation (Amendment) Regulations 2024 for further details.
Article 5 UK SR N/A Due diligence
requirements in relation to OPS Transferred to the SR 2024 for occupational pensions schemes only. Please see paragraph 5.7 of Explanatory Memorandum to the Securitisation (Amendment) Regulations 2024 for further details.
Article 5 UK SR SECN 4.1.1G Scope of
application of the due diligence requirements Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 5(1) UK
SR
SECN 4.2.1R Due diligence requirements before holding a securitisation position Transferred to FCA Handbook with policy change. Please refer to
Chapter 4 – Due diligence - of the
PS for further details. We specify the information that is required to be received by institutional investors when investing in both domestic and overseas securitisations.
Article 5(1) UK
SR
SECN 4.2.1R
Table lines 4, 6
and 7
Due diligence requirements before holding a securitisation position Transferred to FCA Handbook with policy change. Please refer to Chapter 4 for further details. Introduction of the concept of ‘commitment to invest’ to accommodate for private securitisations where ‘pricing’ does not always apply. And differentiation between primary and secondary market.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 5(1) UK SECN 4.2.1R Due diligence Policy change. Conforming change
SR Table line 7 requirements before holding a securitisation position to SR 2024. This cross refers to notifications by qualifying EU securitisations.
Article 5(3) UK SECN 4.2.2R Due diligence Transferred to FCA Handbook.
SR requirements before holding a securitisation position Conforming change to SR 2024. This is to accommodate for overseas STS securitisations which is referred to in 4.2.2(1)(d).
Article 5(3) UK
SR
SECN 4.2.3R Due diligence requirements before holding a securitisation position Transferred to FCA Handbook with policy change. See Chapter 4 – STS securitisation - of the PS for further details. Clarification that responsibility of institutional investors to comply with due diligence is not affected by the use of a TPV transferred from
Article 27(2) paragraph 1 of the UK SR.
Article 5(2) UK SECN 4.3 Requirements Transferred to FCA Handbook with
SR for sponsors to undertake due diligence HSD changes.
Article 5(4) UK SECN 4.4 Due diligence Transferred to FCA Handbook
SR requirements while holding a securitisation position with HSD changes and changes highlighted below.
Article 5(4) UK SECN 4.4.2R Due diligence Transferred to FCA Handbook with
SR requirements while holding a securitisation position policy change. Please refer to Chapter 6 – Resecuritisation and waivers – of the PS for further details.
Article 5(5) UK SECN 4.5 Institutional Transferred to FCA Handbook with
SR investor delegation policy change. Please refer to Chapter 4 – Delegation of due diligence requirement – of the PS for further details. N/A SECN 5.1.1G Scope of application of the risk retention requirements Policy change. Guidance added to clarify the scope of application. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 6(1) UK SECN Requirement to Transferred to FCA Handbook with no
SR 5.2.1R-SECN
5.2.5R retain a material net economic interest of not less than 5%. changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 6(2) UK
SR
SECN 5.2.6R Selection of assets Transferred to FCA Handbook with no changes. Recital 11, EU SR 5.2.7R Selection of assets Policy change. Included recital 11 of the EU SR to allow originators and sponsors to select assets which as a whole have a higher risk profile.
Article 6(3) UK
SR
SECN 5.2.8
R(1)
List describing what qualifies as a retention of a material net economic interest of not less than 5% Transferred to FCA Handbook with no changes. N/A SECN 5.2.8 Calculation Policy change. See Chapter 5 R(2) of the risk retention for NPE securitisations of the CP and Chapter 5 – NPE securitisation – of the PS for further details.
Article 6(4) UK
SR
SECN 5.2.9R Risk retention requirements if originator or sponsor securitises exposures from one or more credit institutions, investment firms or other financial institutions included in scope of supervision on a consolidated basis Transferred to FCA Handbook with no changes.
Article 6(5) UK
SR
SECN 5.2.10R Exception to risk retention requirement for securitised exposures which are guaranteed Transferred to FCA Handbook with no changes.
Article 6(6) UK
SR
SECN 5.2.11R Exception to risk retention requirement for indexed transactions Transferred to FCA Handbook with no changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 3(1) SECN 5.3.1R Implications of Transferred to FCA Handbook with no
Commission requirement that changes.
Delegated retained material
Regulation (EU) net economic
625/2014 (‘2014 interest must not Requirements’) be split amongst different types of retainers
Article 3(2) 2014 SECN 5.3.2R Pro rata risk Transferred to FCA Handbook with no
Requirements retention if multiple originators fulfilling risk retention requirement changes.
Article 3(3) 2014
Requirements
SECN 5.3.3R Pro rata risk retention if multiple original lenders fulfilling risk retention requirement Transferred to FCA Handbook with no changes.
Article 3(4) 2014 SECN 5.3.4R Conditions Transferred to FCA Handbook with no
Requirements meaning the retention requirement may be fulfilled in full by a single originator or original lender changes.
Article 5(5) 2014 SECN 5.3.5R Requirements if Transferred to FCA Handbook with no
Requirements multiple sponsors fulfil the retention requirement changes. N/A SECN 5.3.6R Matters to consider when assessing whether an entity has been established or operates for the sole purpose of securitising exposures Please refer to Chapter 5 - Sole purpose test - of the PS for the detail of the policy change.
Article 4 2014 SECN 5.4.1R Conditions to Transferred to FCA Handbook. Please
Requirements be met for a synthetic or contingent form of retention to be allowed refer to Chapter 5 - Exemption from cash collateralisation for synthetic/ contingent form of retention - of the PS for the detail of the policy change .

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 5 2014 SECN 5.5.1R Methods of Transferred to FCA Handbook with no
Requirements complying with requirement to retain not less than 5 % of the nominal value of each of the tranches changes.
Article 6 2014
Requirements
SECN 5.6.1R When retention of originator’s interest of not less than 5% of the nominal value of each of the securitised exposures is considered fulfilled Transferred to FCA Handbook with no changes.
Article 7 2014 SECN 5.7.1R Retention of Transferred to FCA Handbook with
Requirements randomly selected exposures equivalent to not less than 5% of the nominal value of the securitised exposures HSD changes.
Article 8 2014
Requirements
SECN 5.8.1R The retention of the first loss tranche Transferred to FCA Handbook with no changes
Article 9 2014 SECN 5.9.1R Retention of Transferred to FCA Handbook with no
Requirements a first loss exposure of not less than 5% of every securitised exposure changes. N/A SECN 5.10R Application of the retention options on NPE securitisations Policy change. Please refer to Chapter 5 - NPE securitisation - of the PS for the detail of the policy change.
Article 10 2014
Requirements
SECN 5.11.1R Measurement of the level of retention Transferred to FCA Handbook with no changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 11 2014 SECN Measurement Transferred to FCA Handbook with no
Requirements 5.11A.1R of retention for exposures in the form of drawn and undrawn amounts of credit facilities changes.
Article 12
Commission
Delegated
Regulation (EU)
2023/2175
SECN 5.12 Prohibition of hedging or selling the retained interest Policy change. Please refer to
Chapter 5 of the CP for the detail
of the policy changes. We have included the possibility to transfer the retention in the event of the retainer’s insolvency. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted. Recital 7 of Commission Delegated Regulation (EU) 2023/2175 SECN 5.12.1R Derogation to the prohibition of the hedging of material net interest Policy change. Please see Chapter 5 – Recitals relevant to risk retention – of the PS for further details. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted.
Article 13 2014
Requirements
SECN 5.13.1R Exemptions in accordance with
Article 6(6) UK SR
Transferred to FCA Handbook with no changes.
Article 14 2014
Requirements
SECN 5.14 Retention on a consolidated basis Transferred to FCA Handbook with no changes.
Article
10(2) 2014
Requirements
SECN 5.15 Arrangements or embedded mechanisms Policy change. Please refer to
Chapter 5 of the CP for the detail of
the policy change.
Recital 1 2014
Requirements
SECN 5.16 Risk retention in securitisation of own liabilities Policy change. Please see Chapter 5 – Recitals relevant to risk retention – of the PS for further details.
Article 2(3) 2014 SECN 5.17 Retention Policy change. Please refer to
Requirements requirement on resecuritisations
Chapter 5 – Risk retention in relation
to resecuritisation of the PS for the detail of the policy change .
Article 18(1) of
Commission
Delegated
Regulation (EU)
2023/2175
SECN 5.18.1R Selection of assets New provision inserted to FCA Handbook. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 18(2) of
Commission
Delegated regulation (EU)
2023/2175
SECN 5.18.2G Selection of assets Policy change. Guidance to clarify that originator’s compliance with its internal policies, procedures and controls must be taken into account when assessing against cherry picking. Note: this is not a transfer of assimilated law, but a provision of post-IPCD material that is being adopted
Article 22 2014 SECN 5.19 Disclosure of Transferred to the FCA Handbook
Requirements the level of the commitment to maintain a net economic interest with policy change. Please refer to
Chapter 5 of the CP for the detail of
the policy change.
N/A SECN 6.1.1G Scope of application of the disclosure requirements Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 7(1) UK
SR
SECN 6.2.2R Transparency requirements for originators, sponsors and SSPEs Policy change. Please refer to Chapter 4 for further details. Introduction of the concept of ‘commitment to invest’ to accommodate for private securitisations where “pricing” does not always apply.
Article 7(1) UK
SR
SECN 6.2.5R Transparency requirements for originators, sponsors and SSPEs Transferred to FCA Handbook with HSD changes. N/A SECN 6.2.6G Transparency requirements for originators, sponsors and SSPEs Clarification that the confidentiality of the information would not prevent the FCA to request and process such information.
Article 7(2) UK
SR
SECN 6.3 Designation relating to securitisation repository Transferred to FCA Handbook with HSD changes. N/A SECN 7.1.1G Scope of application of the ban on resecuritisation Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 8(1) – (3)
UK SR
SECN 7.2 Requirements on ban on resecuritisation Policy change. Please refer to Chapter 6 – waiver and resecuritisation – of the PS for the detail of the policy change

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Article 8(4) UK SECN 7.3 Fully supported Transferred to FCA Handbook with no
SR ABCP programme not a resecuritisation changes.
Article 9 UK SR SECN 8 Requirements on
credit granting
Transferred to FCA Handbook with no changes.
N/A SECN 8.1.1G Scope of application of the credit granting criteria Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 9 UK SR SECN 8.2 Requirement on Transferred to FCA Handbook with
and recital 14 credit granting policy change. Please refer to Chapter EU SR 6 – credit granting criteria – of the PS for further details.
Article 9 UK SR SECN 8.3 Verification
arrangements
Transferred to FCA Handbook with no changes.
N/A SECN 9.1.1G Scope of application of the requirements on SR Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details.
Article 10(4) UK SECN 9.2 Securitisation Transferred to FCA Handbook with
SR repository registration conditions HSD changes.
Article 17(1) UK
SR
SECN 9.3 Requirement for securitisation repositories to collect and maintain securitisation details Transferred to FCA Handbook with HSD changes.
Article 10(5) UK SECN 9.4 Format of Transferred to FCA Handbook with
SR and applications for HSD changes.
Retained EU registration as law version of a securitisation Commission repository or for Implementing extension of a Regulation (EU) registration of a 2020/1228 trade repository

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
Retained EU law version of
Commission
Delegated
Regulation (EU)
2020/1229
SECN 9.5 Operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency by securitisation repositories Transferred to FCA Handbook with HSD changes. Retained EU SECN 9.6 Details of the Transferred to FCA Handbook with law version of application for HSD changes. Commission registration of Delegated a securitisation Regulation (EU) repository and 2020/1230 the details of the simplified application for an extension of registration of a trade repository Retained EU law version of Commission Delegated Regulation (EU) 2019/885 SECN 10 Requirements on third party verifiers Transferred to FCA Handbook with HSD changes. Not applicable SECN 10.1.1G Scope of application of
Chapter 10
Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details. Retained EU SECN 11 Information and Transferred to FCA Handbook with law version of the details of a HSD changes. Commission securitisation, Delegated which the Regulation (EU) originator, 2020/1224 sponsor and SSPE must make available Not applicable SECN 11.1.1G Scope of application of
Chapter 11
Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details. Retained EU law version of Commission Delegated Regulation (EU) 2020/1225 SECN 12 Format and standardised templates for making available the information and details of a securitisation Transferred to FCA Handbook with HSD changes.

Source of provision
Handbook
Reference Subject matter
Policy change/HSD1
/ other comment
N/A SECN 12.1.1G Scope of application of
Chapter 12
Policy change. Please see Chapter 6 – Geographical scope – of the PS for further details. N/A SECN 13 Waivers Policy change Please see Chapter 3 – Waivers – of the PS for further details. Art 43 UK SR SECN 14.2 Transitional provisions For pre-2019 securitisations: some provisions were transferred to SR2024 from Art 43 UK SR and some were transferred to FCA Handbook with HSD changes only For pre-revocation securitisations:
Policy change. Please see Chapter 6 – Transitional provisions – of the PS for further details.

Annex 3
Abbreviations used in this paper Abbreviation Description ABCP Asset-back Commercial Paper AIFM Alternative Investment Fund Manager CBA Cost Benefit Analysis CLO Collateralised Loan Obligation COLL Collective Investment Schemes Sourcebook CP Consultation Paper CRR Capital Requirements Regulation DAR Designated Activities Regime DEPP Decision Procedure and Penalties Manual EBA European Banking Authority EG Enforcement Guide ESG Environmental, Social and Governance EU European Union EU RR RTS 2023 EU Risk Retention Technical Standards 2023 EU SR EU Securitisation Regulation FCA Financial Conduct Authority FEES FEES Manual FSMA Financial Services and Markets Act 2000 FSMA 2023 Financial Services and Markets Act 2023 FUND FUND Investment Sourcebook

Abbreviation Description
HM Treasury His Majesty’s Treasury HSD Handbook Style-Drafting MIFIDPRU Prudential Sourcebook for MiFID Investment Firms NPE Non-performing Exposure NRPPD Non-refundable Purchase Price Discount OPS Occupational Pension Scheme PRA Prudential Regulation Authority PRIN Principles for Businesses PS Policy Statement RTS Regulatory Technical Standards SICGO Secondary International Competitiveness and Growth SECN Securitisation Sourcebook SR Securitisation Repository SR 2024 Securitisation Regulations 2024 SRF Smarter Regulatory Framework SSPE Securitisation Special Purpose Entity STS Simple, Transparent and Standardised SYSC Senior Management Arrangements, Systems and Controls TPV Third Party Verifier UK United Kingdom UK SR UK Securitisation Regulation

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Appendix 1
Made rules (legal instrument)

FCA 2024/18
SECURITISATION (SMARTER REGULATORY FRAMEWORK AND CONSEQUENTIAL AMENDMENTS) INSTRUMENT 2024 Powers exercised A. The Financial Conduct Authority (“the FCA”) makes this instrument 1 in the exercise of the powers and related provisions in or under:
(1) the following sections of the Financial Services and Markets Act 2000 (“the Act”):
(a) section 137A (The FCA’s general rules); (b) section 137T (General supplementary powers); (c) section 138D (Actions for damages); and (d) section 139A (Power of the FCA to give guidance). (2) the following provisions of the Securitisation Regulations 2024:
(a) regulation 5 (FCA rules);
(b) regulation 6 (Power of FCA to give directions); (c) regulation 15 (Application for registration); (d) regulation 22 (Power of FCA to make rules in relation to securitisation repositories; (e) regulation 26 (Application for registration to provide a third party verification service); and (f) regulation 34 (Due-diligence requirements of small registered UK AIFMs as institutional investors). B. The rule-making powers listed in (1) and (2)(a), (d) and (f) above are specified for the purposes of section 138G(2) (Rule-making instruments) of the 2000 Act. Commencement
C. This instrument comes into force on 1 November 2024.
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 1 The material in this instrument is in part adapted from Crown © and database right material re-used and adapted under the Open Government Licence (www.nationalarchives.gov.uk/doc/open-governmentlicence/version/3/). The instrument also includes material adapted from the European Institutions © European Union, 1998–2019 and re-used and adapted under the terms of the Commission Decision 2011/833/EU. The material in this instrument is in part adapted from the European Institutions © European Union, 1998–2024 and re-used and adapted under the terms of the Commission Decision 2011/833/EU.

FCA 2024/18
(1) (2)
Senior Management Arrangements, Systems and Controls sourcebook (SYSC)
Annex B
General Provisions sourcebook (GEN) Annex C Fees manual (FEES) Annex D Prudential sourcebook for MiFID Investment Firms (MIFIDPRU)
Annex E
Decision Procedures and Penalties manual (DEPP) Annex F Collective Investment Schemes sourcebook (COLL) Annex G Investment Funds sourcebook (FUND) Annex H Making the Securitisation sourcebook (SECN) E. The FCA makes the rules, gives the guidance and makes the directions in Annex I to this instrument. F. The Securitisation sourcebook (SECN) is added to the Specialist Sourcebooks block within the Handbook, immediately after the Regulated Covered Bonds sourcebook (RCB). Notes G. In the Annexes to this instrument, the notes (indicated by “Note:” or “Editor’s note:”) are included for readers’ convenience, but do not form part of the legislative text. Citation H. This instrument may be cited as the Securitisation (Smarter Regulatory Framework and Consequential Amendments) Instrument 2024.
I. The sourcebook in Annex I to this instrument may be cited as the Securitisation
sourcebook (SECN).
By order of the Board
[date]

FCA 2024/18
Annex A
Amendments to the Glossary of definitions In this Annex, underlining indicates new text and striking through indicates deleted text, unless otherwise stated. Insert the following new definitions in the appropriate alphabetical position. The text is not underlined. ABCP programme has the meaning in regulation 3(1) of the Securitisation Regulations 2024. ABCP transaction has the meaning in regulation 3(1) of the Securitisation Regulations 2024. early amortisation provision a contractual clause in a securitisation of revolving exposures or a revolving securitisation which requires, on the occurrence of defined events, investors’ securitisation positions to be redeemed before the originally stated maturity of those positions. established in the United Kingdom has the meaning in regulation 3(1) of the Securitisation Regulations 2024. FCA investment firm (in SECN) has the meaning given in Article 4(1)(2AB) of the UK CRR. first loss tranche the most subordinated tranche in a securitisation that is the first tranche to bear losses incurred on the securitised exposures and thereby provides protection to the second loss and, where relevant, higher-ranking tranches. fully supported ABCP programme (in SECN) means an ABCP programme that its sponsor directly and fully supports by providing to the securitisation special purpose entity one or more liquidity facilities covering at least all of the following:
(a) all liquidity and credit risks of the ABCP programme; (b) any material dilution risks of the exposures being securitised; and (c) any other ABCP transaction-level and ABCP programme-level costs if necessary to guarantee to the investor the full payment of any amount under the asset-backed commercial paper. fully supported ABCP transaction (in SECN) means an ABCP transaction supported by a liquidity facility, at transaction level or at ABCP programme level, that covers at least all of the following:
(a) all liquidity and credit risks of the ABCP transaction; (b) any material dilution risks of the exposures being securitised in the

FCA 2024/18
ABCP transaction; and
(c) any other ABCP transaction-level and ABCP programme-level costs if necessary to guarantee to the investor the full payment of any amount under the asset-backed commercial paper. institutional has the meaning in regulation 3(1) of the Securitisation Regulations 2024. investor investor has the meaning in regulation 3(1) of the Securitisation Regulations 2024. liquidity facility the securitisation position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors. non-performing an exposure that meets any of the conditions set out in Article 47a(3) of exposure the UK CRR. non-refundable means the difference between the outstanding balance of the exposures in purchase price the underlying pool and the price at which those exposures are sold by the discount originator to the SSPE, where neither the originator nor the original lender are reimbursed for that difference. NPE non-performing exposure. NPE a securitisation backed by a pool of non-performing exposures, the securitisation nominal value of which makes up not less than 90% of the entire pool’s nominal value at the time of origination and at any later time where assets are added to or removed from the underlying pool due to replenishment or restructuring. original lender has the meaning in regulation 3(1) of the Securitisation Regulations 2024. reporting entity the entity designated in accordance with the SECN 6.3.1R(1). resecuritisation a securitisation where at least one of the underlying exposures is a securitisation position. revolving an exposure whereby borrowers’ outstanding balances are permitted to exposure fluctuate based on their decisions to borrow and repay, up to an agreed limit. revolving a securitisation where the securitisation structure itself revolves by securitisation exposures being added to or removed from the pool of exposures irrespective of whether the exposures revolve or not. SECN the Securitisation sourcebook. Securitisation the Securitisation Regulations 2024 (SI 2024/102). Regulations 2024 servicer an entity that manages a pool of purchased receivables or the underlying credit exposures on a day-to-day basis.

FCA 2024/18
STS criteria (1) in relation to securitisations that are not ABCP transactions or ABCP programmes, SECN 2.2.2R to SECN 2.2.29R. (2) in relation to ABCP transactions, SECN 2.3.2R to SECN 2.3.22R. (3) in relation to ABCP programmes, SECN 2.3.30R to SECN 2.3.37R. STS notification means a notification to the FCA made in accordance with SECN 2.5. STS securitisation has the meaning in regulation 3(1) of the Securitisation Regulations 2024. synthetic a securitisation where the transfer of risk is achieved by the use of credit securitisation derivatives or guarantees, and the exposures being securitised remain exposures of the originator. Amend the following definitions as shown. client money … (2C) … (2D) (in SECN) subject to the client money rules, money of any currency that a firm treats as client money in accordance with the client money rules. … client money rules … (3) (in SECN, CASS 3, CASS 6, CASS 7, CASS 7A, COBS and FEES) CASS 7.10 to CASS 7.19. CRR firm (1) (for the purposes of SYSC) a UK bank, building society, and a UK designated investment firm. (2) (in SECN) has the meaning given in Article 4(1)(2A) of the UK CRR. mixed financial (1) (other than in SECN) a parent undertaking, other than a holding company regulated entity, which meets the following conditions:
…
(c) …
…
(ii) …
(2) (in SECN) has the meaning given in regulation 1(2) of the

FCA 2024/18
Financial Conglomerates and Other Financial Groups Regulations 2004. network (1) (other than in SECN) a firm:
…
(iv) …
(2) (in SECN) the larger structure, which is:
(a) aimed at cooperation and to which any person or any other entity, regardless of its legal form, whether established in the United Kingdom or in a third country, that is empowered by applicable law to carry out statutory audits of annual financial statements or consolidated financial statements insofar as required under applicable law, belongs; and (b) clearly aimed at profit or cost-sharing or shares common ownership, control or management, common qualitycontrol policies and procedures, a common business strategy, the use of a common brand name or a significant
part of professional resources.
occupational pension scheme
(a) (1) (other than in SECN) a scheme specified in article Article 3(1) of the Regulated Activities Order (Interpretation)) which is, in summary, a pension scheme established for the purpose of providing benefits to people with service in employments of a prescribed description. (2) (in SECN) has the meaning in paragraph (c) of the definition of institutional investor in regulation 3(1) of the Securitisation Regulations 2024. originator (-1) (other than in MIPRU) has the meaning in regulation 3(1) of the Securitisation Regulations 2024. (1) (in MIPRU) in relation to a securitisation within the meaning of paragraph (2) of the definition of securitisation) either of the following:
…
(2) (except in (1)) means an entity which:
(a) itself or through related entities, directly or indirectly, was involved in the original agreement which created the obligations or potential obligations of the debtor or potential debtor giving rise to the exposure being securitised; or

FCA 2024/18
(b) purchases a third party’s exposures for its own account and then securitises them. [Note: article 4(1)(13) of the UK CRR] [deleted] over collateralisation (1) … (2) (in SECN) means any form of credit enhancement by virtue of which underlying exposures are posted in a value which is higher than the value of the securitisation positions. retail client (1) (in SECN and other than in relation to the provision of basic advice on stakeholder products or to credit-related regulated activities) in accordance with COBS 3.4.1R, a client who is neither a professional client or an eligible counterparty; or (2) (other than in SECN and in relation to the provision of basic advice on a stakeholder product and in accordance with article 52B of the RAO) any person who is advised by a firm on the merits of opening or buying a stakeholder product where the advice is given in the course of a business carried on by that firm and it is received by a person not acting in the course of a business carried on by him; or (3) (other than in SECN and in relation to credit-related regulated activity and regulated claims management activity) a customer. securitisation (1) (subject to (2) and (3 4)) a process by which assets are sold to a bankruptcy-remote special purpose vehicle in return for immediate cash payment and that vehicle raises the immediate cash payment through the issue of debt securities in the form of tradable notes or commercial paper. … (4) (in FEES 4 Annex 16R Part 3, item J.3 and in SECN) has the same meaning as in article 2(1) of the Securitisation Regulation meaning in regulation 3(1) of the Securitisation Regulations 2024. securitisation position … (2) … (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations 2024. securitisation repository (in FEES and in SECN) a legal person that centrally collects and maintains the records of securitisations has the meaning in regulation 3(1)

FCA 2024/18 of the Securitisation Regulations 2024. securitisation special purpose entity … (2) … … (c) … (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations 2024. sponsor … (3) … (4) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations 2024. third party verifier a person authorised in accordance with paragraph 28(1) of the Securitisation Regulation has the meaning in regulation 3(1) of the Securitisation Regulations 2024. [Note: see https://eur-lex.europa.eu/eli/reg/2017/2402/oj] trade repository (1) (in FEES) a legal person that centrally collects and maintains the records of derivatives or securities financing transactions. (2) (in SECN) has the meaning in regulation 14(5) of the Securitisation Regulations 2024. traditional securitisation (1) a securitisation involving the transfer of the economic interest in the exposures being securitised through the transfer of ownership of those exposures from the originator to an SSPE or through sub-participation by an SSPE, where the securities issued do not represent payment obligations of the originator. (2) (for the purpose of MIPRU) a securitisation (within the meaning of paragraph (2) of the definition of securitisation) involving the economic transfer of the exposures being securitised to a securitisation special purpose entity which issues securities; and so that:
(a) this must be accomplished by the transfer of ownership of the securitised exposures from the originator or through sub-participation; and (b) the securities issued do not represent payment obligations of the originator.

FCA 2024/18
[Note: article Article 4(37) of the Banking Consolidation Directive (Definitions)] tranche … (2) … (3) (in SECN) has the meaning in regulation 3(1) of the Securitisation Regulations 2024.

FCA 2024/18
Annex B
Amendments to the Senior Management Arrangements, Systems and Control sourcebook (SYSC) In this Annex, underlining indicates new text and striking through indicates deleted text. Senior managers and certification regime: Management responsibilities maps and handover procedures and material … Examples of the business activities and functions of an SMCR firm
Annex 1
Business areas and Explanation management functions … … (12) Origination/syndication and underwriting Origination and syndication include:
…
(3) any transaction described in the each limb of the Glossary definition of originator. … …

FCA 2024/18
Annex C
Amendments to General Provisions sourcebook (GEN) In this Annex, underlining indicates new text. Sch 4 Powers exercised … Sch 4.3 G … Sch 4.3A G Power to make rules or to direct The following additional powers and related provisions have been exercised by the FCA in GEN to direct, require or specify:
Regulation 5 (FCA rules) of the Securitisation Regulations 2024 Regulation 6 (Power of FCA to give directions) of the Securitisation Regulations 2024 Regulation 15 (Application for registration) of the Securitisation Regulations 2024 Regulation 22 (Power of FCA to make rules in relation to securitisation repositories) of the Securitisation Regulations 2024 Regulation 26 (Application for registration to provide third party verification service) of the Securitisation Regulations 2024 Regulation 34 (Due-diligence requirements of small registered UK AIFMs as institutional investors) of the Securitisation Regulations 2024

FCA 2024/18
Annex D
Amendments to the Fees manual (FEES) In this Annex, underlining indicates new text and striking through indicates deleted text. 3 Application, Notification and Vetting Fees …
3.2 Obligation to pay fees
…
Method of payment
3.2.5 G (1)
(a) The appropriate authorisation or registration fee is an integral part of an application for, or an application for a variation of, a Part 4A permission or approver permission, authorisation, registration or variation under the Payment Services Regulations or the Electronic Money Regulations, registration under article 8(1) of the MCD Order, authorisation under regulation 7 of the DRS Regulations or verification under regulation 8 of the DRS Regulations or notification or registration under the AIFMD UK regulation, registration or certification under the CRA Regulation, registration or recognition under EMIR or the Securities Financing Transactions Regulation, or registration under the Securitisation Regulation Securitisation Regulations 2024. … … …
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 Due date reference to the pricing category in FEES 3 Annex 1AR.

FCA 2024/18
…
(e) Any applicant making an application set out in FEES 3
Annex 14R -
Other FCA application fees:
Pricing category applicable to the application set out in FEES 3 Annex 14R As specified in FEES 3
Annex 14R
…
(xi) an application for authorisation registration as a third party verifier; … … … 3 Annex 14R Other FCA application fees Application type Pricing category in Due date FEES 3 Annex 1AR … 7 An application for authorisation registration as a third party verifier 3 On the date the application is made …

FCA 2024/18
Annex E
Amendments to the Prudential sourcebook for MiFID Investment Firms (MIFIDPRU) In this Annex, underlining indicates new text and striking through indicates deleted text. 7 Governance and risk management …
7.7 ICARA process: assessing and monitoring the adequacy of liquid assets
…
7.7.12 G This table belongs to MIFIDPRU 7.7.11G.
Non-core liquid asset Haircut
…
Asset-backed securities eligible for ‘STS’ designation under the Securitisation Regulation Securitisation Regulations 2024, and backed by residential loans, personal loans, leases or commercial loans for purposes other than commercial real estate development, or comparable asset-backed securities regulated in a third country 25% - 35% … …

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Annex F
Amendments to the Decision Procedure and Penalties manual (DEPP) In this Annex, underlining indicates new text and striking through indicates deleted text. 2 Statutory notices and the allocation of decision making …
2.5 Provision for certain categories of decision
…
Notices under other enactments
…
2.5.18 G Some of the distinguishing features of notices given under enactments other
than the Act are as follows:
…
(8) Securitisation Regulation (as amended by the Securitisation (Amendment) (EU Exit) Regulations) The Securitisation Regulations 2024: where the FCA exercises its powers to refuse an application for registration of a securitisation repository under
article 12 regulation 16, or to refuse an application made by a
securitisation repository to withdraw its registration under article 13a regulation 19(3), it must give a written notice in accordance with article 13(6) regulation 20(5). In these circumstances, the decision to give a written notice under article 13(6) regulation 20(5) will be taken by FCA staff under executive procedures. Where the FCA exercises its powers to withdraw the registration of a securitisation repository on its own initiative under article 13a regulation 19(1) or (2), it must give a written notice in accordance with article 13(6)(b) regulation 20(5)(b). In these circumstances, the decision to give a written notice under article 13(6)(b) regulation 20(5)(b) will be taken by FCA staff under executive procedures. Upon receipt of a written notice under article 13a regulation 20, the securitisation repository may decide to seek a review or to refer the matter to the Tribunal. If the securitisation repository decides to seek a review of the decision set out in the article 13a regulation 20 notice, they can make representations to FCA staff under executive procedures. If FCA staff under executive procedures decide to maintain the original decision, the securitisation repository securitisation repository may refer the decision to do so to the Tribunal Tribunal. …

FCA 2024/18
2 Annex Warning notices and decision notices under the Act and certain other enactments … UK Description Handbook reference Decision Securitisation maker Regulations Applicable for decisions made under the Securitisation Regulations 2018 (SI 2018/1288) relating to things done or omitted before the main commencement day of the Securitisation Regulations 2024 (SI 2024/102) Regulation 19(1)(a) and 20(1)(a) when the FCA is proposing or deciding to impose a temporary prohibition relating to management functions under regulation 5 RDC Regulation 19(1)(b) and 20(1)(b) when the FCA is proposing or deciding to publish a statement under regulation 7 RDC Regulation 19(1)(c) and 20(1)(c) when the FCA is proposing or deciding to impose a financial penalty under regulation 8 RDC Regulation 19(1)(d) and 20(1)(d) when the FCA is proposing or deciding to refuse an application under regulation Executive procedures Regulation 19(1)(e) and 20(1)(e) when the FCA is proposing or deciding to cancel the authorisation of a third-party verification service otherwise than at its request under regulation 16 Executive procedures

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Regulation when the FCA is proposing or Executive 19(1)(f) and deciding to refuse a request to procedures 20(1)(f) cancel the authorisation of a third-party verification service under regulation 17 Paragraph 1 of when the FCA is proposing or RDC
Schedule 1 deciding to take action
against an individual by exercising the disciplinary powers conferred by section 66*, as applied by paragraph 1 of schedule 1 Paragraph 4 of when the FCA is proposing or RDC
Schedule 1 deciding to publish a
statement (under section 205), impose a financial penalty (under section 206), or suspend a permission or impose a restriction in relation to the carrying on of a regulated activity (under
section 206A) as applied by
paragraph 4 of schedule 1
Paragraph 6 of
Schedule 1
when the FCA is proposing or deciding to require restitution RDC Securitisation Regulations 2024 (SI 2024/102) Description Handbook reference Decision maker Regulation 43(1)(a) when the FCA is proposing or deciding to refuse under regulation 27 an application made under regulation 26 Executive procedures Regulation 43(1)(b) when the FCA is proposing or deciding to withdraw the registration of a third-party verification service under regulation 31 Executive procedures Regulation 43(1)(c) where the FCA is proposing or deciding to refuse an application to withdraw a person’s registration to provide a third-party Executive procedures

FCA 2024/18 verification service under regulation 32 Regulation 43(1)(d) when the FCA is proposing or deciding to impose a temporary prohibition relating to management functions under regulation 37 RDC Regulation 43(1)(e) when the FCA is proposing or deciding to publish a statement in respect of a person under regulation 41 RDC Regulation 43(1)(f) when the FCA is proposing or deciding to impose a financial penalty under regulation 42 RDC Paragraph 3 of
Schedule 1
when the FCA is proposing or deciding to take action against an individual by exercising the disciplinary powers conferred by section 66A(ac) of the Act as amended by paragraph 3 of
Schedule 1
RDC
Paragraph 11 of
Schedule 1
when the FCA is proposing or deciding to require restitution RDC … Securitisation (Amendment) (EU Exit) Regulations Description Handbook reference Decision maker Regulations 65(a) and 66(a) of the Trade Repositories (EU Exit) Regulations as applied by regulation 15 when the FCA is proposing or deciding to publish a statement under regulation 67 of the Trade Repositories (EU Exit) Regulations as applied by regulation 15 RDC

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Regulations 65(b) when the FCA is proposing RDC and 66(b) of the or deciding to impose a Trade financial penalty under Repositories (EU regulation 68 of the Trade Exit) Regulations Repositories (EU Exit) as applied by Regulations as applied by regulation 15 regulation 15 … 2 Annex Supervisory notices … UK Description Handbook Decision Securitisation reference maker Regulations … Securitisation Regulations 2024 (SI 2024/102) Description Handbook reference Decision maker Regulation 7(2) when the FCA is exercising its powers under regulation 6(1) to give directions under
section 71O of the Act
imposing on a person or a description of persons such requirements as the FCA considers appropriate in relation to the carrying out of activities specified under regulation 4 Executive procedures Regulation 11(2) when the FCA is exercising its powers under regulation 10(3)(a) to remove a transaction from the list of simple transparent and standardised securitisations where the FCA does not consider the securitisation to be an STS securitisation Executive procedures

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Regulation 30(3) and 30(6)(a), (d) or (e) when the FCA is exercising its powers under regulation 29(1) to temporarily withdraw authorisation, under regulation 29(2)(a) to revoke the temporary withdrawal to provide a third-party verification service or under regulation 29(2)(b) to vary the period for which a temporary withdrawal has effect Executive procedures Regulation 40(3) or (6)(a), (d) or (e) when the FCA is exercising its powers under regulation 39(1) to impose a temporary ban under regulation 39(2)(b) to vary the period for which a temporary ban has effect or under regulation 39(2)(a) to revoke a temporary ban to provide simple transparent and standardised notifications Executive procedures … Securitisation (Amendment) (EU Exit) Regulations Description Handbook reference Decision maker
Article 13(6)(a) and
13(11)(a) of the
Securitisation
Regulation as amended by regulation 15 when the FCA is exercising its power to refuse an application for registration of securitisation repository under article 12 of the Securitisation Regulation as amended by regulation 15 Executive procedures (see DEPP 2.5.18G(8))
Article 13(6)(b) and
13(11)(b) of the
Securitisation
Regulation as amended by regulation 15 when the FCA is exercising its power to withdraw the registration of a securitisation repository on its own initiative under article Executive procedures (see DEPP 2.5.18G(8))

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13(a)(1) or 13(a)(2) of the Securitisation Regulation as amended by regulation 15
Article 13(6)(c) and
13(11)(c) of the
Securitisation
Regulation as amended by
Regulation 15 when the FCA is exercising its power to refuse an application made by a securitisation repository to withdraw its registration under
article 13a(3) of the
Securitisation
Regulation as amended by regulation 15 Executive procedures (see DEPP 2.5.18G(8)) … … 6 Penalties
6.1 Introduction
6.1.1 G …
6.1.1A G DEPP 6 includes the FCA’s statement of policy with respect to the imposition and amount of penalties under:
(1) Regulation 9(1)(c) and (d) of the UK Securitisation Regulations; and (2) Regulation 46(1)(c) and (d) of the Securitisation Regulations 2024. … 6A The power to impose a suspension, restriction, condition, limitation or disciplinary prohibition 6A.1 Introduction 6A.1.1 G DEPP 6A sets out the FCA’s statement of policy with respect to:
…
(3) …
(4) the imposition of temporary prohibitions on management functions under regulation 37 of the Securitisation Regulations 2024. 6A.1.2 G …

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(5) “disciplinary prohibition” refers to:
(a) a temporary or permanent prohibition on an individual holding an office or position involving responsibility for taking decisions about the management of a MiFID investment firm (under section 123A(2)(a) and (3) of the Act) or; (b) a temporary prohibition on an individual directly or indirectly acquiring or disposing of financial instruments on their own account or the account of a third party, (under section 123A(2)(b) of the Act) or; (c) a temporary prohibition on an individual directly or indirectly making a bid at an auction conducted by a recognised auction platform, on their own account or the account of a third party (under section 123A(2)(c) of the Act).; or (d) a temporary prohibition of an individual that has contravened, or has been knowingly concerned in the contravention of, a relevant requirement (as defined by regulation 35 of the Securitisation Regulations 2024). … Sch 3 Fees and other required payments … Sch 3.2 G The FCA’s power to impose financial penalties is contained in:
… the UK Securitisation Regulations the Securitisation Regulations 2024 … Sch 4 Powers Exercised Sch 4.1 G The following powers and related provisions in or under the Act have been exercised by the FCA to make the statements of policy in DEPP:

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Sch 4.2 G
…
Section 395 (The Authority’s procedures) (including as applied by
paragraph 7 of Schedule 5 to the Payment Services Regulations, by article 24(2) of the MCD Order, regulation 44 of the Small and Medium Sized Business (Credit Information) Regulations, by paragraph 4 of Schedule 7 of the Payment Accounts Regulations and by, regulation 41 of the Small and Medium Sized Business (Finance Platforms) Regulations and by paragraph 12(6) of Schedule 1 to the Securitisation Regulations 2024) … The following additional powers and related provisions have been exercised by the FCA to make the statements of policy in DEPP:
…
Application of Part 26 of the Act (notices) of the UK Securitisation Regulations Regulation 46 (Statement of policy) of the Securitisation Regulations 2024 Paragraph 10 of Schedule 1 (Application of Part 11 of the Act (information gathering and investigation)) of the Securitisation Regulations 2024 Paragraph 12 of Schedule 1 (Application of Part 26 of the Act (notices)) of the Securitisation Regulations 2024 … Regulation 69 (Statement of policy) of the Trade Repositories (EU Exit) Regulations, as applied by regulation 15 of the Securitisation (Amendment) (EU Exit) Regulations Regulation 71 (Powers to issue guidance) of the Trade Repositories (EU Exit) Regulations, as applied by regulation 15 of the Securitisation (Amendment) (EU Exit) Regulations Regulation 75 (Application of Part 11 of the Act) (information gathering and investigations) of the Trade Repositories (EU Exit) Regulations as applied by regulation 15 of the Securitisation (Amendment) (EU Exit) Regulations

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Regulation 76 (Application of Part 26 of the Act (notices) of the Trade Repositories (EU Exit) Regulations, as applied by regulation 15 of the Securitisation (Amendment) (EU Exit) Regulations …

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Annex G
Amendments to the Collective Investment Schemes sourcebook (COLL) In this Annex, underlining indicates new text and striking through indicates deleted text. 5 Investment and borrowing powers …
5.2 General investment powers and limits for UCITS schemes
…
Investment in securitisation positions 5.2.17A R Where an authorised fund manager is exposed to a securitisation that does not meet the requirements provided for in the Securitisation Regulation SECN and, where applicable, the Securitisation Part of the PRA Rulebook, it must, in the best interests of the investors in the relevant UCITS scheme, act and take corrective action, if appropriate. [Note: article Article 50a of the UCITS Directive] 5.2.17B G Article 5 SECN 4 (Due diligence requirements for institutional investors) of the Securitisation Regulation applies to authorised fund managers in combination with COLL 5.2.17AR. …

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Annex H
Amendments to the Investments Funds sourcebook (FUND) In this Annex, underlining indicates new text and striking through indicates deleted text. 3 Requirements for alternative investment fund managers …
3.5 Investment in securitisation positions
…
Corrective action
3.5.5 R Where an AIFM is exposed to a securitisation that does not meet the
requirements provided for in the Securitisation Regulation SECN and, where applicable, the Securitisation Part of the PRA Rulebook, it must, in the best interests of the investors in the relevant AIFs, act and take corrective action, if appropriate. [Note: article Article 17 of AIFMD]
3.5.6 G Article 41 of the Securitisation Regulation replaced the original article 17
of AIFMD with an amended provision. FUND 3.5.4R and 3.5.5R originally implemented article Article 17 of AIFMD, as amended. which is now replaced by provisions set out in SECN and the Securitisation Part of the PRA Rulebook. The due diligence provisions that AIFMs must comply with are set out in SECN 4, but transitional provisions may apply depending on when the securitisation was issued (see FUND 3.5.8G and FUND 3.5.9G).
3.5.7 G A more general consequence of the replacement of article 17 of AIFMD is
that from 1 January 2019, Section 5 (Investment in Securitisation Positions) of the AIFMD level 2 regulation no longer applies, subject to transitional provisions. Where the transitional provisions are inapplicable, article 5 (Due-diligence requirements for institutional investors) of the Securitisation Regulation (in combination with FUND 3.5.4R and 3.5.5R), completely replaces Section 5 (articles 50 to 56 inclusive) of the AIFMD level 2 regulation. [deleted]
3.5.8 G The relevant transitional provisions that apply in relation to certain
securitisations issued during periods before 1 January 2019. They are set out in articles 43(5) and 43(6) of the Securitisation Regulation SECN 14.2.1R and SECN 14.2.2R. Where the transitional provisions apply, they have the effect that article 51 of the AIFMD level 2 regulation, concerning requirements for retained interest, and the due-diligence requirements provided for in Section 5 of that regulation, may continue to apply to eligible securitisations, instead of article 5 of the Securitisation Regulation SECN 4.

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3.5.9 G The transitional provisions that apply in relation to certain securitisations
issued between 1 January 2019 and 31 October 2024 are set out in SECN 14.3.1R. Article 5 (Due-diligence requirements for institutional investors) of the Securitisation Regulation continues to apply to these securitisations in combination with FUND 3.5.4R and FUND 3.5.5R.

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Annex I
Securitisation sourcebook (SECN) In this Annex, all the text is new and is not underlined. 1 Introduction
1.1 Application
1.1.1 G (1) The rules, guidance and directions in this sourcebook apply to:
(a) sponsors;
(b) originators;
(c) original lenders;
(d) SSPEs;
(e) body corporates applying to be registered as securitisation repositories; (f) securitisation repositories; (g) trade repositories; (h) sellers of securitisation positions; (i) persons applying to be registered as third party verifiers; (j) institutional investors; and (k) retail clients. (2) Each chapter of SECN has its own application provision which provides further details about who the requirements apply to.
1.1.2 G GEN does not apply in respect of the rules and guidance in SECN, except as
provided for in SECN 1.1.3R and SECN 1.1.4G.
1.1.3 R The rules and guidance in GEN 1.3, GEN 2.1, GEN 2.2.1R to GEN 2.2.16G
and GEN 2.2.18R to GEN 2.2.25G apply to the entities in SECN 1.1.1G(1) as they apply to authorised persons, insofar as they do not already apply.
1.1.4 G (1) GEN applies in its entirety to rules in SECN 4 applying to sponsors
and institutional investors who are authorised persons, as these rules were made under the general rule-making powers. (2) GEN also applies in its entirety to rules in SECN 7 applying to institutional investors who are authorised persons, as these rules were made under the general rule-making powers.

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1.1.5 R The entities referred to in SECN 1.1.1G(1) must deal with the FCA in an
open and cooperative way.
1.2 Purpose
1.2.1 G The general purpose of this sourcebook is to impose requirements by way of
rules and directions and give guidance in relation to securitisation.
1.2.2 G The Securitisation Regulations 2024 restate some provisions of the
Securitisation Regulation, in some cases with modifications.
1.2.3 G This sourcebook should be read together with the Securitisation Regulations
2024 and the Securitisation Part of the PRA Rulebook. 2 Requirements on STS securitisations
2.1 Application
2.1.1 G The rules in this chapter apply to the person(s) who notify the FCA under
SECN 2.5. Some of the provisions in this chapter are also directly applicable to any sponsors, originators, SSPEs or original lenders where relevant.
2.2 STS criteria: Simple, transparent and standardised non-ABCP
securitisation
2.2.1 R A securitisation which is not an ABCP programme or an ABCP transaction
must fulfil the following requirements to be considered an STS securitisation:
(1) those in SECN 2.2.2R to SECN 2.2.29R; and (2) the FCA must have received an STS notification in respect of that securitisation and the securitisation must appear on the list it publishes under regulation 10(2) of the Securitisation Regulations 2024; and (3) the originator and sponsor involved in the securitisation must be established in the United Kingdom. Simplicity requirements
2.2.2 R (1) Any SSPE must acquire title to the underlying exposures in a manner
enforceable against the seller or any other third party, whether transfer of title is by means of:
(a) true sale;
(b) assignment; or
(c) another transfer with the same legal effect as (a) or (b). (2) If the seller becomes insolvent, the transfer of the title to the SSPE

FCA 2024/18 must not be subject to severe clawback provisions.
2.2.3 R For the purposes of SECN 2.2.2R(2), the following are severe clawback
provisions:
(1) those allowing the seller’s liquidator to invalidate the sale of the underlying exposures solely because it was concluded within a certain period before the declaration of the seller’s insolvency; (2) provisions where the SSPE can prevent the invalidation referred to in (1) only if it can prove it was unaware of the seller’s insolvency at the time of sale.
2.2.4 R For the purposes of SECN 2.2.2R(1), if provisions of national insolvency
laws allow a liquidator or court to invalidate the sale of underlying exposures in the following circumstances, such provisions are not severe clawback provisions:
(1) fraudulent transfers; or
(2) unfair prejudice to creditors or transfers intended to improperly favour particular creditors over others.
2.2.5 R If the seller is not the original lender, the transfer of the underlying
exposures to that seller by any of the means in SECN 2.2.2R(1) (whether direct or through one or more intermediate steps) must meet the requirements in SECN 2.2.1 to SECN 2.2.3.
2.2.6 R If the transfer of the underlying exposures is performed by assignment and
perfected after the transaction’s closing, the triggers to effect such perfection must be set broadly enough to require perfection in all of the following events:
(1) severe deterioration in the seller’s credit quality standing; (2) the seller’s insolvency; and (3) unremedied breaches of the seller’s contractual obligations, including the seller’s default.
2.2.7 R The seller must provide representations and warranties that, to the best of its
knowledge, the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.2.2R(1).
2.2.8 R (1) The underlying exposures the seller transfers to the SSPE (if an SSPE
is used) or that are otherwise securitised must meet predetermined, clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. (2) For the purposes of SECN 2.2.8R(1), substitution of exposures that are in breach of representations and warranties is not considered

FCA 2024/18 active portfolio management.
(3) Exposures transferred to the SSPE (if an SSPE is used) or otherwise added to the securitisation after the closing of the transaction must meet the eligibility criteria applied to the initial underlying exposures.
2.2.9 R (1) The securitisation must be backed by a pool of underlying exposures
that are homogeneous in terms of asset type, considering the specific characteristics relating to the asset type’s cash flows, including their contractual, credit-risk and prepayment characteristics. (2) Further details specifying which underlying exposures are homogeneous for the purposes of (1) are set out at SECN 2.4. (3) The underlying exposures must contain contractually binding and enforceable obligations, with full recourse to debtors and, where applicable, guarantors. (4) The underlying exposures must have defined periodic payment streams (the instalments of which may differ in their amounts) relating to rental, principal, or interest payments, or to any other right to receive income from assets supporting such payments. The underlying exposures may also generate proceeds from the sale of any financed or leased assets. (5) The underlying exposures must not include any transferable security, other than corporate bonds not listed on a trading venue.
2.2.10 R The underlying exposures must not include any securitisation position.
2.2.11 R (1) The underlying exposures must be originated:
(a) in the ordinary course of the originator’s or original lender’s business; and (b) following underwriting standards at least as rigorous as those the originator or original lender applied at the time of origination to similar unsecuritised exposures, to the extent there are any. (2) The originator or the original lender (as the case may be) must fully disclose to potential investors, without undue delay:
(a) the underwriting standards pursuant to which the underlying exposures are originated; and (b) any material changes from former underwriting standards. (3) For securitisations with residential loans as underlying exposures, the pool of loans must not include any loan that was marketed and underwritten on the premise that the loan applicant or, where applicable, intermediaries were made aware that the lender might not

FCA 2024/18 verify the information provided.
(4) The assessment of the borrower’s creditworthiness must meet the requirements in:
(a) CONC 5.2A.7R;
(b) MCOB 11.6.2R(1)(a), MCOB 11.6.2R(1)(b), MCOB 11.6.2R(2), MCOB 11.6.5R(1), MCOB 11.6.60R and MCOB 11A.2.1R; or (c) where applicable, equivalent requirements in a third country. (5) The originator or original lender must have expertise in originating exposures of a similar nature to those securitised.
2.2.12 R (1) After the underlying exposures have been selected, they must be
transferred to the SSPE (if an SSPE is used) or otherwise securitised without undue delay. (2) At the time of selection, the underlying exposures must not include exposures in default within the meaning of Article 178(1) of the UK CRR or exposures to a credit-impaired debtor or guarantor who, to the best of the originator’s or original lender’s knowledge:
(a) was, at the time of origination, where applicable:
(i) on a public credit registry of persons with adverse credit history; or (ii) if there is no such public credit registry, another credit registry that is available to the originator or original lender; (b) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable unsecuritised exposures the originator holds, if any; (c) has been declared insolvent; (d) had a court grant its creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years before the date of origination; or (e) has undergone a debt restructuring process with regard to its non-performing exposures within 3 years before the date of transfer of the underlying exposures to the SSPE (if an SSPE is used) or other means of securitising the underlying exposure. (3) If a credit-impaired debtor or guarantor has undergone a debt

FCA 2024/18 restructuring process as described in (2)(e), the underlying exposures may include exposures to that credit-impaired debtor or guarantor if:
(a) the restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year before the date the underlying exposures were transferred to the SSPE (if an SSPE is used) or otherwise securitised; and (b) the information the originator, sponsor and SSPE have provided in accordance with SECN 6.2.1R(1) and SECN 6.2.1R(5)(a) explicitly sets out:
(i) the proportion of total underlying exposures, which have been restructured; (ii) the time and details of the restructuring; and (iii) their performance since the date they were restructured.
2.2.13 R The debtors must, at the time the exposures are transferred, have made at
least one payment, except in the case of revolving securitisations backed by exposures payable in a single instalment or with a maturity of less than 1 year (including, without limitation, monthly payments on revolving credits).
2.2.14 R (1) A securitisation must not be structured so that repayment of investors
depends predominantly on the sale of the assets securing the underlying exposures. (2) Paragraph (1) must not prevent such assets from subsequently being rolled over or refinanced. (3) If a securitisation’s underlying exposures are secured by assets, and the value of those assets is guaranteed or fully mitigated by an obligation on the seller or another third party to repurchase them, that securitisation does not contravene the prohibition in (1). Standardisation requirements
2.2.15 R The originator, sponsor or original lender must satisfy the risk-retention
requirement in accordance with SECN 5.
2.2.16 R (1) The interest rate and currency risks arising from the securitisation
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The securitisation must be structured such that:
(a) the SSPE does not enter into derivative contracts, unless to hedge interest rate or currency risk; and

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(b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.
2.2.17 R Any referenced interest payments under the securitisation assets and
liabilities must:
(1) be based on generally used market interest rates or generally used sectoral rates reflective of the cost of funds; and (2) not reference complex formulae or derivatives.
2.2.18 R If an enforcement or an acceleration notice has been delivered:
(1) no cash may be trapped in the SSPE above what is needed to ensure the SSPE’s operational functioning or the orderly repayment of investors under the securitisation’s contractual terms. However, an amount of cash may be so trapped if exceptional circumstances require it to be used (in the investors’ best interests) to pay expenses to prevent deterioration in the underlying exposures’ credit quality; (2) principal receipts from the underlying exposures must be passed to investors via sequential amortisation of the securitisation positions, as determined by the securitisation positions’ seniority; (3) repayment of the securitisation positions must not be reversed with regard to their seniority; and (4) no provisions may require automatic liquidation of the underlying exposures at market value.
2.2.19 R Transactions featuring non-sequential priority of payments must include
triggers relating to the performance of the underlying exposures resulting in the priority of payments reverting to sequential payments in order of seniority. Such performance-related triggers must include the deterioration in the credit quality of the underlying exposures below a predetermined threshold.
2.2.20 R The transaction documentation must include appropriate early amortisation
provisions or, in the case of a revolving securitisation, triggers for termination of the revolving period, including in the following circumstances:
(1) the underlying exposures’ credit quality deteriorating to or below a predetermined threshold; (2) an insolvency-related event with regard to the originator or the

FCA 2024/18 servicer occurring; (3) the value of the underlying exposures falling below a predetermined threshold (early amortisation event); and (4) failing to generate sufficient new underlying exposures meeting the predetermined credit quality (trigger for termination of the revolving period).
2.2.21 R The transaction documentation must clearly specify:
(1) the servicer’s, any trustee’s and other ancillary service providers’ contractual obligations, duties and responsibilities; (2) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating, such as a contractual provision enabling the servicer to be replaced in such cases; and (3) provisions ensuring derivative counterparties, liquidity providers and the account bank are replaced in the case of their default, insolvency and other specified events, where applicable.
2.2.22 R The servicer must have:
(1) expertise in servicing exposures of a similar nature to those securitised; and (2) well-documented and adequate policies, procedures and riskmanagement controls relating to the exposures’ servicing.
2.2.23 R (1) The transaction documentation must clearly and consistently set out
definitions, remedies and actions relating to:
(a) delinquency and default of debtors; (b) debt restructuring; (c) debt forgiveness; (d) forbearance; (e) payment holidays; (f) losses; (g) charge offs; (h) recoveries; and (i) other asset performance remedies.

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(2) The transaction documentation must clearly specify:
(a) the priorities of payment and events triggering any change to these; and (b) the obligation to report such events. (3) Any change in the priorities of payments which will materially adversely affect a securitisation position’s repayment must be reported to investors without undue delay.
2.2.24 R The transaction documentation must include clear:
(1) provisions facilitating timely resolution of conflicts between different classes of investors; (2) definitions of voting rights; (3) allocation of voting rights to classes of investor; and (4) identification of responsibilities of the trustee and other entities with fiduciary duties to investors. Transparency requirements
2.2.25 R Before pricing or original commitment to invest, the originator and the
sponsor must make available to potential investors:
(1) data covering a period of at least 5 years about static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised; and (2) the sources of the data in (1) and the reasons those exposures are substantially similar exposures to those being securitised.
2.2.26 R (1) An appropriate and independent external party must verify a sample
of the underlying exposures before the securities resulting from the securitisation are issued. (2) That verification must confirm that the data disclosed in respect of the underlying exposures is accurate.
2.2.27 R (1) Before pricing or original commitment to invest, the originator or the
sponsor must make available to potential investors a liability cashflow model precisely representing the contractual relationship between the underlying exposures and the payments flowing between:
(a) the originator;

FCA 2024/18
(b) the sponsor;
(c) the investors;
(d) other third parties; and
(e) the SSPE.
(2) After pricing or original commitment to invest, the originator or the sponsor must continually make that model available to investors and potential investors on request.
2.2.28 R For a securitisation whose underlying exposures are residential loans or auto
loans or leases, the originator and sponsor must publish the available information about the environmental performance of the assets financed by such residential loans or auto loans or leases as part of the information disclosed pursuant to SECN 6.2.1R(1).
2.2.29 R (1) Before pricing or original commitment to invest, the following
information must be made available to potential investors:
(a) that required by SECN 6.2.1R(1); and (b) at least in draft or initial form, that required by SECN 6.2.1R(2) to SECN 6.2.1R(4). (2) The final documentation must be made available to investors at the latest 15 days after closing of the transaction.
2.3 STS criteria: Simple, transparent and standardised asset backed commercial
paper securitisation
2.3.1 R (1) An ABCP transaction must fulfil the following requirements to be
considered an STS securitisation:
(a) those in SECN 2.3.2R to SECN 2.3.22R; (b) the FCA must have received an STS notification in respect of that securitisation and must have included the securitisation in the list it publishes under regulation 10(2) of the Securitisation Regulations 2024; and (c) the sponsor involved in the ABCP programme of which that ABCP transaction forms part must be established in the United Kingdom. (2) An ABCP programme must fulfil the following requirements to be considered an STS securitisation:
(a) those in SECN 2.3.30R to SECN 2.3.37R;

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(b) The FCA must have received an STS notification in respect of that securitisation and must have included the securitisation in the list it publishes under regulation 10(2) of the Securitisation Regulations 2024; and (c) the sponsor involved in the ABCP programme must be established in the United Kingdom. (3) For the purposes of SECN 2.3, a ‘seller’ means ‘originator’ or ‘original lender’. Transaction-level requirements
2.3.2 R (1) Any SSPE must acquire title to the underlying exposures in a manner
enforceable against the seller or any other third party, whether transfer of title is by means of:
(a) true sale;
(b) assignment; or
(c) another transfer with the same legal effect as (a) or (b). (2) The transfer of the title to the SSPE must not be subject to severe clawback provisions if the seller becomes insolvent.
2.3.3 R (1) For the purposes of SECN 2.3.2R(2), the following are severe
clawback provisions:
(a) those allowing the seller’s liquidator to invalidate the sale of the underlying exposures solely because it was concluded within a certain period before the declaration of the seller’s insolvency; (b) provisions where the SSPE can prevent the invalidation referred to in (a) only if it can prove it was not aware of the seller’s insolvency at the time of sale.
2.3.4 R For the purposes of SECN 2.3.2R if provisions of national insolvency laws
allow a liquidator or court to invalidate the sale in the following circumstances, such provisions are not severe clawback provisions:
(1) fraudulent transfers; or
(2) unfair prejudice to creditors or transfers intended to improperly favour particular creditors over others.
2.3.5 R If the seller is not the original lender, the transfer of the underlying
exposures to the seller by any of the means in SECN 2.3.2R(1) (whether direct or through one or more intermediate steps) must meet the requirements in SECN 2.3.2R, SECN 2.3.3 and SECN 2.3.4R.

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2.3.6 R If the transfer of the underlying exposures is performed by assignment and
perfected after the transaction’s closing, the triggers to effect such perfection must be set broadly enough to require perfection in all of the following events:
(1) severe deterioration in the seller’s credit quality standing; (2) the seller’s insolvency; and (3) unremedied breaches of the seller’s contractual obligations, including the seller’s default.
2.3.7 R The seller must provide representations and warranties that, to the best of its
knowledge, the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.3.2R(1).
2.3.8 R (1) The underlying exposures the seller transfers to the SSPE (if an SSPE
is used) or that are otherwise securitised must meet predetermined, clear and documented eligibility criteria prohibiting active portfolio management of those exposures on a discretionary basis. (2) For the purposes of (1), substitution of exposures that are in breach of representations and warranties is not considered active portfolio management. (3) Exposures transferred to the SSPE (if an SSPE is used) or otherwise added to the securitisation after the closing of the transaction must meet the eligibility criteria applied to the initial underlying exposures.
2.3.9 R The underlying exposures must not include any securitisation positions.
2.3.10 R (1) After the underlying exposures have been selected, they must be
transferred to the SSPE (if an SSPE is used) or otherwise securitised without undue delay. (2) At the time of selection, the underlying exposures must not include exposures in default within the meaning of Article 178(1) of the UK CRR or exposures to a credit-impaired debtor or guarantor who, to the best of the originator’s or original lender’s knowledge:
(a) was, at the time of origination, where applicable:
(i) on a public credit registry of persons with adverse credit history; or (ii) if there is no such public credit registry, another credit registry that is available to the originator or original lender; (b) has a credit assessment or a credit score indicating that the

FCA 2024/18 risk of contractually agreed payments not being made is significantly higher than for comparable unsecuritised exposures the originator holds, if any; (c) has been declared insolvent; (d) had a court grant its creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within 3 years before the date of origination; or (e) has undergone a debt restructuring process with regard to its non-performing exposures within 3 years before the date of transfer of the underlying exposures to the SSPE (if an SSPE is used) or other means of securitising the underlying exposure. (3) If a credit-impaired debtor or guarantor has undergone a debt restructuring process as described in (2)(e), the underlying exposures may include exposures to that credit-impaired debtor or guarantor if:
(a) the restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least 1 year before the date the underlying exposures were transferred to the SSPE (if an SSPE is used) or otherwise securitised; and (b) the information the originator, sponsor and SSPE have provided in accordance with SECN 6.2.1R(1) and SECN 6.2.1R(5)(a) explicitly sets out:
(i) the proportion of total underlying exposures, which have been restructured; (ii) the time and details of the restructuring; and (iii) their performance since the date they were restructured.
2.3.11 R The debtors must, at the time the exposures are transferred, have made at
least one payment, except in the case of revolving securitisations backed by exposures payable in a single instalment or with a maturity of less than 1 year (including, without limitation, monthly payments on revolving credits).
2.3.12 R (1) The securitisation must not be structured so that repayment of
securitisation investors depends predominantly on the sale of the assets securing the underlying exposures. (2) Paragraph (1) must not prevent such assets from subsequently being rolled over or refinanced. (3) If a securitisation’s underlying exposures are secured by assets, and the value of those assets is guaranteed or the risks related to that

FCA 2024/18 value are fully mitigated by an obligation on the seller of those assets, or on another third party, to repurchase them, that securitisation does not contravene the prohibition in (1).
2.3.13 R (1) The interest rate and currency risks arising from the securitisation
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The securitisation must be structured such that:
(a) the SSPE does not enter into derivative contracts, unless to hedge interest rate or currency risk; and (b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.
2.3.14 R (1) The transaction documentation must clearly and consistently set out
definitions, remedies and actions relating to:
(a) delinquency and default of debtors; (b) debt restructuring; (c) debt forgiveness; (d) forbearance; (e) payment holidays; (f) losses; (g) charge offs; (h) recoveries; and (i) other asset performance remedies. (2) The transaction documentation must clearly specify:
(a) the priorities of payment and events triggering any change to these; and (b) the obligation to report such events. (3) Any change in the priorities of payments which will materially adversely affect a securitisation position’s repayment must be reported to investors without undue delay.
2.3.15 R The transaction documentation must include clear:

FCA 2024/18
(1) provisions facilitating timely resolution of conflicts between different classes of investors; (2) definitions of voting rights; (3) allocation of voting rights to classes of investor; and (4) identification of responsibilities of the trustee and other entities with fiduciary duties to investors.
2.3.16 R (1) Before pricing or original commitment to invest, the originator and
the sponsor must make the following data available to potential investors:
(a) except as provided in (2), data covering a period of at least 5 years about static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised; and (b) the sources of the data in (1)(a) and the reasons those exposures are substantially similar to those being securitised. (2) If the data in (1)(a) relates to trade receivables and other short-term receivables, it must cover a period of at least 3 years. (3) If the sponsor cannot access such data, it must obtain from the seller access to static or dynamic data about the historical performance of exposures substantially similar to those being securitised (such as delinquency and default data).
2.3.17 R (1) ABCP transactions must be backed by a pool of underlying
exposures that are homogeneous in terms of asset type, considering the specific characteristics relating to the asset type’s cash flows, including their contractual, credit-risk and prepayment characteristics. (2) The pool of underlying exposures must have a remaining weighted average life of not more than 1 year. The underlying exposures must not have a residual maturity of more than 3 years. (3) By way of derogation from (2), pools of auto loans, auto leases and equipment lease transactions must have a remaining weighted average life of not more than 3.5 years. The underlying exposures must not have a residual maturity of more than 6 years. (4) Further details specifying which underlying exposures are homogeneous for the purposes of (1) are set out at SECN 2.4. (5) The underlying exposures must not include loans secured by residential or commercial mortgages.

FCA 2024/18
(6) The underlying exposures:
(a) must contain contractually binding and enforceable obligations, with full recourse to debtors; (b) must have defined payment streams relating to rental, principal, interest, or any other right to receive income from assets warranting such payments; (c) may generate proceeds from the sale of any financed or leased assets; and (d) must not include any transferable security, other than corporate bonds not listed on a trading venue.
2.3.18 R (1) Any referenced interest payments under the ABCP transaction’s
assets and liabilities must:
(a) be based on generally used market interest rates or generally used sectoral rates reflective of the cost of funds; and (b) not reference complex formulae or derivatives. (2) Referenced interest payments under the ABCP transaction’s liabilities may be based on interest rates reflective of an ABCP programme’s cost of funds.
2.3.19 R Following the seller’s default or an acceleration event:
(1) no amount of cash may be trapped in the SSPE above what is needed to ensure the SSPE’s operational functioning or the orderly repayment of investors under the securitisation’s contractual terms. However, an amount of cash may be so trapped if exceptional circumstances require it to be used (in the investors’ best interests) to pay expenses to prevent deterioration in the underlying exposures’ credit quality; (2) principal receipts from the underlying exposures must be passed to investors via sequential payment of the securitisation positions, as determined by the securitisation positions’ seniority; and (3) no provisions may require automatic liquidation of the underlying exposures at market value.
2.3.20 R (1) The underlying exposures must be originated:
(a) in the ordinary course of the seller’s business; and (b) following underwriting standards at least as rigorous as those the seller applied at the time of origination to similar unsecuritised exposures, to the extent there are any.

FCA 2024/18
(2) The originator or the original lender must fully disclose to the sponsor and other parties directly exposed to the ABCP transaction without undue delay:
(a) the underwriting standards pursuant to which the underlying exposures are originated; and (b) any material changes from prior underwriting standards. (3) The seller must have expertise in originating exposures of a similar nature to those securitised.
2.3.21 R If an ABCP transaction is a revolving securitisation, the transaction
documentation must include triggers for termination of the revolving period, including in the following circumstances:
(1) the underlying exposures’ credit quality deteriorating to or below a predetermined threshold; and (2) an insolvency-related event with regard to the seller or the servicer occurring.
2.3.22 R The transaction documentation must clearly specify:
(1) the sponsor’s, servicer’s, any trustee’s and ancillary service providers’ contractual obligations, duties and responsibilities; (2) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating; (3) provisions ensuring derivative counterparties and the account bank are replaced in the case of their default, insolvency, and other specified events, where applicable; and (4) how the sponsor meets the requirements of SECN 2.3.25R. Requirements on the sponsor of an STS ABCP programme
2.3.23 R The sponsor of an ABCP programme must:
(1) be a CRR firm; and
(2) not be an investment firm.
2.3.24 R The sponsor of an ABCP programme must:
(1) be a liquidity facility provider; (2) support all securitisation positions on an ABCP programme level by covering all liquidity and credit risks and any material dilution risks of the securitised exposures as well as any other transaction and

FCA 2024/18 programme-level costs if necessary to guarantee to the investor the full payment of any amount under the ABCP with such support; and (3) disclose to investors a description of the support provided at transaction level and of the liquidity facilities provided.
2.3.25 R (1) Before a credit institution may sponsor an STS ABCP programme, it
must demonstrate to the PRA that its role under SECN 2.3.24R does not pose risks to its solvency and liquidity, even in extremely stressed market conditions. (2) The requirement referred to in (1) is fulfilled if the PRA has determined, based on the review and evaluation referred to in regulation 34A(2) of the Capital Requirements Regulations 2013, that:
(a) the arrangements, strategies, processes and mechanisms that credit institution has implemented; and (b) the own funds and liquidity that credit institution holds, ensure sound management and coverage of its risks.
2.3.26 R The sponsor must:
(1) perform its own due diligence; (2) verify compliance with the requirements set out in SECN 4.2.1R and SECN 4.2.2R or equivalent PRA rules; and (3) verify the seller has in place servicing capabilities and collection processes meeting the requirements specified in Article 265(2)(h)–(p) of the UK CRR or equivalent requirements in a third country.
2.3.27 R The seller, at the level of a transaction, or the sponsor, at the level of the
ABCP programme, must satisfy the risk-retention requirement referred to in SECN 5 or equivalent PRA rules.
2.3.28 R Before pricing or original commitment to invest, the sponsor must make
available to potential investors pricing on request:
(1) the aggregate information required by SECN 6.2.1R(1) or equivalent PRA rules; and (2) the information required by SECN 6.2.1R(2) to SECN 6.2.1R(7) or equivalent PRA rules, at least in draft or initial form.
2.3.29 R If the sponsor does not renew the funding commitment of the liquidity
facility before it expires, the liquidity facility must be drawn down and the maturing securities must be repaid. Programme-level requirements

FCA 2024/18
2.3.30 R (1) All ABCP transactions within an ABCP programme must fulfil the
requirements of SECN 2.3.2R to SECN 2.3.22R.
(2) Notwithstanding (1), a maximum of 5% of the aggregate amount of the exposures underlying the ABCP transactions and which are funded by the ABCP programme may temporarily not comply with the requirements of SECN 2.3.10R, SECN 2.3.11R and SECN 2.3.12R without affecting the ABCP programme’s STS status. (3) For the purposes of (2), an appropriate and independent external party must regularly verify compliance of a sample of the underlying exposures. (4) The sponsor of the ABCP programme must comply with the requirements under SECN 2.3.23R to SECN 2.3.29R;
2.3.31 R The remaining weighted average life of the underlying exposures of an
ABCP programme must not be more than 2 years.
2.3.32 R The ABCP programme must be fully supported by a sponsor in accordance
with SECN 2.3.24R.
2.3.33 R The ABCP programme must not contain any resecuritisation. The credit
enhancement must not establish a second layer of tranching at the programme level.
2.3.34 R The securities an ABCP programme issues must not include the following
clauses, if they are exercisable at the discretion of the seller, sponsor or SSPE:
(1) call options;
(2) extension clauses; and
(3) other clauses that affect the final maturity of those securities.
2.3.35 R (1) The interest rate and currency risks arising at ABCP programme level
must be appropriately mitigated. Any measures taken to that effect must be disclosed. (2) The ABCP programme must be structured such that:
(a) the SSPE must not enter into derivative contracts, unless to hedge interest rate or currency risk; and (b) the pool of underlying exposures does not include derivatives. (3) Any derivatives into which the SSPE does enter in accordance with (2)(a) must be underwritten and documented according to common standards in international finance.

FCA 2024/18
2.3.36 R The ABCP programme’s documentation must clearly specify:
(1) the responsibilities of the trustee and other entities with fiduciary duties, if any, to investors; (2) the contractual obligations, duties and responsibilities of the sponsor (who must have expertise in credit underwriting), any trustee and other ancillary service providers; (3) the processes and responsibilities necessary to ensure that the servicer’s default or insolvency does not result in servicing terminating; (4) the provisions ensuring derivative counterparties and the account bank at ABCP programme level are replaced in case of their default, insolvency and other specified events, where the liquidity facility does not cover such events; (5) the remedial steps that must be taken on specified events, or on the sponsor’s default or insolvency to achieve collateralisation of the funding commitment or replacement of the liquidity facility provider (as appropriate); and (6) that the liquidity facility must be drawn down and the maturing securities repaid if the sponsor does not renew the liquidity facility’s funding commitment before it expires.
2.3.37 R The servicer must have:
(1) expertise in servicing exposures of a similar nature to those securitised; and (2) well-documented and adequate policies, procedures and riskmanagement controls relating to the exposures’ servicing.
2.4 STS criteria: Homogeneity of underlying exposures
Qualifying conditions
2.4.1 R (1) For the purposes of SECN 2.2.9R and SECN 2.3.17R, underlying
exposures are homogeneous if:
(a) they correspond to one of the following asset types:
(i) residential loans either secured by one or more mortgages on residential immovable property or fully guaranteed by an eligible protection provider among those under Article 201(1) of the UK CRR and qualify for the credit quality step 2 or above under Part Three, Title II, Chapter 2 of the UK CRR;

FCA 2024/18
(ii) commercial loans secured by one or more mortgages on commercial immovable property, including offices or other commercial premises; (iii) credit facilities provided to individuals for personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under (i), (ii) and (iv) to (viii); (iv) credit facilities, including loans and leases, provided to any type of enterprise or corporation; (v) auto loans and leases; (vi) credit card receivables; (vii) trade receivables; or (viii) other underlying exposures which, in the opinion of the originator or sponsor, constitute a distinct asset type based on internal methodologies and parameters; (b) they are underwritten according to standards applying similar approaches for assessing associated credit risk; (c) they are serviced according to similar procedures for monitoring, collecting and administering cash receivables of the originator, or on the asset side of the SSPE; and (d) one or more of the homogeneity factors are applied in accordance with SECN 2.4.2R, where applicable. (2) For the purposes of (1)(a), if an underlying exposure corresponds to more than one asset type, that exposure must be assigned only to one asset type in that securitisation. (3) Any changes to underlying exposures in a pool that is deemed to be homogenous pursuant to SECN 2.4 will not affect such homogeneity where such changes are for reasons outside the originator’s or sponsor’s control. Homogeneity factors
2.4.2 R (1) The homogeneity factors for the asset type referred to in SECN
2.4.1R(1)(a)(i) are the following:
(a) ranking of security rights, whereby the pool of underlying exposures comprises only one of the following:
(i) loans secured by first ranking security rights on a

FCA 2024/18 residential immovable property; (ii) loans secured by lower and all prior ranking rights on a residential immovable property; or (iii) loans secured by lower ranking security rights on a residential immovable property; (b) type of residential immovable property, whereby the pool comprises only one of the following types:
(i) income-producing properties; or (ii) non-income producing properties; (c) jurisdiction, whereby the pool comprises exposures secured by residential immovable properties located in the same jurisdiction. (2) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(ii) are the following:
(a) ranking of security rights, whereby the pool comprises only one of the following types of underlying exposures:
(i) loans secured by first ranking security rights on a commercial immovable property; (ii) loans secured by lower and all prior ranking rights on a commercial immovable property; or (iii) loans secured by lower ranking security rights on a commercial immovable property; (b) type of immovable commercial property, whereby the pool comprises only one of the following types:
(i) office buildings;
(ii) retail space;
(iii) hospitals;
(iv) storage facilities;
(v) hotels;
(vi) industrial properties; or
(vii) other specific type of commercial immovable properties;

FCA 2024/18
(c) jurisdiction, whereby the pool comprises underlying exposures secured by properties located in the same jurisdiction. (3) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(iv) are the following:
(a) type of obligor, whereby the pool comprises only one of the following types of obligors:
(i) micro, small and medium-sized enterprises; or (ii) other types of enterprises and corporates; (b) jurisdiction, whereby the pool comprises only one of the following types of underlying exposures:
(i) exposures secured by immovable property located in the same jurisdiction; or (ii) exposures to obligors with residence in the same jurisdiction. (4) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(v) are the following:
(a) type of obligor, whereby the pool comprises underlying exposures with only one of the following types of obligors:
(i) individuals and enterprises where the originator applies the same approach for assessing the credit risk associated with exposures to enterprises as for exposures to individuals; (ii) micro, small and medium-sized enterprises; (iii) other types of enterprises and corporates; (iv) public sector entities; or (v) financial institutions; (b) jurisdiction, whereby the pool comprises underlying exposures to obligors with residence in the same jurisdiction. (5) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(vi) are the following:
(a) type of obligor, whereby the pool comprises underlying exposures with only one of the following types of obligors:
(i) individuals and enterprises where the originator

FCA 2024/18 applies the same approach for assessing the credit risk associated with exposures to enterprises as for exposures to individuals; (ii) micro, small and medium-sized enterprises; (iii) other types of enterprises and corporates; (iv) public sector entities; or (v) financial institutions; (b) jurisdiction, whereby the pool comprises underlying exposures to obligors with residence in the same jurisdiction. (6) The homogeneity factors for the asset type referred to in SECN 2.4.1R(1)(a)(viii) are any of the following:
(a) type of obligor;
(b) ranking of security rights; (c) type of immovable property; or (d) jurisdiction.
2.4.3 G Under the requirements of SECN 2.4.1R(1)(b) and (c) we would normally
expect homogenous residential mortgage portfolios to contain owneroccupier or buy-to-let mortgages but not generally both. However, they may be homogenous where the owner-occupier and buy-to-let mortgages are both underwritten and serviced according to similar standards.
2.5 STS notification
2.5.1 R (1) If a securitisation which is not an ABCP programme or an ABCP
transaction meets the relevant STS criteria, the originator and sponsor jointly may notify the FCA of that fact as described in SECN 2.6. (2) If:
(a) an ABCP programme meets the relevant STS criteria; or (b) an ABCP transaction meets the relevant STS criteria, the sponsor may notify the FCA of that fact as described in SECN 2.6. (3) A notice given in accordance with (1) or (2) must explain how the relevant STS criteria have been complied with. (4) If the originator and sponsor involved in a securitisation jointly give the STS notification, the STS notification must designate one of them

FCA 2024/18 to be the first contact point for investors and the FCA.
2.5.2 R (1) The originator, sponsor or SSPE may use the service of a third party
registered under regulation 25 of the Securitisation Regulations 2024 to check whether a securitisation complies with the relevant STS criteria. (2) When using a third party under SECN 2.5.2R(1) the originator, sponsor or SSPE must check that such third party is registered under regulation 25 of the Securitisation Regulations 2024. (3) Using the service of a third party under SECN 2.5.2R (1) does not affect the liability of the originator, sponsor or SSPE in respect of their legal obligations under SECN. (4) If the originator, sponsor or SSPE use the service of a registered third party under (1), the STS notification must include a statement that the registered third party has confirmed compliance with the STS criteria. (5) The STS notification must include the registered third party’s:
(a) name; and
(b) place of establishment.
2.5.3 R If the originator or original lender is not a CRR firm or an FCA investment
firm, the STS notification pursuant to SECN 2.5.1R(1) or SECN 2.5.1R(2) must be accompanied by:
(1) confirmation by the originator or original lender that (other than in respect of trade receivables not originated in the form of a loan):
(a) its credit granting is based on sound and well-defined criteria and clearly established processes for approving, amending, renewing and financing credits; and (b) the originator or original lender has effective systems in place to apply such processes in accordance with SECN 8 (or equivalent PRA rules); and (2) a declaration by the originator or original lender as to whether credit granting referred to in (1) is subject to supervision.
2.5.4 R The originator and sponsor must immediately notify the FCA if a
securitisation no longer meets the relevant STS criteria.
2.5.5 G Multiple STS notifications may be submitted in respect of the same
securitisation where:
(1) the relevant securitisation is an ABCP transaction, in which case one notification should be submitted in accordance with SECN 2.5.1(2)

FCA 2024/18 by each sponsor of a relevant ABCP programme wishing to treat the securitisation as an STS securitisation; or (2) both a securitisation which is not an ABCP transaction or an ABCP programme and an ABCP transaction, in which case one notification may be submitted in accordance with SECN 2.5.1R(1) and one notification should be submitted in accordance with SECN 2.5.1(2) by each sponsor of a relevant ABCP programme wishing to treat the securitisation as an STS securitisation.
2.6 Information to be included in the STS notification by the originator or
sponsor
2.6.1 R (1) The following information must be included in the STS notification:
(a) if the securitisation is a non-ABCP securitisation, the information specified in SECN 2 Annex 1R; (b) if the securitisation is an ABCP transaction, the information specified in SECN 2 Annex 2R; (c) for an ABCP programme, the information specified in SECN 2
Annex 3R.
(2) For securitisations where section 85 of the Act (Contravention of prohibition relating to public offer of securities) and rules made by the FCA for the purposes of Part 6 of the Act (official listing) do not require a prospectus to be drawn up, the information to be included in the STS notification pursuant to (1) must be accompanied by the following:
(a) where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of SECN 2
Annex 1R;
(b) where the securitisation is an ABCP transaction, the information specified in fields STSAT9 and STSAT10 of SECN 2 Annex 2R; (c) for an ABCP programme, the information specified in field STSAP9 of SECN 2 Annex 3R. (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. Additional information
2.6.2 R (1) If the documents at SECN 2.6.2R(2) include information relevant to
the STS notification, a reference to the relevant parts of those documents may be provided in the ‘Additional information’ column

FCA 2024/18 in SECN 2 Annex 1R, SECN 2 Annex 2R or SECN 2 Annex 3R. (2) The documents referred to in SECN 2.6.2R(1) are:
(a) an approved prospectus as contemplated by section 85 of the Act (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); (b) any other underlying documentation referred to in SECN 6.2.1R(2); (c) any other document with information relevant to the STS notification. (3) Where such information is provided, the documentation must be clearly identified.
2.6.3 G In the Annexes to this chapter, references to ‘pricing’ must be read to also
include ‘original commitment to invest’.
2.7 Templates for STS notification
2.7.1 R The information in SECN 2.6.1R(1) and SECN 2.6.1R(2) must be provided
by means of the template set out in SECN 2 Annex 4R.
2.7.2 R The information in SECN 2.6.1R(1)(b) and SECN 2.6.1R(2)(b) must be
provided by means of the template set out in SECN 2 Annex 5R.
2.7.3 R The information in SECN 2.6.1R(1)(c) and SECN 2.6.1R(2)(c) must be
provided by means of the template set out in SECN 2 Annex 6R.
2.7.4 R Where the information to be provided pursuant to SECN 2.7 is not available
or is not required due to the application of the transitional provisions in SECN 14 the notification must state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of SECN 2 Annex 4R, SECN 2 Annex 5R or SECN 2 Annex 6R.
2.7.5 R The information referred to in SECN 2.7 must be submitted in an electronic
and machine-readable form.
2.7.6 R The ‘Additional information’ referred to in SECN 2.6.2 must be included in
the field ‘Box to complete’ of SECN 2 Annex 4R, SECN 2 Annex 5R or SECN 2 Annex 6R. 2 Annex 1R Information to be included in the STS notification for a non-ABCP securitisation [Editor’s note: insert link to document containing ‘Information to be included in the STS notification for a non-ABCP securitisation’]

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSS1 N/A Instrument identification code If available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation. If available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSS2 N/A Legal Entity Identifier (LEI) The LEI of the originator(s) and sponsor(s) and, where available, original lender(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSS3 N/A Notification identifier If reporting an update, the unique reference number assigned by the FCA to the previously notified STS notification. N/A STSS4 N/A Unique identifier The unique identifier assigned by the reporting entity in accordance with SECN 11.12.1R. N/A STSS5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A

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

FCA 2024/18
FIELD Provision of the FIELD NAME CONTENT TO BE REPORTED ADDITIONAL NUMBER Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION step 2 or above as set out in Part Three, Title II,
Chapter 2 of the UK CRR;

commercial loans secured by one or more
mortgages on commercial immovable property, including offices or other commercial premises;
credit facilities provided to individuals for
personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under points 1, 2 and 4 to 8;
credit facilities, including loans and leases,
provided to any type of enterprise or corporation;
auto loans/leases;
credit card receivables;
trade receivables;
other underlying exposures which, in the
opinion of the originator or sponsor constitute a distinct asset type based on internal methodologies and parameters. STSS11 N/A Issue date If a prospectus is drawn up in compliance with the Prospectus Regulation and / or corresponding N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION legislation applicable in a third country, the date on which the prospectus was approved. In all other cases, the closing date of the most recent transaction. STSS12 N/A Notification date The date of notification to the FCA or if prior to IP completion day, date of notification to ESMA. N/A STSS13 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSS14 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the name of the third party. N/A [Deleted] STSS16 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS, or that a STS notification should be revised. N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS17 SECN 2.5.3R Originator (or original lender) not a CRR firm or an FCA investment firm A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSS18 SECN 2.5.3R Confirmation of credit granting criteria If the answer to field STSS17 is ‘No’, confirmation that the originator’s or original lender’s credit granting criteria, processes and systems in place are executed in accordance with SECN 8. N/A STSS19 SECN 2.5.3R Declaration that the credit granting is subject to supervision If the answer to field STSS17 is ‘No’, declaration that the credit granting referred to in SECN 2.5.3R (1)(a) is subject to supervision. N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS20 SECN 2.2.2R Transfer of the underlying exposures by true sale or assignment √ A concise explanation of how the transfer of the underlying exposures is made by means of true sale, assignment or transfer with the same legal effect in a manner that is enforceable against the seller or any other third party. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS21 SECN 2.2.3R No severe clawback √ A concise explanation of whether the transfer of title is subject to any of the severe clawback provisions referred to in SECN 2.2.3R. State whether the provisions in SECN 2.2.4R apply. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS22 SECN 2.2.4R Exemption for clawback provisions in √ In conjunction with STSS21, where appropriate, a confirmation whether there are no circumstances that could Item 3.3 of Annex 19 of Commission Delegated

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION national insolvency laws give rise to clawback provisions in accordance with SECN 2.2.2R and SECN 2.2.3R. Regulation (EU) 2019/980 STSS23 SECN 2.2.5R Transfer where the seller is not the original lender √ If the seller is not the original lender, a statement confirming that the securitisation complies with SECN 2.2.2R and SECN 2.2.4R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS24 SECN 2.2.6R Transfer performed by means of an assignment and perfected at a later stage √ If the transfer of the underlying exposures is performed by assignment and perfected after the transaction’s closing, a concise explanation of how and whether that perfection is effected at least through the required minimum predetermined event triggers under SECN 2.2.6R. If alternative transfer methods are used, a confirmation that the Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION originator’s insolvency would not prejudice or prevent the SSPE from enforcing its rights. STSS25 SECN 2.2.7R Representations and warranties √ A concise explanation of how and whether the seller has provided representations and warranties, that the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen adversely to affect the enforceability of the true sale, assignment or transfer with the same legal effect. Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS26 SECN 2.2.8R Eligibility √ A concise explanation of how: Section 2 of criteria which prohibit active portfolio management of

the underlying exposures
the seller transfers to the
SSPE (if an SSPE is used) or that are
Annex 19 of
Commission
Delegated

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

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION management on a discretionary basis. STSS27 SECN 2.2.9R Homogeneity of assets √ A detailed explanation of the homogeneity of the pool of underlying exposures backing the securitisation. For that purpose, include a reference to the relevant section of SECN on homogeneity and explain in detail how each of the conditions specified in SECN 2.4.1R are met. Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS28 SECN 2.2.10R Underlying exposure obligations: no re securitisation √ A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation. Item 2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

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

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

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

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

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS33 SECN 2.2.14R Repayment of the holders shall not have been structured to depend predominantly on the sale of assets. √ A detailed explanation of the extent to which repayment of securitisation investors depends on sale of assets securing the underlying exposures. Item 3.4.1 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS34 SECN 2.2.15R Compliance with risk retention requirements √ A concise explanation as to how the originator, sponsor or original lender of a non-ABCP securitisation comply with the risk retention requirement under SECN 5.2. An indication which entity retains the material net economic interest and which option is used for retaining the risk:
Item 3.1 of Annex
9 and Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

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

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

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSS37 SECN 2.2.16R Derivatives using common standards √ A concise explanation of whether any hedging instruments used are underwritten and documented according to commonly accepted standards. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSS38 SECN 2.2.17R Referenced interest payments based on generally used interest rates √ A concise explanation of whether and how any referenced interest payments under the securitisation assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. Item 2.2.2 and
2.2.13 of Annex
19 of Commission
Delegated
Regulation (EU)
2019/980
STSS39 SECN 2.2.18R No trapping of cash following enforcement or √ A declaration in general terms that each of the requirements of SECN 2.2.18R are met. Item 3.4.5 of
Annex 19 of
Commission
Delegated

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION an acceleration notice Regulation (EU) 2019/980 STSS40 SECN 2.2.18R (a) No amount of cash shall be trapped √ Confirmation that no cash would be trapped after an enforcement or an acceleration notice was delivered. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS41 SECN 2.2.18R (b) Principal receipts shall be passed to investors √ Confirmation that principal receipts from the underlying exposures are passed to the investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS42 SECN 2.2.18R (c) Repayment shall not be reversed with √ Confirmation that the repayment of the securitisation Item 3.4.5 of
Annex 19 of
Commission

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION regard to seniority positions is not to be reversed with regard to their seniority. Delegated Regulation (EU) 2019/980 STSS43 SECN 2.2.18R (d) No provisions shall require automatic liquidation of the underlying exposures at market value √ Confirmation that no provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS44 SECN 2.2.19R Securitisations featuring nonsequential priority of payments √ Confirmation that transaction featuring non-sequential priority of payments include triggers relating to the performance of the underlying exposures resulting in the priority of payment reverting to sequential payments in order of seniority. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION Confirmation that such triggers include the deterioration in the credit quality of the underlying exposures below a predetermined threshold. STSS45 SECN 2.2.20R Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers √ A concise explanation, where applicable, of how the provisions in SECN 2.2.20R are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS46 SECN 2.2.20R (1) (a) Deterioration in the credit quality of the √ A concise explanation (where applicable) of how the provisions in SECN 2.2.20R (1) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION underlying exposures Regulation (EU) 2019/980 STSS47 SECN 2.2.20R (2) (b) Occurrence of an insolvencyrelated event of the originator or servicer √ A concise explanation, (where applicable) of how the provisions or triggers in SECN 2.2.20R (2) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS48 SECN 2.2.20R (3) (c) Value of the underlying exposures held by the SSPE falls below a pre-determined threshold √ A concise explanation, where applicable, of how the provisions or triggers in SECN 2.2.20R (3) are reflected in the transaction documentation. Please cross reference the relevant sections of the underlying documentation where the information can be found. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS49 SECN 2.2.20R (4) (d) A failure to generate sufficient new underlying exposures meeting predetermined credit quality (trigger for termination of the revolving period) √ A concise explanation, where applicable, of how the provisions in SECN 2.2.20R (4) are reflected in the transaction documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS50 SECN 2.2.21R (1) (a) Information regarding contractual obligations of the servicer, trustee and other ancillary √ Confirmation that the transaction documentation specifies all the requirements under SECN 2.2.21R (1). Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION service providers STSS51 SECN 2.2.21R (2) (b) Servicing continuity provisions √ Confirmation that the securitisation documentation expressly satisfies the requirements of 2.2.21R (2). Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS52 SECN 2.2.21R (3) (c) Derivative Counterparties continuity provisions √ Confirmation that the transaction documentation satisfies all of the information referred to in SECN 2.2.21 R (3). Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSS53 SECN 2.2.21R (3) (c) Liquidity providers and account bank continuity provisions √ Confirmation that the transaction documentation satisfies all of the information under SECN 2.2.21 R (3). Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the Securitisation Regulations and/or SECN explanation explanation REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] INFORMATION STSS54 SECN 2.2.22R Required expertise from the servicer and policies and adequate procedures and risk management controls in place √ A detailed explanation of how the requirements of SECN 2.2.22R are met. As part of the explanation, include references to any policies and procedures intended to ensure compliance with these requirements. Item 3.4.6 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS55 SECN 2.2.23R Clear and consistent definitions relating to the treatment of problem loans √ Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in SECN 2.2.23R. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS56 SECN 2.2.23R Priorities of payment and triggers events √ Confirmation that the securitisation documentation sets out the priorities of Item 3.4.7 of
Annex 19 of
Commission
Delegated

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION payment and trigger events pursuant to SECN 2.2.23R. Regulation (EU) 2019/980 STSS57 SECN 2.2.24R Timely resolution of conflicts between classes of investors & responsibilities of trustee √ Confirmation that the provisions under SECN 2.2.24R relating to the timely resolutions of conflicts are met. Items 3.4.7 and
3.4.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSS58 SECN 2.2.25R Historical default and loss performance data √ Confirmation that the data required to be made available under SECN 2.2.25R is available, stating clearly where the information can be found. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSS59 SECN 2.2.26R Sample of the underlying exposures subject to √ Confirmation that a sample of the underlying exposures was subject to external verification before the issuance of the N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION external verifications securities by an appropriate and independent party. STSS60 SECN 2.2.27R Availability of a liability cash flow model to potential investors √ Confirmation that a liability cash flow model is available to potential investors before pricing and state clearly where this information is available. Confirmation that such information has been made available, after pricing, to potential investors upon request. N/A STSS61 SECN 2.2.28 R Publication on environmental performance of underlying exposures consisting of residential loans √ A concise explanation of whether the information related to the environmental performance of the assets financed by residential loans, or auto loans or leases is available pursuant to SECN 6.2.1R (1) N/A

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

FCA 2024/18
2 Annex
2R
Information to be included in the STS notification for an ABCP transaction [Editor’s note: insert link to document containing ‘Information to be included in the STS notification for an ABCP transaction’]

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSAT1 N/A Instrument identification code If available, the international security identification code (ISIN) or codes. If no ISIN, then any other unique securities code, assigned to the ABCP transaction. If available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT2 N/A Legal Entity Identifier (LEI) If available, the LEI of the originator (s) and/or sponsor(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 STSAT3 N/A Notification identifier If reporting an update, the unique reference number the FCA has assigned to the previously notified STS notification. N/A STSAT4 N/A Unique identifier The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with SECN 11.12.2R. N/A STSAT5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A

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

residential loans either secured by one or more
mortgages on residential immovable property or fully guaranteed by an eligible protection provider among those under Article 201(1) of N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION the UK CRR and qualify for the credit quality step 2 or above as set out in Part Three, Title II,
Chapter 2 of the UK CRR;
2. commercial loans secured by one or more
mortgages on commercial immovable property, including offices or other commercial premises;
3. credit facilities provided to individuals for
personal, family or household consumption purposes and credit facilities provided to enterprises where the originator applies the same credit risk assessment approach as for individuals not covered under points 1, 2 and 4 to 8;
4. credit facilities, including loans and leases,
provided to any type of enterprise or corporation;
5. auto loans/leases;
6. credit card receivables;
7. trade receivables;
8. other underlying exposures which, in the opinion
of the originator or sponsor constitute a distinct asset type based on internal methodologies and parameters.

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT11 N/A Issue date If a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, 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 N/A Notification date The date of notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A STSAT13 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSAT14 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A [Deleted] STSAT16 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS, or that a STS notification should be revised. N/A

FCA 2024/18
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT17 SECN 2.5.3R Originator (or original lender) not a CRR firm or an FCA investment firm A ‘Yes’ or ‘No’ statement of whether the originator or original lender is a CRR firm or an FCA investment firm. N/A STSAT18 SECN 2.5.3R Confirmation of credit granting criteria If the answer to field STSS17 is ‘No’, confirmation that the originator’s or original lender’s credit granting criteria, processes and systems in place are executed in accordance with SECN 8. N/A STSAT19 SECN 2.5.3R Declaration that the credit granting is subject to supervision If the answer to field STSS17 is ‘No’, declaration that the credit granting referred to in SECN 2.5.3R (1)(a) is subject to supervision. N/A

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT20 SECN 2.3.2R Underlying exposures acquired by true sale √ A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT21 SECN 2.3.3R No severe clawback √ A concise explanation of whether the transfer of title is subject to any of the severe clawback provisions referred to in SECN 2.3.3R (1)(a) Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION and (b). State whether the provisions in SECN 2.3.4R apply. STSAT22 SECN 2.3.4R Exemption for clawback provisions in national insolvency laws √ In conjunction with STSS21, where appropriate, confirmation that there are no circumstances that could give rise to clawback provisions in accordance with SECN 2.3.2R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT23 SECN 2.3.5R Transfer where the seller is not the original √ If the seller is not the original lender, a statement confirming that the securitisation Item 3.3 of Annex 19 of Commission Delegated Regulation (EU)

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION lender complies with SECN 2.3.2R to SECN 2.3.4R. 2019/980 STSAT24 SECN 2.3.6R Transfer performed by means of an assignment and perfected at a later stage. √ If the transfer of the underlying exposures is performed by means of an assignment and perfected after the transaction’s closing, provide a concise explanation of how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in SECN 2.3.6R. Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT25 SECN 2.3.7R Representations and warranties √ A concise explanation of whether the seller has provided representations and warranties that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the transfer by the means in SECN 2.3.2R. Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT26 SECN 2.3.8R Eligibility criteria which prohibit active portfolio √ A concise explanation of how:

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

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

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION portfolio management on a discretionary basis. STSAT27 SECN 2.3.9R No resecuritisation √ Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a resecuritisation. Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT28 SECN
2.3.10R
Transferred underlying exposures without defaulted exposures √ A detailed explanation of how the transferred underlying exposures do not include, at the time of selection, Item 2.2.8 of
Annex 19 of
Commission
Delegated
Regulation (EU)

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

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

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION whether the reason is one of the exceptions permitted under SECN 2.2.13R applies. STSAT30 SECN 2.3.12R Repayment of the holders shall not have been structured to depend predominantly on the sale of assets √ A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. If appropriate, a detailed explanation of whether repayments of the investors are not Item 3.4.1 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION considered to depend on the sale of assets, as specified under SECN 2.3.12R (3). STSAT31 SECN 2.3.13R Mitigation of interest rates (IR) and currency (FX) risks √ A concise explanation that measures are taken appropriately to mitigate interest rates and currency risks and confirmation that such measures are disclosed. A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980

FCA 2024/18
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] standards. STSAT32 SECN 2.3.13R Derivatives purchased/sold by SSPE √ Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation
(EU2019/980 derivative contracts STSAT33 SECN 2.3.13R Derivatives in underlying exposures √ A concise explanation of the presence of any derivatives in the pool of underlying exposures. Items 3.4.2 and
3.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSAT34 SECN Derivatives using √ A concise explanation Items 3.4.7 and 2.3.13R common whether any 3.8 of Annex 19

FCA 2024/18
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] standards derivatives of Commission permissible under SECN 2.3.13R are underwritten and documented Delegated Regulation (EU) 2019/980 according to common standards in international finance. STSAT35 SECN Clear and √ Confirmation that the Item 2.2.2 of 2.3.14R consistent definitions underlying documentation sets
Annex 19 of
Commission relating to the treatment of problem loans out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set Delegated Regulation (EU) 2019/980 out in SECN 2.3.14R. STSAT36 SECN Priorities of √ Confirmation that the Items 3.4.7 and

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION 2.3.14R payment and triggers events transaction documentation sets out the priorities of payment and triggers events pursuant to SECN 2.3.14.
3.4.8 of Annex 19
of Commission
Delegated
Regulation (EU)
2019/980
STSAT37 SECN
2.3.16R
Historical default and loss performance data √ Confirmation that the data required to be made available under SECN 2.3.16R is available and a clear statement where the information is available to potential investors before pricing. If the sponsor does not have access to such data, Item 2.2.2 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION confirmation that the seller has provided access to data as specified under SECN 2.3.16R. Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years.

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAT38 SECN 2.3.17R Homogeneity of assets √ A detailed explanation of how the securitisation is backed by a pool of homogenous underlying exposures, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics. Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT39 SECN
2.3.17R
Underlying exposure obligations √ Confirmation that the pool of underlying exposures has a remaining weighted Item 2.2.7 of
Annex 19 of
Commission
Delegated

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years. Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with SECN 2.3.17R (3). Regulation (EU) 2019/980 STSAT40 SECN 2.3.17R Underlying exposure obligations √ Confirmation, where appropriate, that the underlying exposures:

do not include
Item 2.2.7 of
Annex 19 of
Commission
Delegated

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

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

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION bonds, that are not listed on a trading venue. STSAT41 SECN 2.3.18R Referenced interest payments based on generally used interest rates √ A concise explanation whether and how any referenced interest payments under the ABCP transaction’s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. Item 2.2.2 and
2.2.13 of Annex
19 of Commission
Delegated
Regulation (EU)
2019/980
STSAT42 SECN
2.3.19R
No trapping of cash following enforcement or √ A concise explanation of whether each of the requirements of SECN Item 3.4.5 of
Annex 19 of
Commission

FCA 2024/18
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] acceleration 2.3.19R are met, Delegated notice including a concise explanation of cases where cash may be trapped. Regulation (EU) 2019/980 STSAT43 SECN 2.3.19R (a) No trapping of cash following enforcement or acceleration √ Confirmation that no cash would be trapped after an enforcement or an acceleration notice was delivered. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT44 SECN
2.3.19R
(b) Principal receipts shall be passed to investors √ Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION 111 securitisation positions, as determined by the seniority of the securitisation position. STSAT45 SECN 2.3.19R (c) No provisions shall require automatic liquidation of the underlying exposures at market value √ Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value. Item 3.4.5 of
Annex 19 of
Commission
Delegated
Regulation (EU)
2019/980
STSAT46 SECN
2.3.20R
Soundness of underwriting standards √ A detailed explanation of whether the underlying exposures were originated in the Item 2.2.7 of
Annex 19 of
Commission
Delegated
Regulation (EU)

FCA 2024/18
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] transaction. STSAT47 SECN 2.3.20R Seller expertise √ A detailed explanation of whether the seller has Item 2.2.7 of
Annex 19 of
Commission the required expertise in originating exposures of a similar nature to those 113 Delegated Regulation (EU) 2019/980 securitised. STSAT48 SECN 2.3.21R Revolving ABCP transaction/credit quality trigger. √ A detailed explanation of how the provisions or triggers in SECN 2.3.21R are included in the securitisation documentation. Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 STSAT49 SECN Securitisation √ Confirmation that the Item 3.2 of Annex

FCA 2024/18
Specific information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION 2.3.22R participant duties securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider. 19 of Commission Delegated Regulation (EU) 2019/980 STSAT50 SECN 2.3.22R Servicing continuity provisions √ Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980

FCA 2024/18
Specific information
FIELD Provision of FIELD NAME Confirmation Concise Detailed CONTENT TO BE ADDITIONAL NUMBER the explanation explanation REPORTED INFORMATION Securitisation Regulations and/or SECN [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] servicer does not result in a termination of servicing. STSAT51 SECN Derivative √ Confirmation that the Item 3.8 of Annex 2.3.22R counterparty and account bank continuity provisions securitisation documentation includes provisions that ensure the replacement of derivative 19 of Commission Delegated Regulation (EU) 2019/980 counterparties and the account bank upon their default, insolvency and other specified events, where applicable. STSAT52 SECN Sponsor √ Confirmation that the Item 3.2 of Annex 2.3.22R robustness securitisation 19 of Commission

FCA 2024/18
2 Annex Information to be included in the STS notification for an ABCP programme 3R [Editor’s note: insert link to document containing ‘Information to be included in the STS notification for an ABCP programme’]

FCA 2024/18
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP0 SECN 2.5.1R First contact point Legal Entity Identifier (LEI) of the entity designated as the first contact point. Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. STSAP1 N/A Instrument identification code If applicable, the international security identification codes (ISIN) assigned to the ABCP programmes. If available under Item 3.1 of
Annex 19 of Commission
Delegated Regulation (EU)
2019/980.
STSAP2 N/A Legal Entity
Identifier (LEI)
If available, the LEI of the sponsor (s) and/or ABCP programme(s). Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSAP3 N/A Notification identifier If reporting an update, the unique reference number the FCA has assigned to the previously notified STS notification. N/A STSAP4 N/A Unique identifier The unique identifier assigned by the reporting entity to this ABCP programme in accordance with SECN 11.12.1R. N/A STSAP5 N/A Prospectus identifier If available, the prospectus identifier as provided by the relevant national regulator(s). N/A

FCA 2024/18
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP6 N/A Securitisation repository If available, the name of the registered securitisation repository. N/A STSAP7 N/A Securitisation name The name of the ABCP programme. Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980. STSAP8 Regulations 10 and 13 of the Securitisation Regulations and SECN 2.5.3R Country of establishment Confirmation that the sponsor is established in the United Kingdom. Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980. STSAP9 N/A Securitisation classification The type of securitisation (non-ABCP securitisation, ABCP transaction, ABCP programme). N/A STSAP10 N/A Issuance date The date of the first issuance of the ABCP programme. Item 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 STSAP11 N/A Notification date The date of STS notification to the FCA, or if prior to IP completion day, date of notification to ESMA. N/A

FCA 2024/18
General information
FIELD
NUMBER
Provision of the
Securitisation
Regulations and/or
SECN
FIELD NAME CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP12 SECN 2.5.2R Authorised Third party If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, a statement that the authorised third party firm has confirmed compliance with the STS criteria. N/A STSAP13 SECN 2.5.2R Authorised Third party name If an authorised third party has provided STS verification services in accordance with SECN 2.5.2R, the third party’s name. N/A [Deleted] STSAP15 Regulation 11 of the Securitisation Regulations STS status A reasoned notification by the sponsor that the ABCP programme is no longer to be considered as STS, or that a STS notification should be revised. N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP16 SECN 2.3.23R Sponsor to be a CRR firm, but not an investment firm √ Confirmation that the sponsor of the programme is a CRR firm, but not an investment firm and link to a document attesting to such status. N/A STSAP17 SECN 2.3.24R Sponsor support as liquidity facility provider √ Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision. N/A STSAP18 SECN 2.3.25R Demonstration to the PRA √ Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION document supporting it has demonstrated this position to the PRA. STSAP19 SECN 2.3.26R Compliance with sponsor’s due diligence requirements √ Confirmation the sponsor’s compliance with the due diligence requirements set out in SECN 4.2.1R(1) and SECN 4.2.2R, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of UK CRR or equivalent requirements in third countries. N/A STSAP20 SECN 2.3.27R The seller (at transaction √ A concise explanation of how the seller (ABCP transaction) and the sponsor (ABCP Item 3.4.3 of
Annex 19 of

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

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

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP22 SECN 2.3.29R Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor √ A concise explanation from the sponsor of whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. N/A STSAP23 SECN 2.3.30R Compliance of ABCP transactions within an ABCP programme with SECN 2.3.2R to SECN 2.3.9R and SECN 2.3.13R to SECN 2.3.22R √ Confirmation whether all ABCP transactions within the programme meet the following requirements:

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

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP24 SECN 2.3.30R (2) to (3) Maximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporarily be non-compliant with certain requirements √ A detailed explanation as to which, if any, of the requirements of SECN 2.3.10R, 2.3.11R or 2.3.12R are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP transactions it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party. N/A STSAP25 SECN 2.3.31R Remaining weighted average life √ Confirmation that the remaining weighted average life of the underlying N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION (WAL) in the underlying exposures of an ABCP programme shall not be more than two years exposures of an ABCP programme are not more than two years. STSAP26 SECN 2.3.32R Fully supported ABCP programme (sponsor support) √ A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with SECN 2.3.24R. N/A STSAP27 SECN 2.3.33R No resecuritisation and no credit enhancement establishing a second layer of tranching at the √ Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level. N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION ABCP programme level STSAP28 SECN 2.3.34R No call options √ Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities’ final maturity at the discretion of the seller, sponsor or SSPE. N/A STSAP29 SECN 2.3.35R Interest rate and currency risks at ABCP programme appropriately mitigated and documented. √ A detailed explanation that measures are taken appropriately to mitigate interest rates and currency risks arising at ABCP programme level, and details of those measures, including whether the SSPE enters into derivative contracts other than for the reasons set out by SECN 2.3.35R. N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION A description of how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance. STSAP30 SECN 2.3.36R (1) Requirements for the ABCP programme documentation (responsibilities of the trustee to investors) √ Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme’s documentation. N/A STSAP31 SECN 2.3.36R (2) Requirements for the ABCP programme documentation (contractual obligations of the sponsor) √ Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme’s documentation. N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP32 SECN 2.3.36R (3) Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer) √ Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity. N/A STSAP33 SECN 2.3.36R (4) Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) √ Confirmation that the requirements under SECN 2.3.36R (4) are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events. N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION STSAP34 SECN 2.3.36R (5) Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) √ Confirmation that the ABCP programme’s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in SECN 2.3.36R (5). N/A STSAP35 SECN 2.3.36R (6) Requirements for the ABCP √ Confirmation that the ABCP programme’s documentation contains provisions ensuring N/A

FCA 2024/18
Specific information
Field number
Provision of the
Securitisation
Regulations and/or SECN
FIELD NAME Confirmation Concise explanation Detailed explanation CONTENT TO BE REPORTED [If appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.] ADDITIONAL INFORMATION programme that the liquidity facility shall documentation be drawn down and the (liquidity maturing securities shall be facility & repaid in the event that the maturing sponsor does not renew the securities to be funding commitment of the repaid where the liquidity facility before its sponsor does expiry. not renew the A statement indicating the funding relevant pages of the commitment of prospectus or other underlying the liquidity documentation that contain the facility before information relevant to the its expiry) requirements set out in SECN 2.3.36R (6). STSAP36 SECN 2.3.37R Servicer expertise √ A detailed explanation of how the requirements of SECN 2.3.37R are met, including the policies and procedures ensuring compliance with these requirements Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980.

FCA 2024/18
2 Annex STS notification template for a non-ABCP securitisation 4R [Editor’s note: insert link to document containing ‘STS notification template for a non-ABCP securitisation’]

FCA 2024/18
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format:
YYYY-MM-DD
{Y/N} 1 alphanumeric character ‘true’- Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442

FCA 2024/18
COMPLETE
FIELD FORMAT
STSS0 First contact point {ALPHANUM-1000} STSS1 Instrument identification code {ISIN} STSS2 LEI of the originator and sponsor and original lender {LEI} STSS3 Notification identifier {ALPHANUM-100} STSS4 Unique Identifier {ALPHANUM-100} STSS5 Prospectus Identifier {ALPHANUM-100} STSS6 Securitisation repository {ALPHANUM-1000} STSS7 Securitisation Name {ALPHANUM-100} STSS8 Country of establishment {COUNTRYCODE_2} STSS9 Securitisation classification {LIST} STSS10 Underlying Exposures Type {LIST} STSS11 Issue date {DATEFORMAT} STSS12 Notification Date {DATEFORMAT} STSS13 Authorised third party {ALPHANUM-1000}

FCA 2024/18
COMPLETE
FIELD FORMAT
STSS14 Authorised third party (name) {ALPHANUM-1000} [Deleted] STSS16 STS status {ALPHANUM-1000} STSS17 Originator (or original lender) not a CRR firm or an FCA investment firm {Y/N} STSS18 Confirmation of credit granting criteria {ALPHANUM-1000} STSS19 Declaration that the credit granting criteria is subject to supervision {ALPHANUM-1000} STSS20 Underlying exposures acquired by true sale or assignment {ALPHANUM-10000} STSS21 No severe clawback {ALPHANUM-10000} STSS22 Exemption for clawback provisions in national insolvency laws {ALPHANUM-1000} STSS23 Transfer where the seller is not the original lender {ALPHANUM-1000} STSS24 Transfer performed by means of an {ALPHANUM-10000}

FCA 2024/18
COMPLETE
FIELD FORMAT assignment and perfected at a later stage STSS25 Representations and warranties {ALPHANUM-10000} STSS26 Criteria for active Portfolio Management {ALPHANUM-10000} STSS27 Homogeneity of assets {ALPHANUM} STSS28 Underlying Exposure Obligations/no resecuritisation {ALPHANUM-1000} STSS29 Soundness of the underwriting standard {ALPHANUM} STSS30 Originator/Lender expertise {ALPHANUM} STSS31 Transferred underlying exposures without exposures in default {ALPHANUM} STSS32 At least one payment at the time of transfer {ALPHANUM-1000} STSS33 Repayment of the holders/sale of assets. {ALPHANUM} STSS34 Compliance with the risk retention requirements {LIST} STSS35 Mitigation of interest rates (IR) and currency (FX) risks {ALPHANUM-10000}

FCA 2024/18
COMPLETE
FIELD FORMAT
STSS36 Derivatives Purchased/Sold by SSPE {ALPHANUM-10000} STSS37 Derivatives using common standards {ALPHANUM-10000} STSS38 Referenced interest payments based on generally used interest rates {ALPHANUM-10000} STSS39 No trapping of cash following enforcement or acceleration notice {ALPHANUM-10000} STSS40 No amount of cash shall be trapped {ALPHANUM-1000} STSS41 Principal receipts shall be passed to investors {ALPHANUM-1000} STSS42 Repayment shall not be reversed with regard to their seniority {ALPHANUM-1000} STSS43 No provisions shall require automatic liquidation of the underlying exposures at market value {ALPHANUM-1000} STSS44 Securitisations featuring non-sequential priority of payments {ALPHANUM-1000} STSS45 Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers {ALPHANUM-10000}

FCA 2024/18
COMPLETE
FIELD FORMAT
STSS46 Deterioration in the credit quality of the underlying exposures {ALPHANUM-10000} STSS47 Occurrence of an insolvency-related event of the originator or servicer {ALPHANUM-10000} STSS48 Value of the underlying exposures held by the SSPE falls below a pre-determined threshold {ALPHANUM-10000} STSS49 Failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period) {ALPHANUM-10000} STSS50 Information regarding contractual obligations of the servicer, trustee and other ancillary service providers {ALPHANUM-1000} STSS51 Servicing continuity provisions {ALPHANUM-1000} STSS52 Derivative Counterparties continuity provisions {ALPHANUM-1000} STSS53 Liquidity providers and account bank continuity provisions {ALPHANUM-1000}

FCA 2024/18
COMPLETE
FIELD FORMAT
STSS54 Required expertise from the servicer & policies & adequate procedures & risk management controls in place {ALPHANUM} STSS55 Clear & consistent definitions (problem loans) {ALPHANUM-1000} STSS56 Priorities of payment and triggers events {ALPHANUM-1000} STSS57 Timely resolution of conflicts between classes of investors and responsibilities of trustees {ALPHANUM-1000} STSS58 Historical default and loss performance data {ALPHANUM-1000} STSS59 Sample of the underlying exposures subject to external verifications {ALPHANUM-1000} STSS60 Availability of a liability cash flow model to potential investors {ALPHANUM-1000} STSS61 Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases {ALPHANUM-10000} STSS62 Originator and sponsor responsible for compliance with SECN 6 {ALPHANUM-1000}

FCA 2024/18
2 Annex STS notification template for an ABCP transaction 5R [Editor’s note: insert link to document containing ‘STS notification template for an ABCP transaction’]

FCA 2024/18
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166- 1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format: YYYY-MM-DD {Y/N} 1 alphanumeric character ‘true’ Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442

FCA 2024/18
STSAT0 First contact point {ALPHANUM-1000} STSAT1 Instrument identification code {ISIN} STSAT2 LEI of the originator and sponsor and original lender {LEI} STSAT3 Notification identifier {ALPHANUM-100} STSAT4 Unique Identifier {ALPHANUM-100} STSAT5 Prospectus Identifier {ALPHANUM-100} STSAT6 Securitisation repository {ALPHANUM-1000} STSAT7 Securitisation Name {ALPHANUM-100} STSAT8 Place of establishment {COUNTRYCODE_2} STSAT9 Securitisation Type {LIST} STSAT10 Underlying Exposures Type {LIST} STSAT11 Issue date {DATEFORMAT} STSAT12 Notification Date {DATEFORMAT} STSAT13 Authorised third party {ALPHANUM-1000}

FCA 2024/18
STSAT14 Authorised third party (name) {ALPHANUM-1000} [Deleted] STSAT16 STS status {ALPHANUM-1000} STSAT17 Originator (or original lender) not a CRR firm or an FCA investment firm {Y/N} STSAT18 Confirmation of credit granting criteria {ALPHANUM-1000} STSAT19 Declaration that credit granting criteria is subject to supervision {ALPHANUM-1000} STSAT20 Underlying exposures acquired by true sale {ALPHANUM-10000} STSAT21 No severe clawback {ALPHANUM-10000} STSAT22 Exemption for clawback provisions in national insolvency laws {ALPHANUM-1000} STSAT23 Transfer where the seller is not the original lender {ALPHANUM-1000}

FCA 2024/18
STSAT24 Transfer performed by means of an assignment and perfected at a later stage {ALPHANUM-10000} STSAT25 Representations and warranties {ALPHANUM-10000} STSAT26 Criteria for active Portfolio Management {ALPHANUM-10000} STSAT27 No re-securitisation {ALPHANUM-1000} STSAT28 Transferred underlying exposures without defaulted exposures {ALPHANUM} STSAT29 At least one payment made at the time of transfer {ALPHANUM-1000} STSAT30 Repayment of the holders/sale of assets. {ALPHANUM} STSAT31 Mitigation of interest rates (IR) and currency (FX) risks {ALPHANUM-10000} STSAT32 Derivatives Purchased/Sold by SSPE {ALPHANUM-10000} STSAT33 Derivatives in Underlying Exposures {ALPHANUM-10000}

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

FCA 2024/18
STSAT44 Principal receipts shall be passed to investors {ALPHANUM-1000} STSAT45 No provisions shall require automatic liquidation of the underlying exposures at market value {ALPHANUM-1000} STSAT46 Soundness of the underwriting standards {ALPHANUM} STSAT47 Seller Expertise {ALPHANUM} STSAT48 Revolving ABCP transaction/credit quality trigger. {ALPHANUM} STSAT49 Securitisation participant duties {ALPHANUM-1000} STSAT50 Servicing continuity provisions {ALPHANUM-1000} STSAT51 Derivative counterparty and account bank continuity provisions {ALPHANUM-1000} STSAT52 Sponsor robustness {ALPHANUM-1000}

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2 Annex STS notification template for an ABCP programme 6R [Editor’s note: insert link to document containing ‘STS notification template for an ABCP programme’]

FCA 2024/18
Field formats to be applied to the STS notification form SYMBOL DATA TYPE DEFINITION {ALPHANUM-n} Up to n alphanumeric characters Free text field. Should be entered in ASCII format (no accented characters). {COUNTRYCODE_2} 2 alphanumeric characters 2 letter country code, as defined by ISO 3166- 1 alpha-2 country code. Should be entered in ASCII format (no accented characters). {CURRENCYCODE_3} 3 alphanumeric characters 3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). {DATEFORMAT} ISO 8601 date format Dates shall be formatted by the following format: YYYY-MM-DD {Y/N} 1 alphanumeric character ‘true’- Y ’false’ – N {ISIN} 12 alphanumeric characters ISIN code, as defined in ISO 6166 {LEI} 20 alphanumeric characters Legal entity identifier, as defined in ISO 17442.

FCA 2024/18
STSAP0 First contact point {ALPHANUM-1000} STSAP1 Instrument identification code {ISIN} STSAP2 LEI of the sponsor {LEI} STSAP3 Notification identifier {ALPHANUM-100} STSAP4 Unique Identifier {ALPHANUM-100} STSAP5 Prospectus Identifier {ALPHANUM-100} STSAP6 Securitisation repository {ALPHANUM-1000} STSAP7 ABCP programme name {ALPHANUM-100} STSAP8 Country of establishment {Y/N} STSAP9 Instrument classification {LIST} STSAP10 Issue date {DATEFORMAT} STSAP11 Notification date {DATEFORMAT} STSAP12 Authorised third party {ALPHANUM-100} STSAP13 Authorised third party (name) {ALPHANUM-1000} [Deleted]

FCA 2024/18
STSAP15 STS status {ALPHANUM-1000} STSAP16 Sponsor to be CRR firm, but not an investment firm {ALPHANUM-1000} STSAP17 Sponsor Support as liquidity provider {ALPHANUM-1000} STSAP18 Demonstration to the PRA {ALPHANUM-1000} STSAP19 Compliance with sponsor’s due diligence requirements {ALPHANUM-1000} STSAP20 Compliance with the risk retention requirements (transaction level/programme level) {LIST} STSAP21 Compliance at ABCP programme level with SECN 6 {ALPHANUM-1000} STSAP22 Drawn down of liquidity facility where funding commitments of the liquidity facility are not renewed by the sponsor {ALPHANUM-10000} STSAP23 Compliance of ABCP transactions within an ABCP programme with SECN 2.3.2 to SECN 2.3.9 and {ALPHANUM-1000}

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

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

FCA 2024/18 liquidity facility before its expiry) STSAP36 Servicer Expertise {ALPHANUM}

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3 Selling securitisation positions to retail clients
3.1 Application
3.1.1 G This chapter applies to sellers of securitisation positions who are established
in the United Kingdom, except for SECN 3.2.2G which applies to retail clients established in the United Kingdom.
3.2 Selling of securitisations to retail clients
3.2.1 R (1) The seller of a securitisation position shall not sell such a position
to a retail client, unless all of the following conditions are fulfilled:
(a) the seller of the securitisation position has performed a suitability test in accordance with COBS 9A.2.1R and COBS 9A.2.16R; (b) the seller of the securitisation position is satisfied, on the basis of the test referred to in (a), that the securitisation position is suitable for that retail client; (c) the seller of the securitisation position immediately communicates in a report to the retail client the outcome of the suitability test. (2) Where the conditions set out in (1) are fulfilled and the financial instrument portfolio of that retail client does not exceed £500,000, the seller shall ensure, on the basis of the information provided by the retail client in accordance with SECN 3.2.2G, that the retail client does not invest an aggregate amount exceeding 10% of that client’s financial instrument portfolio in securitisation positions, and that the initial minimum amount invested in one or more securitisation positions is £10,000.
3.2.2 G The retail client shall provide the seller with accurate information
on the retail client’s financial instrument portfolio, including any investments in securitisation positions.
3.2.3 R For the purposes of SECN 3.2.1R and SECN 3.2.2G, the retail
client’s financial instrument portfolio shall include cash deposits and financial instruments, but shall exclude any financial instruments that have been given as collateral. 4 Due diligence requirements
4.1 Application
4.1.1 G This chapter applies to:
(1) institutional investors who are not PRA-authorised persons or an occupational pension scheme, except for SECN 4.3; and

FCA 2024/18
(2) in the case of SECN 4.3, sponsors who are not PRA-authorised persons and who are established in the United Kingdom.
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:
(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); (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, 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; (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); (d) if not established in the United Kingdom, the originator, sponsor or original lender retains 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

FCA 2024/18 institutional investors; 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, 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, 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 (i) At least quarterly in the case of a securitisation which is not an ABCP programme or an ABCP transaction. (ii) At least monthly in the case of an ABCP programme or an ABCP transaction.

FCA 2024/18
Information Frequency original lender.
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 impact on the performance of the securitisation position. 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. 5 Information describing any changes or events materially affecting the transaction, including breaches of obligations under the transaction documents. As soon as practicable following that material change or event. 6 Any approved prospectus or other offering or marketing document prepared with the cooperation of the originator or sponsor. 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.

FCA 2024/18
Information Frequency
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.
4.2.2 R (1) Prior to holding a securitisation position, an institutional investor,
other than the originator, sponsor or original lender, shall carry out a due diligence assessment, which enables it to assess the risks involved. That assessment shall 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 transactionspecific definitions of default; (c) with regard to a securitisation included on the list maintained under regulation 10(2) of the Securitisation Regulations 2024, compliance with SECN 2;

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(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; (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; (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 (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. (2) Notwithstanding (1)(a) and (b), in the case of a fully supported ABCP programme, institutional investors in the commercial paper issued by that ABCP programme shall consider the features of the ABCP programme and the full liquidity support.
4.2.3 R The requirements in SECN 4.2.1R and SECN 4.2.2R continue to apply
where a third party verifier has provided services under SECN 2.5.2R.
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 to the sponsor and not to the institutional investor. (2) In such cases, the sponsor must verify that 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

FCA 2024/18 underlying exposures that are trade receivables not in the form of a loan) on the basis of:
(a) sound and well-defined criteria; and (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 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-tovalue ratios with bandwidths that facilitate adequate sensitivity analysis; (2) in the case of a securitisation other than a fully supported ABCP

FCA 2024/18 programme, regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures or, in the absence of sufficient data on cash flows and collateral values, stress tests on loss assumptions, having regard to the nature, scale and complexity of the risk of the securitisation position; (3) in the case of fully supported ABCP 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.
4.4.2 R Where the underlying exposures of a securitisation are themselves
securitisation positions, in accordance with SECN 7 or Article 8 of Chapter 2 of the Securitisation Part of the PRA Rulebook, institutional investors shall also monitor the exposures underlying those securitisation positions.
4.5 Institutional investor delegation
4.5.1 R Without prejudice to SECN 4.2 and SECN 4.4, where the managing party
has been given authority by the institutional investor described below to make investment management decisions that might expose it to a securitisation, the following paragraphs apply in respect of any exposure to a securitisation arising from those decisions. Unless specified below the responsibility for fulfilling the obligations under SECN 4.2 and SECN 4.4 shall remain with the institutional investor:
(1) Where an institutional investor who is subject to SECN 4.5.1R (‘the managing party’) is instructed under SECN 4.5.1R to fulfil any of the obligations of another institutional investor who is also subject to SECN 4.5.1R and fails to do so, the managing party is responsible for the failure to comply with the relevant obligation and not the institutional investor who is exposed to the securitisation. (2) Where an institutional investor who is subject to SECN 4.5.1R (‘the managing party’) is instructed under SECN 4.5.1R to fulfil any of

FCA 2024/18 the obligations of another institutional investor who is subject to
Article 5 of Chapter 2 of the Securitisation Part of the PRA Rulebook
or to regulation 32A to 32D of the Securitisation Regulations 2024 and fails to do so, the managing party is responsible for the failure to comply with the relevant obligation. (3) Where an institutional investor (‘the managing party’) who is subject to Article 5 of Chapter 2 of the Securitisation Part of the PRA Rulebook is instructed under SECN 4.5.1R to fulfil any of the obligations of another institutional investor who is subject to SECN 4.5.1R and fails to do so, the institutional investor who is exposed to the securitisation is not responsible for the failure to comply. 5 Requirements on risk retention
5.1 Interpretation and application
Application
5.1.1 G This chapter applies to originators, sponsors and original lenders, which
are not PRA-authorised persons, and which are established in the United Kingdom. Interpretation
5.1.2 R In this chapter, the following definitions apply:
5.1.3 R (1) ‘contingent form of retention’ means retention of a material net
economic interest through the use of guarantees, letters of credit and other similar forms of credit support ensuring an immediate enforcement of the retention; (2) ‘synthetic form of retention’ means retention of a material net economic interest through the use of derivative instruments; and (3) ‘UK Solvency II Firm’ has the same definition as in Article 2.1 of
Chapter 2, Solvency II Firms: Insurance General Application of the
PRA Rulebook.
5.2 Retention of a material net economic interest
5.2.1 R The originator, sponsor or original lender of a securitisation shall retain on
an ongoing basis a material net economic interest in the securitisation of not less than 5%. That interest shall be measured at the origination and shall be determined by the notional value for off-balance-sheet items.
5.2.2 R Where the originator, sponsor or original lender have not agreed between
them who will retain the material net economic interest, the originator shall retain the material net economic interest.
5.2.3 R There shall be no multiple applications of the retention requirements for any

FCA 2024/18 given securitisation.
5.2.4 R The material net economic interest shall not be split amongst different types
of retainers and shall not be subject to any credit-risk mitigation or hedging.
5.2.5 R For the purposes of SECN 5, an entity shall not be considered to be an
originator where the entity has been established or operates for the sole purpose of securitising exposures.
5.2.6 R Subject to SECN 5.2.7R, originators shall not select assets to be transferred
to the SSPE with the aim of rendering losses on the assets transferred to the SSPE, measured over the life of the transaction, or over a maximum of 4 years where the life of the transaction is longer than 4 years, higher than the losses over the same period on comparable assets held on the balance sheet of the originator.
5.2.7 R Originators may select assets to be transferred to the SSPE that ex ante
have a higher than average credit risk profile as compared to the comparable assets, if any, that remain on the balance sheet of the originator provided that the higher credit risk profile of the assets transferred to the SSPE is clearly communicated to the investors or potential investors.
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:
(a) the retention of not less than 5% of the nominal value of each of the tranches sold or transferred to investors; (b) in the case of revolving securitisations or securitisations of revolving exposures, the retention of the originator’s interest of not less than 5% of the nominal value of each of the securitised exposures; (c) the retention of randomly selected exposures, equivalent to not less than 5% of the nominal value of the securitised exposures, where such non-securitised exposures would otherwise have been securitised in the securitisation, provided that the number of potentially securitised exposures is not less than 100 at origination; (d) the retention of the first loss tranche and, where such retention does not amount to 5% of the nominal value of the securitised exposures, if necessary, other tranches having the same or a more severe risk profile than those transferred or sold to investors and not maturing any earlier than those transferred or sold to investors, so that the retention equals in total not less than 5% of the nominal value of the securitised exposures; or (e) the retention of a first loss exposure of not less than 5% of

FCA 2024/18 every securitised exposure in the securitisation. (2) (a) By way of derogation from (1), in the case of NPE securitisations, where a non-refundable purchase price discount has been agreed, the retention of a material net economic interest for the purposes of (1) shall not be less than 5% of the sum of the net value of the securitised exposures that qualify as non-performing exposures and, if applicable, the nominal value of any performing securitised exposures. (b) The net value of a non-performing exposure shall be calculated by deducting the non-refundable purchase price discount agreed at the level of the individual securitised exposure at the time of origination or, where applicable, a corresponding share of the non-refundable purchase price discount agreed at the level of the pool of underlying exposures at the time of origination from the exposure’s nominal value or, where applicable, its outstanding value at the time of origination. (c) In addition, for the purpose of determining the net value of the securitised non-performing exposures, the nonrefundable purchase price discount may include the difference between the nominal amount of the tranches of the NPE securitisation underwritten by the originator for subsequent sale and the price at which these tranches are first sold to unrelated third parties.
5.2.9 R (1) Where:
(a) a mixed financial holding company; (b) a UK parent institution; (c) a financial holding company that is established in the United Kingdom; or (d) a subsidiary of such a company or institution, as an originator or sponsor, securitises exposures from one or more CRR firms, FCA investment firms or other financial institutions which are included in the scope of supervision on a consolidated basis, the requirements set out in SECN 5.2.1R to SECN 5.2.5R may be satisfied based on the consolidated situation of the mixed financial holding company, UK parent institution or financial holding company concerned. (2) Subject to the modifications for FCA investment firms in (3), (1) applies only if CRR firms, FCA investment firms or financial institutions which created the securitised exposures:

FCA 2024/18
(a) comply with the requirements in Chapter 4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook; and (b) deliver the information needed to satisfy the requirements in SECN 4 or equivalent PRA rules, in a timely manner, to the originator or sponsor and, if the originator or sponsor is a subsidiary, to the mixed financial holding company, UK parent institution or financial holding company which is the parent undertaking of the subsidiary. (3) In the case of FCA investment firms, compliance with the requirements set out in Article 4.2 of Chapter 4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook are modified in accordance with this subparagraph:
(a) FCA investment firms must have internal methodologies that enable them to assess the credit risk of exposures to individual obligors, securities or securitisation positions and credit risk at the portfolio level; (b) the internal methodologies must not rely solely or mechanistically on external credit ratings; and (c) where an FCA investment firm determines the amount of own funds that it should hold by reference to a rating by an external credit assessment institution or by reference to the fact that an exposure is unrated, this does not exempt the FCA investment firm from additionally considering other relevant information for assessing its allocation of internal capital. (4) In SECN 5.2.9R ‘subsidiary’ has the meaning given in Article 4(1)(16) of UK CRR.
5.2.10 R SECN 5.2.1R to SECN 5.2.5R shall not apply where the securitised
exposures are exposures to or exposures fully, unconditionally and irrevocably guaranteed by:
(1) central governments or central banks; (2) regional governments, local authorities and ‘public sector entities’ within the meaning of Article 4(1)(8) of UK CRR; (3) institutions to which a 50% risk weight or less is assigned under Part Three, Title II, Chapter 2 of UK CRR and articles 132a to 132c of
Chapter 3 of the Standardised Approach and Internal Ratings Based
Approach to Credit Risk (CRR) Part of the PRA Rulebook; (4) national promotional banks or institutions within the meaning of
Article 2(3) of Regulation (EU) 2015/1017 of the European
Parliament and of the Council; or

FCA 2024/18
(5) the multilateral development banks listed in Article 117 of UK CRR.
5.2.11 R SECN 5.2.1R to SECN 5.2.5R shall not apply to transactions based on a
clear, transparent and accessible index, where the underlying reference entities are identical to those that make up an index of entities that is widely traded, or are other tradable securities other than securitisation positions.
5.3 Retainers of material net economic interest
5.3.1 R The requirement that the retained material net economic interest shall not be
split among different types of retainers under SECN 5.2.4R shall be fulfilled by any of the following:
(1) the originator or originators; (2) the sponsor or sponsors; or (3) the original lender or original lenders.
5.3.2 R Where more than one originator is eligible to fulfil the retention
requirement each originator shall fulfil that requirement on a pro rata basis by reference to the securitised exposures for which it is the originator.
5.3.3 R Where more than one original lender is eligible to fulfil the retention
requirement, each original lender shall fulfil that requirement on a pro rata basis by reference to the securitised exposures for which it is the original lender.
5.3.4 R By way of derogation from SECN 5.3.2R and SECN 5.3.3R, the retention
requirement may be fulfilled in full by a single originator or original lender provided that either of the following conditions is met:
(1) the originator or original lender has established and is managing the ABCP programme or other securitisation; or (2) the originator or original lender has established the ABCP programme or other securitisation and has contributed over 50% of the total securitised exposures measured by nominal value at origination.
5.3.5 R Where more than one sponsor is eligible to fulfil the retention requirement,
the retention requirement shall be fulfilled by either:
(1) the sponsor whose economic interest is most appropriately aligned with investors as agreed by the multiple sponsors on the basis of objective criteria including, but not limited to, the transaction’s fee structure, the sponsor’s involvement in the establishment and management of the ABCP programme or other securitisation and exposure to credit risk of the securitisations; or (2) by each sponsor in proportion to the total number of sponsors.

FCA 2024/18
5.3.6 R The following must be taken into account when assessing whether an entity
has been established or operates for the sole purpose of securitising exposures as referred to in SECN 5.2.5R:
(1) the entity has a business strategy and the capacity to meet payment obligations consistent with a broader business model and involving material support from capital, assets, fees or other income available to the entity, relying neither on the exposures being securitised, nor on any interests retained or proposed to be retained in accordance with SECN 5, as well as any corresponding income from such exposures and interests; and (2) the members of the management body have the necessary experience to enable the entity to pursue the established business strategy, and the entity has adequate corporate governance arrangements.
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 the retention requirement 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:
(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 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 disclose in the final offering document, prospectus transaction summary or overview of the main features of the securitisation, 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. (3) Where an entity other than a CRR firm or a UK Solvency II Firm retains an economic interest through a synthetic form of retention or contingent form of retention, that interest retained on a synthetic or contingent basis must be fully collateralised in cash and held on a segregated basis as client money as referred to in CASS 7.12.1R.

FCA 2024/18
5.5 Retention of not less than 5% of the nominal value of each of the tranches
sold or transferred to investors
5.5.1 R The retention of not less than 5% of the nominal value of each of the
tranches sold or transferred to the investors referred to in SECN 5.2.8R(1)(a) may be complied with through any of the following methods:
(1) the retention of not less than 5% of the nominal value of each of the securitised exposures, provided that the retained credit risk ranks pari passu with or is subordinated to the credit risk securitised in relation to the same exposures; (2) the provision, in the context of an ABCP programme, of a liquidity facility, where all the following conditions are met:
(a) the liquidity facility covers 100% of the share of the credit risk of the securitised exposures of the relevant securitisation transaction that is being funded by the respective ABCP programme; (b) the liquidity facility covers the credit risk for as long as the retainer has to retain the material net economic interest by means of such liquidity facility for the relevant securitisation transaction; (c) the liquidity facility is provided by the originator, sponsor or original lender in the securitisation transaction; and (d) the investors becoming exposed to such securitisations have been given access to appropriate information with the initial disclosure to enable them to verify that (a), (b) and (c) are complied with; or (3) the retention of an exposure which exposes its holder to the credit risk of each issued tranche of a securitisation transaction on a prorata basis (vertical tranche) of not less than 5% of the total nominal value of each of the issued tranches.
5.6 Retention of the originator’s interest in a revolving securitisation of
revolving exposures
5.6.1 R The retention of the originator’s interest of not less than 5% of the nominal
value of each of the securitised exposures as referred to in SECN 5.2.8R(1)(b) shall only be considered fulfilled where the retained credit risk of such exposures ranks pari passu with or is subordinated to the credit risk securitised in relation to the same exposures.
5.7 Retention of randomly selected exposures equivalent to not less than 5% of
the nominal value of the securitised exposures
5.7.1 R (1) The pool of at least 100 potentially securitised exposures from

FCA 2024/18 which retained non-securitised and securitised exposures are to be randomly selected, as referred to in SECN 5.2.8R(1)(c), shall be sufficiently diverse to avoid an excessive concentration of the retained interest. (2) When selecting the exposures, referred to in SECN 5.7.1R(1), retainers shall take into account quantitative and qualitative factors that are appropriate for the type of securitised exposures to ensure that the distinction between retained non-securitised and securitised exposures is random. For that purpose, and where relevant, retainers shall take into consideration the following factors when selecting exposures:
(a) the time of the origination of the loan (vintage); (b) the type of securitised exposures; (c) the geographical location; (d) the origination date; (e) the maturity date; (f) the loan to value ratio; (g) the collateral type; (h) the industry sector; (i) the outstanding loan balance; and (j) any other factor deemed relevant by the retainer. (3) Retainers shall not select different individual exposures at different points in time, except where that may be necessary to fulfil the retention requirement in relation to a securitisation in which the securitised exposures fluctuate over time, either due to new exposures being added to the securitisation or to changes in the level of the individual securitised exposures. (4) Where the retainer is the securitisation’s servicer, the selection conducted in accordance with SECN 5.7.1R must not lead to a deterioration in the servicing standards applied by the retainer on the transferred exposures relative to the retained exposures.
5.8 Retention of the first loss tranche
5.8.1 R (1) The retention of the first loss tranche referred to in SECN
5.2.8R(1)(d) may be fulfilled by holding either on-balance sheet or off-balance sheet positions and by either of the following methods:
(a) provision of a contingent form of retention or of a liquidity

FCA 2024/18 facility in the context of an ABCP programme, which fulfils all of the following criteria:
(i) the exposure covers at least 5% of the nominal value of the securitised exposures; (ii) the exposure constitutes a first loss position in relation to the securitisation; (iii) the exposure covers the credit risk for the entire duration of the retention commitment; (iv) the exposure is provided by the retainer; and (v) the investors have been given access within the initial disclosure to all information necessary to verify that (i) to (iv) are complied with; or (b) over collateralisation, if it operates as a ‘first loss’ position of not less than 5% of the nominal value of the securitised exposures. (2) Where the first loss tranche exceeds 5% of the nominal value of the securitised exposures, the retainer may choose to retain a pro-rata portion of such first loss tranche only, provided that portion is equivalent to at least 5% of the nominal value of the securitised exposures.
5.9 Retention of a first loss exposure of not less than 5% of every securitised
exposure
5.9.1 R (1) The retention of a first loss exposure at the level of every securitised
exposure as referred to in SECN 5.2.8R(1)(e) shall only be considered to be fulfilled where the retained credit risk is subordinated to the credit risk securitised in relation to the same exposures. (2) By way of derogation from (1), the retention of a first lost exposure at the level of every securitised exposure as referred to in SECN 5.2.8R(1)(e) may also be fulfilled through the sale by the originator or original lender of the underlying exposures at a discounted value where each of the following conditions is met:
(a) the amount of the discount is not less than 5% of the nominal value of each exposure; and (b) the discounted sale amount is refundable to the originator or original lender only if that discounted sale amount is not absorbed by losses related to the credit risk associated with the securitised exposures.

FCA 2024/18
5.10 Application of the retention options on NPE securitisations
5.10.1 R (1) In case of NPE securitisations as referred to in SECN 5.2.8(2), for
the purposes of applying SECN 5.5.1R(1) and SECN 5.6R to SECN 5.9R to the share of non-performing exposures in the pool of underlying exposures of a securitisation, any reference to the nominal value of the securitised exposures shall be construed as a reference to the net value of the non-performing exposures. (2) For the purposes of SECN 5.7, the net value of the retained nonperforming exposures shall be calculated using the same amount of the non-refundable purchase price discount that would have been applied had the retained non-performing exposures been securitised. (3) For the purposes of SECN 5.2.8R(1)(a), SECN 5.6 or SECN 5.9 the net value of the retained part of the non-performing exposures shall be computed using the same percentage of the non-refundable purchase price discount that applies to the part that is not retained. (4) Where the non-refundable purchase price discount as referred to in SECN 5.2.8(2)(b) has been agreed at the level of the pool of underlying non-performing exposures, the net value of individual securitised non-performing exposures included in the pool or subpool, as applicable, shall be calculated by applying a corresponding share of the non-refundable purchase price discount agreed at pool or sub-pool level to each of the securitised non-performing exposures in proportion to their nominal value or, where applicable, their outstanding value at the time of origination. (5) Where the non-refundable purchase price discount includes the difference between the nominal amount of one tranche or several tranches of a NPE securitisation underwritten by the originator for subsequent sale and the price at which that tranche or those tranches are first sold to unrelated third parties as referred to in SECN 5.2.8R(2)(c), that difference shall be taken into account in the calculation of the net value of individual securitised non-performing exposures by applying a corresponding share of the difference to each of the securitised non-performing exposures in proportion to their nominal value.
5.11 Measurement of the level of retention
5.11.1 R (1) When measuring the level of retention of the net economic interest,
the following criteria shall be applied:
(a) the origination shall be considered as the time at which the exposures were first securitised; (b) where the calculation of the level of retention is based on nominal values, it shall not take into account the acquisition

FCA 2024/18 price of assets;
(c) finance charge collections and other fee income in respect of the securitised exposures net of costs (‘excess spread’) shall not be taken into account when measuring the retainer’s net economic interest; and (d) the retention option and methodology used to calculate the net economic interest shall not be changed during the life of a securitisation transaction, unless exceptional circumstances require a change and that change is not used as a means to reduce the amount of the retained interest. (2) The retainer shall not be required to replenish or readjust its retained interest to at least 5% as losses are realised on its retained exposures or allocated to its retained positions. 5.11A Measurement of the material net economic interest to be retained for exposures in the form of drawn and undrawn amounts of credit facilities 5.11A.1 R The calculation of the net economic interest to be retained for credit facilities, including credit cards, shall be based on amounts already drawn, realised or received only and shall be adjusted in accordance with changes to those amounts.
5.12 Prohibition of hedging or selling the retained interest
5.12.1 R (1) The obligation in SECN 5.2.1R to retain on an ongoing basis a
material net economic interest in the securitisation shall be deemed to have been met only where, taking into account the economic substance of the transaction, both of the following conditions are met:
(a) the retained material net economic interest is not subject to any credit risk mitigation or hedging of either the retained securitisation positions or the retained exposures; and (b) the retainer does not sell, transfer or otherwise surrender all or part of the rights, benefits or obligations arising from the retained net economic interest. (2) By way of derogation from SECN 5.12.1R(1)(a), the retainer may hedge the net economic interest where the hedge:
(a) is not against the credit risk of either the retained securitisation positions or the retained exposures; or (b) is undertaken prior to the securitisation as a prudent element of credit granting or risk management and does not create a differentiation for the retainer’s benefit between the credit risk of the retained securitisation positions or exposures and the securitisation positions or exposures transferred to

FCA 2024/18 investors.
(3) The retainer may use retained exposures or securitisation positions as collateral for secured funding purposes including, where relevant, funding arrangements that involve a sale, transfer or other surrender of all or part of the rights, benefits or obligations arising from the retained net economic interest, provided that such use as collateral does not transfer the exposure to the credit risk of those retained exposures or securitisation positions to a third party. (4) SECN 5.12.1R(1)(b) shall not apply:
(a) in the event of the insolvency of the retainer; or (b) in the case of retention on a consolidated basis, in accordance with SECN 5.14.
5.13 Transactions for which the retention requirement does not apply as referred
to in SECN 5.2.11R
5.13.1 R Transactions for which the retention requirement does not apply, as referred
to in SECN 5.2.11R, shall include securitisation positions in the correlation trading portfolio, which are either reference instruments satisfying the criterion in Article 338(1)(b) of the UK CRR or which are eligible for inclusion in the correlation trading portfolio.
5.14 Retention on a consolidated basis
5.14.1 R A mixed financial holding company, a UK parent institution or financial
holding company established in the United Kingdom satisfying, in accordance with SECN 5.2.9R, the retention requirement on the basis of its consolidated situation shall, in the case the retainer is no longer included in the scope of supervision on a consolidated basis, ensure that one or more of the remaining entities included in the scope of supervision on a consolidated basis fulfils the retention requirement.
5.15 Arrangements or embedded mechanisms
5.15.1 R Retainers shall not use arrangements or embedded mechanisms in the
securitisation by virtue of which the retained interest at origination would decline faster than the interest transferred. In the allocation of the cash flows, the retained interest shall not be prioritised to preferentially benefit from being repaid or amortised ahead of the transferred interest. The amortisation of the retained interest via cash flow allocation or through the allocation of losses that, in effect, reduce the level of retention over time, shall be allowed.
5.16 Fulfilment of the retention requirements in securitisations of own issued
debt instruments
5.16.1 R Where an entity securitises its own issued debt instruments, including
covered bonds, and the underlying exposures of the securitisation comprise

FCA 2024/18 exclusively those own-issued debt instruments, the retention requirement in SECN 5.2.1R to SECN 5.2.5R shall be considered complied with.
5.17 Retention requirement on resecuritisations
5.17.1 R (1) Subject to (2), in the context of resecuritisation as far as enabled in
accordance with SECN 7.2 and SECN 7.3, a retainer must retain the material net economic interest in relation to each of the respective transaction levels. (2) The originator of a resecuritisation is not obliged to retain a material net economic interest at the transaction level of the resecuritisations where all of the following conditions are met:
(a) the originator of the resecuritisation is also the originator and the retainer of the underlying securitisations; (b) the resecuritisation is backed by a pool of exposures comprising solely exposures or positions which were retained by the originator in the underlying securitisation in excess of the required minimum net economic interest prior to the date of origination of the resecuritisation; and (c) there is no maturity mismatch between the underlying securitisation positions or exposures and the resecuritisation. (3) A fully supported ABCP programme, which meets the requirements of SECN 7.3 is not a resecuritisation for the purposes of SECN 5.17. (4) The retranching by the securitisation’s originator of an issued tranche into contiguous tranches shall not constitute a resecuritisation.
5.18 Assets transferred to SSPE
5.18.1 R (1) For the purposes of SECN 5.2.6R, assets held on the balance sheet of
the originator that according to the documentation of the securitisation meet the eligibility criteria shall be deemed to be comparable to the assets to be transferred to the SSPE where, at the time of the selection of the assets, both of the following conditions are met:
(a) the expected performance of both the assets to be further held on the balance sheet and the assets to be transferred is determined by similar factors; and (b) on the basis of indications including past performance and applicable models, it can be reasonably expected that the performance of the assets to be further held on the balance sheet will not be significantly better during the time period referred to in SECN 5.2.6R than the performance of the

FCA 2024/18 assets to be transferred.
(2) An originator shall be deemed to have complied with SECN 5.2.6R where, after the securitisation, there are no exposures left on the originator’s balance sheet that are comparable to the securitised exposures, other than the exposures which the originator is already contractually committed to securitise, and provided that that fact has been clearly communicated to investors.
5.18.2 G In assessing whether the originator has complied with SECN 5.2.6R, the
FCA would expect to take into account the actions the originator has taken to comply with that rule. In particular, the FCA would expect to take account of any internal policies, procedures and controls put in place by the originator to prevent the systematic or intentional selection for securitisation purposes of assets of a higher average credit risk profile than comparable assets retained on its balance sheet.
5.19 Disclosure of the level of the commitment to maintain a net economic
interest
5.19.1 R (1) The retainer shall disclose to investors within the final offering
document, prospectus, transaction summary or overview of the main features of the securitisation at least the following information regarding the level of its commitment to maintain a net economic interest in the securitisation:
(a) confirmation of the retainer’s identity, whether it retains as originator, sponsor or original lender and, where the retainer is the originator, how it meets the requirement set out in SECN 5.2.5R taking into account the principles set out in SECN 5.3.6R; (b) which of the modalities provided for in SECN 5.2.8R(1) has been applied to retain a net economic interest; and (c) confirmation of the level of retention at origination and of the commitment to retain on an ongoing basis, which shall relate only to the continuation of fulfilment of the original obligation and shall not require data on the current nominal or market value, or on any impairments or write-downs on the retained interest. (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 disclose within the final offering document, prospectus, transaction summary or overview of the main features of the securitisation information on the applicable exemption to investors. (3) The disclosure referred to in (1) and (2) shall be appropriately documented within the final offering document, prospectus,

FCA 2024/18 transaction summary of overview of the main features of the securitisation and made publicly available, except in bilateral or private transactions where private disclosure is considered by the parties to be sufficient. The inclusion of a statement on the retention commitment in the prospectus for the securities issued under the securitisation programme is an appropriate means of fulfilling the requirement. 6 Transparency requirements for originators, sponsors and SSPEs
6.1 Application
6.1.1 G This chapter applies to originators, sponsors and SSPEs which are not
PRA-authorised persons, and which are established in the United Kingdom.
6.2 Provision of information to holders of a securitisation position
6.2.1 R The originator, sponsor and SSPE of a securitisation shall, in accordance
with SECN 6.3, 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:
(1) information on the underlying exposures on a quarterly basis, or, in the case of asset backed commercial paper, information on the underlying receivables or credit claims on a monthly basis; (2) all underlying documentation essential for the understanding of the transaction, including but not limited to, where applicable, the following documents:
(a) the final offering document or the prospectus together with the closing transaction documents, excluding legal opinions; (b) for traditional securitisation, the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust; (c) the derivatives and guarantee agreements, as well as any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator; (d) the servicing, back-up servicing, administration and cash management agreements; (e) the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value;

FCA 2024/18
(f) any relevant inter-creditor agreements, derivatives documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements; and (g) a detailed description of the priority of payments of the securitisation; (3) where section 85 of the Act (Contravention of prohibition relating to public offer of securities) and rules made by the FCA for the purposes of Part 6 of the Act (Official Listing) do not require a prospectus to be drawn up, a transaction summary or overview of the main features of the securitisation, including, where applicable:
(a) details regarding the structure of the deal, including the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure; (b) details regarding the exposure characteristics, cash flows, loss waterfall, credit enhancement and liquidity support features; (c) details regarding the voting rights of the holders of a securitisation position and their relationship to other secured creditors; and (d) a list of all triggers and events referred to in the documents provided in accordance with SECN 6.2.1R(2) that could have a material impact on the performance of the securitisation position; (4) in the case of STS securitisations, the STS notification referred to in SECN 2.5; (5) quarterly investor reports, or, in the case of asset backed commercial paper, monthly investor reports, containing at least the following:
(a) all materially relevant data on the credit quality and performance of underlying exposures; (b) information on events which trigger changes in the priority of payments or the replacements of any counterparties, and, in the case of a 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; and (c) information about the risk retained, including information on which of the modalities provided for in SECN 5.6.15R has been applied, in accordance with SECN 5, SECN 11 and SECN 12.

FCA 2024/18
(6) any inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of the Market Abuse Regulation; (7) where SECN 6.2.1R(6) does not apply, any significant event, such as:
(a) a material breach of the obligations provided for in the documents made available in accordance with SECN 6.2.1R(2), including any remedy, waiver or consent subsequently provided in relation to such a breach; (b) a change in the structural features that can materially impact the performance of the securitisation; (c) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (d) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where the FCA or PRA have taken remedial or administrative actions; and (e) any material amendment to transaction documents.
6.2.2 R (1) The information described in SECN 6.2.1R(1) and SECN 6.2.1R(5)
shall be made available simultaneously each quarter at the latest one month after the due date for the payment of interest or, in the case of ABCP transactions, at the latest one month after the end of the period the report covers. (2) The information described in SECN 6.2.1R(2), SECN 6.2.1R(3) and SECN 6.2.1R(4) must be made available before pricing or original commitment to invest in draft or initial form. Final versions of this information must be made available at the latest 15 days after closing of the transaction.
6.2.3 R In the case of ABCP, the information described in SECN 6.2.1R(1), SECN
6.2.1R(3)(b) and SECN 6.2.1R(5)(a) shall be made available in aggregate form to holders of securitisation positions and, on request, to potential investors. Loan-level data must be made available to the sponsor and, on request, to the FCA.
6.2.4 R Without prejudice to the provisions of the Market Abuse Regulation, the
information described in SECN 6.2.1R(6) and SECN 6.2.1R(7) shall 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 is necessary in order

FCA 2024/18 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 or debtor information.
6.2.6 G Nothing in SECN 6.2.5R affects the FCA’s powers by and under the Act
relating to the ability to request and process confidential information.
6.3 Designation relating to securitisation repository
6.3.1 R (1) The originator, sponsor and SSPE of a securitisation must designate
one of their number to be the entity responsible for fulfilling the information requirements under SECN 6.2.1R(1), SECN 6.2.1R(2), SECN 6.2.1R(4), SECN 6.2.1R(5), SECN 6.2.1R(6) and SECN 6.2.1R(7). (2) Such designation does not relieve the other parties referred to in SECN 6.3.1R of their responsibilities under SECN 6.2.
6.3.2 R The reporting entity shall make the information for a securitisation
transaction available by means of a securitisation repository registered by the FCA.
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 section 85 of the Act (Contravention of prohibition relating to public offer of securities) and rules made by the FCA for the purposes of Part 6 of the Act do not require a prospectus to be drawn up.
6.3.4 R Where no securitisation repository is registered in accordance with
regulation 14 of the Securitisation Regulations 2024, the reporting entity must make the information available by means of a website that:
(1) includes a well-functioning data quality control system; (2) is subject to appropriate governance standards and to maintenance and operation of an adequate organisational structure that ensures the continuity and orderly functioning of the website; (3) is subject to appropriate systems, controls and procedures that identify all relevant sources of operational risk; (4) includes systems that ensure the protection and integrity of the information received and the prompt recording of the information; and (5) makes 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 and SECN 6.3.4R, the reporting entity and the
securitisation repository where the information is made available shall be

FCA 2024/18 indicated in the documentation regarding the securitisation. 7 Ban on resecuritisation
7.1 Application
7.1.1 G (1) The rules in this chapter apply to originators, sponsors and SSPEs
which are not PRA-authorised persons, and which are established in the United Kingdom. (2) The rules in this chapter also apply to institutional investors which are not occupational pension schemes or PRA-authorised persons.
7.2 Securitisation positions as underlying exposures
7.2.1 R (1) The underlying exposures used in a securitisation shall 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.
7.2.2 G (1) Where an originator, sponsor or SSPE has included securitisation
positions as an underlying exposure in a securitisation in accordance with SECN 7.2.1R(1) an institutional investor may apply to the FCA for a waiver of SECN 7.2.1R(1) in order to invest in the resecuritisation. The FCA’s applicable waiver powers are set out in SECN Sch 6.
7.3 Fully supported ABCP programme
7.3.1 R A fully supported ABCP programme shall not be considered to be a
resecuritisation for the purposes of SECN 7, provided that none of the ABCP transactions within that programme is a resecuritisation and that the credit enhancement does not establish a second layer of tranching at the programme level. 8 Criteria for credit granting
8.1 Application
8.1.1 G This chapter applies to originators, sponsors and original lenders which are
not PRA-authorised persons, and which are established in the United Kingdom.
8.2 Granting of credit

FCA 2024/18
8.2.1 R Originators, sponsors and original lenders shall 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, the same clearly established processes for approving and (where relevant) amending, renewing and refinancing credits shall be applied.
8.2.2 R Originators, sponsors and original lenders shall have effective systems in
place to apply those criteria and processes 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
8.3.1 R Where the underlying exposures of securitisations are residential loans
made on or after 20 March 2014, the pool of those loans shall not include any loan that is marketed and underwritten on the premise that the loan applicant or, where applicable, intermediaries were made aware that the information provided by the loan applicant might not be verified by the lender.
8.3.2 R 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 (or equivalent PRA rules).
8.3.3 R SECN 8.3.2R does not apply if:
(1) the original agreement, which created the obligations or potential obligations of the debtor or potential debtor, was entered into before 20 March 2014; and (2) the originator that purchases a third party’s exposures for its own account and then securitises them meets the obligations that originator institutions were required to meet under Article 21(2) of Commission Delegated Regulation (EU) No 625/2014 before 1 January 2019. 9 Requirements on securitisation repositories
9.1 Application
9.1.1 G This chapter applies to securitisation repositories which are established in
the United Kingdom except, for the directions set out in SECN 9.4.1D to 9.4.3D which applies to applicants for registration as a securitisation repository or a trade repository.
9.2 Registration conditions

FCA 2024/18
9.2.1 R A registered securitisation repository must comply at all times with the
conditions for registration.
9.3 Availability of data
9.3.1 R Without prejudice to SECN 6.3, a securitisation repository must collect and
maintain details of the securitisation. It must provide direct and immediate access free of charge to the following entities to enable them to fulfil their respective responsibilities, mandates and obligations:
(1) the relevant authorities whose respective supervisory responsibilities and mandates cover transactions, markets, participants and assets which fall within the scope of SECN; (2) the Bank of England; (3) the FCA, the PRA and the Pensions Regulator; and (4) investors and potential investors.
9.4 Format of applications for registration as a securitisation repository or for
extension of a registration of a trade repository
9.4.1 D Applicants for registration as a securitisation repository under regulation
14(1) of the Securitisation Regulations 2024 must complete the applications set out in SECN 9 Annex 1D.
9.4.2 D Trade repositories applying for an extension of registration under
regulation 14(2) of the Securitisation Regulations 2024 must complete the applications set out in SECN 9 Annex 2D.
9.4.3 D For the purposes of SECN 9.4.1D and SECN 9.4.2D, the applications must
be submitted:
(1) in a durable medium; and
(2) with a unique reference number assigned to each document in the application.
9.5 Operational standards for data collection, aggregation, comparison, access
and verification of completeness and consistency by securitisation repositories Interpretation
9.5.1 R For the purposes of SECN 9.5, ‘data cut-off date’ means the reference date of
the information reported in accordance with SECN 11. End-of-day report
9.5.2 R (1) Securitisation repositories must produce, on a daily basis, a single
aggregate end-of-day report for all securitisations reported to them,

FCA 2024/18 excluding any reported securitisation that has been rejected in accordance with SECN 9.5.4R(7). That report must be based on the most recent reported information and must include at least the following information:
(a) the unique identifier assigned in accordance with SECN 11.12.1R; (b) the International Securities Identification Number (ISIN) codes of the tranches, bonds or subordinated loans of the securitisation, where available; (c) the sum of the current principal balances of all tranches, bonds or subordinated loans of the securitisation, in GBP, using the exchange rates published on the website of the Bank of England for the previous working day; (d) the securitisation name; (e) whether the securitisation is an ABCP transaction, an ABCP programme or a non-ABCP securitisation; (f) whether the securitisation structure type is type ‘M’ for a Master Trust as reported in field SESS9 of SECN 11 Annex 14R or type ‘s’ for all other securitisations; (g) whether the securitisation risk transfer method is ‘T’ for a true sale as reported in field IVSS11 of SECN 11 Annex 12R, ‘S’ for a synthetic securitisation as reported in field SESV11 of SECN 11 Annex 14R, or ‘ABCP’ for ABCP transactions or ABCP programmes; (h) the name and legal entity identifiers (LEI) of the originator, sponsor and SSPE; (i) the most recent interest payment date in ISO 8601 date format; (j) the timestamp, in ISO 8601 date and time (UTC) format, to the nearest second, of the most recent data submission received by the securitisation repository or, where there are multiple data submissions referenced against the same data cut-off date, the timestamps, in ISO 8601 date and time (UTC) format, of the earliest and most recent data submissions with the same data cut-off date; (k) the data cut-off date, in ISO 8601 date format, of the most recent data submission received by the securitisation repository; (l) the number of data submissions received by the securitisation repository that are referenced against the same

FCA 2024/18 data cut-off date set out in (k); (m) the data completeness score referred to in SECN 9.5.3R of the most recent data submission received by the securitisation repository; (n) for non-ABCP securitisations, the country of establishment of the originator or original lender; (o) for ABCP transactions or ABCP programmes, the country of establishment of the relevant sponsor of the ABCP programme; (p) the country in which the majority of the underlying exposures is located, in terms of underlying exposure current principal balance; and (q) the most prevalent type of the underlying exposures in the securitisation, in terms of current principal balance. (2) For the purposes of (n), where the securitisation’s underlying exposures are a combination of exposures from multiple originators or original lenders, the country of establishment of the originator or original lender must be the country of establishment of the originator or original lender that has the largest amount of exposures in terms of current principal balance in the securitisation. (3) Securitisation repositories must make the end-of-day report available in extensible markup language (XML) format. (4) Timestamps referred to in SECN 9.5.2R must not diverge by more than 1 second from the UTC issued and maintained by one of the timing centres listed in the latest Bureau International des Poids et Mesures (BIPM) Annual Report on Time Activities. Scoring of completeness of data
9.5.3 R Securitisation repositories must calculate a data completeness score for
each data submission by using the scoring matrix set out in Table 1 of SECN 9 Annex 3R and the following inputs:
Where:

FCA 2024/18 denotes the total number of fields in a data submission containing the respective ‘No Data Option’ values that are reported in accordance with SECN 11.10.3R. N denotes the total number of fields in the data submission where any ‘No Data Option’ values (ND1 to ND4) are permitted to be reported in accordance with SECN 11.10.3R. For the purposes of calculating the data completeness score, fields completed using the format ‘ND4-YYYY-MM-DD’ must be understood as ‘ND4’. Verification of completeness and consistency of information
9.5.4 R (1) Securitisation repositories must verify the completeness and
consistency of information reported to them by verifying the following:
(a) the name of the reporting entity, as reported in field IVSS4 of SECN 11 Annex 12R or in field IVAS3 of SECN 11
Annex 13R; and
(b) whether the submission item code, as reported in Table 3 of SECN 11 Annex 1R, is correct. (2) With regard to the information referred to in SECN 6.2.1R(1), SECN 6.2.1R(5), SECN 6.2.1R(6) and SECN 6.2.1R(7), securitisation repositories must also verify the completeness and consistency of information by:
(a) verifying whether the information reported complies with the structure and format of the templates set out in SECN 12
Annex 2R to SECN 12 Annex 15R;
(b) comparing the information reported:
(i) across different fields for the same data cut-off date and the same underlying exposure, investor report, inside information or significant event information item; (ii) across different underlying exposure, investor report, inside information or significant event information items for the same field and the same data cut-off date; (iii) across the same underlying exposure, investor report, inside information or significant event information items for the same field and different data cut-off dates; and (iv) across similar securitisations;

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(c) verifying whether the data cut-off date of the information reported and the timestamp of the submission comply with SECN 11.11; and (d) verifying that the ‘No Data Options’ set out in SECN 11.10.3R are only used where permitted and do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation. For ABCP transactions and ABCP programmes, references in (2) to ‘underlying exposures’ must be construed as references to ‘underlying exposure types’. (3) Securitisation repositories must verify the completeness and consistency of the documentation made available to them under SECN 6.2.1R(2) by requesting from reporting entities a written confirmation of the following:
(a) that all items referred to in Table 3 of SECN 11 Annex 1R and required to be made available pursuant to SECN 6.2.1R(2) have been provided to the securitisation repository; and (b) that the documentation is consistent with the actual arrangements and features of the securitisation. (4) Securitisation repositories must request the written confirmation referred to in (3) within the following timeframes:
(a) within 5 working days of the first issuance of securities under the securitisation or, for ABCP transactions or ABCP programmes, within 5 working days of the first issuance of securities under the relevant ABCP programme; (b) every 12 months from the dates of the requests referred to in (a); and (c) within 5 working days of a new document being made available pursuant to SECN 6.2.1R(2). (5) A securitisation repository that has not received a written confirmation within 14 days of the date of any request referred to in (3) must request the reporting entity to provide it with the written confirmation within 14 days. (6) A securitisation repository must verify whether the STS notification referred to in SECN 6.2.1R(4), which has been made available to that securitisation repository, complies with the structure and format of the templates set out in SECN 2 Annex 4R, SECN 2 Annex 5R and SECN 2 Annex 6R.

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(7) A securitisation repository must reject a submission of information that is incomplete or inconsistent pursuant to (1), (2) and (5), except for (2)(b)(iii) and (2)(b)(iv). The securitisation repository must assign submissions rejected pursuant to this paragraph to one of the rejection categories set out in Table 2 of SECN 9 Annex 3R. (8) The securitisation repository must notify the entities referred to in SECN 9.3 without undue delay of the following:
(a) that the submitted information is incomplete or inconsistent pursuant to (2)(b)(iii) and (2)(b)(iv); and (b) that the securitisation repository has not received the written confirmation referred to in (3). (9) Within 1 hour of the receipt of the information referred to in SECN 6, securitisation repositories must provide reporting entities with detailed feedback on the results of the verifications performed under (1), (2), (3) and (6), including any rejection category assigned pursuant to (7). That feedback must also include at least the following:
(a) the unique identifier of the securitisation assigned in accordance with SECN 11.12.1R; (b) the item code(s) referred to in Table 3 of SECN 11 Annex 1R; and (c) the submission timestamp, in ISO 8601 date and time (UTC) format, to the nearest second, of the information reported. (10) By 19.00.00 UTC each Monday, securitisation repositories must produce a report on all information rejected by it since 19.00.00 UTC on the previous Monday. That report must include at least the following items:
(a) the unique identifier of the securitisation assigned in accordance with SECN 11.12.1R; (b) the securitisation name; (c) the ISIN codes of the tranches or bonds or subordinated loans of the securitisation, where available; (d) the name and LEI of the originator, sponsor and SSPE; (e) the timestamp, in ISO 8601 date and time (UTC) format, to the nearest second, of the submitted information; (f) the submission item code referred to in Table 3 of SECN 11
Annex 1R;

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(g) the rejection category referred to in Table 2 of SECN 9
Annex 3R and the specific circumstances for assigning that
rejection category; and
(h) any explanation(s) provided by the reporting entity before
17.00.00 UTC on the Monday of the report publication date
as to why the reported information is incomplete or inconsistent, or as to why the written confirmation referred to in (3) has not been provided. Details of information to which access is to be granted
9.5.5 R The details of information referred to in SECN 9.3.1R are the following:
(1) all information received by the securitisation repository from reporting entities in accordance with SECN; (2) the end-of-day report referred to in SECN 9.5.2R, the data completeness score referred to in SECN 9.5.3R and any information resulting from the verifications carried out pursuant to SECN 9.5.4R; and (3) all formulae and calculation and aggregation methods used to produce the information referred to in (1) and (2). Terms and conditions for access to details of information
9.5.6 R (1) Access to the information referred to in SECN 9.5.5R must be
granted on request. The request for access must include the following information:
(a) the name of the requesting entity; (b) the contact person at the requesting entity; (c) the type of requesting entity, as referred to in SECN 9.3, that requests access; (d) the names of the persons at the requesting entity who will have access to the requested information; (e) credentials for secure SSH File Transfer Protocol connection as required by SECN 9.5.7R(2); (f) whether the request is an ad hoc or predefined periodic request; (g) the identification of the information requested based on any combination of the criteria in (4); and (h) any other technical information relevant to the requesting

FCA 2024/18 entity’s access.
(2) For the purposes of (1), securitisation repositories must:
(a) designate a person or persons responsible for liaising with the entities referred to in SECN 9.3.1R; (b) publish on their website the terms and conditions for accessing the information and the instructions for submitting a request for accessing that information; (c) provide access only to the information specified in the request for access; and (d) as soon as possible, but no later than 30 days following a request to set up access to that information, establish the technical arrangements necessary to enable the entities referred to in SECN 9.3.1R to submit requests to access that information. (3) Access to the information referred to in SECN 9.5.5R must be granted within the following timeframes:
(a) no later than 19.00.00 UTC on the day to which the report relates for an ad hoc or predefined periodic request for an end-of-day report as referred to in SECN 9.5.2R; (b) no later than 12.00.00 UTC on the first day following the day of receipt of the request for access where the information concerns a securitisation that has either not yet been priced or has not yet matured or has matured less than 1 year before the date on which the request was submitted; (c) no later than 3 working days following the day of receipt of the request for access where the information concerns a securitisation that has matured more than 1 year before the date on which the request was submitted; and (d) no later than 3 working days following the day of receipt of the request for access where the information concerns several securitisations falling under both (b) and (c). (4) Securitisation repositories must grant the entities referred to in SECN 9.3.1R access to the information referred to in SECN 4, based on any combination of the following criteria:
(a) securitisation type:
(i) non-ABCP securitisation; or (ii) ABCP transaction or ABCP programme;

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(b) securitisation structure type: either (i) ‘M’ for Master Trust as reported in field SESS9 of SECN 11 Annex 14R; or (ii) ‘S’ for all other securitisations; (c) securitisation risk transfer method: either type ‘ (i) ‘T’ for true sale as reported in field IVSS11 in SECN 11 Annex 12R; (ii) ‘S’ for synthetic as reported in field SESV11 in SECN 11 Annex 14R; or (iii) ‘ABCP’ for ABCP transactions or ABCP programmes; (d) securitisation item code; (e) securitisation underlying exposure type; (f) securitisation underlying exposure section; (g) securitisation investor report template section; (h) securitisation inside information or significant event information template section; (i) identifier:
(i) unique identifier;
(ii) transaction identifier;
(iii) ISIN;
(iv) new or original tranche/bond identifier; (v) new or original underlying exposure identifier; (vi) new or original obligor identifier; (vii) originator LEI; (viii) sponsor LEI; (ix) SSPE LEI; (x) original lender LEI; or (xi) collateralised loan obligation (CLO) manager LEI;

FCA 2024/18
(j) geography:
(i) geographic region; or
(ii) governing law;
(k) date and time:
(i) submission timestamp;
(ii) data cut-off date;
(iii) tranche/bond issue date;
(iv) tranche/bond legal maturity; (v) underlying exposure origination date; or (vi) underlying exposure maturity date; and (l) currency:
(i) tranche/bond currency; or
(ii) underlying exposure currency denomination. (5) Securitisation repositories must make the following information available using XML format:
(a) the information referred to in SECN 6.2.1R(1) and SECN 6.2.1(4) to (7); and (b) the information produced by securitisation repositories in accordance with SECN 9.5.2R and SECN 9.5.4R, with the exception of written confirmations received under SECN 9.5.4R(3). Standards for data collection and access
9.5.7 R (1) Securitisation repositories must use electronic signature and data
encryption protocols to receive data from reporting entities or other securitisation repositories and to transfer data to the entities referred to in SECN 9.3. (2) For the purposes of (1), securitisation repositories must establish and maintain a secure machine-to-machine interface and make that interface available to the reporting entities and the entities referred to in SECN 9.3. That interface must make use of the SSH File Transfer Protocol. (3) Securitisation repositories must use standardised XML messages to communicate through the interface referred to in (2) and make the

FCA 2024/18 information set out in SECN 9.5.6R(5) available to the entities referred to in SECN 9.3. Recordkeeping
9.5.8 R (1) Securitisation repositories must record the following:
(a) verifications pursuant to SECN 9, and any other validation carried out by the securitisation repository; (b) the written confirmations received by the securitisation repository referred to in SECN 9.5.4R(3); (c) the results provided by the securitisation repository to the reporting entity pursuant to SECN 9.5.4R(9); (d) any explanation provided by the reporting entity as to why the submitted information is incomplete or inconsistent, or as to why there is no written confirmation as referred to in SECN 9.5.4R(10)(h); (e) in a reporting log, the details of any corrections or cancellations submitted by the reporting entity; and (f) any other information produced or submitted pursuant to SECN. (2) Each record must be retained for 10 years following the termination of the securitisation to which that record relates. (3) The reporting log referred to in (1)(e) must include the unique identifier of the securitisation, the item code, the timestamp of the affected submission, the timestamp of the changes and a clear description of the changes to the submitted information, including the previous and new contents of that information.
9.6 Details of the application for registration of a securitisation repository and
the details of the simplified application for an extension of registration of a trade repository Interpretation
9.6.1 D (1) For the purposes of SECN 9.6, the following definitions apply:
(a) ‘user’, in relation to a securitisation repository, means any of the following:
(i) any entity listed in SECN 9.3; (ii) any reporting entity in relation to that securitisation repository; or

FCA 2024/18
(iii) any other client of the securitisation repository who uses core securitisation services provided by the securitisation repository; (b) ‘core securitisation services’ means services for which registration as a securitisation repository is required under SECN; (c) ‘ancillary securitisation services’ means services provided by a securitisation repository that are directly related to and arise from the delivery of core securitisation services provided by that securitisation repository; (d) ‘ancillary non-securitisation services’ means services that are neither core securitisation services nor ancillary securitisation services; and (e) ‘senior management’ means the person or persons who effectively direct the business of the securitisation repository, and the executive member or members of its board. (2) For the purposes of SECN 9.6, the following expressions have the meaning given to that expression in Article 2 of EMIR:
(a) ‘group’;
(b) ‘parent undertaking’;
(c) ‘subsidiary’;
(d) ‘capital’;
(e) ‘close links’; and
(f) ‘board’.
Identification, legal status and type of securitisation
9.6.2 D (1) An application for registration as a securitisation repository must
identify the applicant and the activities that the applicant intends to carry out for which registration as a securitisation repository is required. (2) For the purposes of (1), the application must contain the following:
(a) the corporate name of the applicant, its legal address within the United Kingdom and the corporate name and legal address of any subsidiaries and branches of the applicant; (b) the applicant’s LEI registered with the Global Legal Entity

FCA 2024/18
Identifier Foundation;
(c) the uniform resource locator (URL) of the applicant’s website; (d) an excerpt from the relevant commercial or court register showing the place of incorporation and scope of business activity of the applicant, or some other form of certified evidence of the place of incorporation and scope of business activity of the applicant, valid in either case as at the date of the application for registration as a securitisation repository; (e) the securitisation types (ABCP transaction or non-ABCP securitisation), risk transfer methods (traditional securitisation or synthetic securitisation) and underlying exposure types (residential real estate, commercial real estate, corporate, leasing, consumer, automobile, credit card or esoteric) for which the applicant wishes to be registered; (f) whether the applicant is authorised or registered by the PRA or the FCA in the United Kingdom and, if so, any reference number(s) relating to the authorisation(s) or registration(s); (g) the articles of incorporation or equivalent terms of establishment and, where relevant, other statutory documentation stating that the applicant is to conduct core securitisation services; (h) the name and contact details of the person(s) responsible for compliance, or any other staff involved in compliance assessments for the applicant, in relation to its provision of core securitisation services; (i) the name and contact details of the contact person for the purposes of the application; (j) the programme of operations, including the location of the main business activities of the applicant; (k) any ancillary securitisation or ancillary non-securitisation service that the applicant provides or intends to provide; and (l) any information on any pending judicial, administrative, arbitration or any other litigation proceedings, irrespective of their type, that the applicant may be party to, particularly as regards tax and insolvency matters and where significant financial or reputational costs may be incurred, or any nonpending proceedings that may still have any material impact on securitisation repository costs. (3) On request, the applicant must provide the FCA with additional information during the examination of the application for

FCA 2024/18 registration where such information is needed for the assessment of the applicant’s ability to comply with the applicable requirements of SECN and for the FCA to duly interpret and analyse the documentation to be submitted or already submitted. (4) Where an applicant considers that a requirement under SECN does not apply to it, it must clearly indicate that requirement in its application and explain why that requirement does not apply. Organisational chart
9.6.3 D (1) An application for registration as a securitisation repository must
contain a chart detailing the organisational structure of the applicant, including that of any ancillary securitisation services and of any ancillary non-securitisation services. (2) The chart referred to in (1) must include information about the identity of the person responsible for each significant role, including the identity of each member of its senior management and of persons who effectively direct the business of any subsidiaries and branches. Corporate governance
9.6.4 D (1) An application for registration as a securitisation repository must
contain information regarding the applicant’s internal corporate governance policies and the procedures and terms of reference which govern its senior management, including the board, its nonexecutive members and, where established, committees. (2) The information referred to in (1) must describe the selection process, appointment, performance evaluation and removal of senior management. (3) Where the applicant adheres to a recognised corporate governance code of conduct, the application for registration as a securitisation repository must identify the code and provide an explanation for any situations where the applicant deviates from that code. Internal control
9.6.5 D (1) An application for registration as a securitisation repository must
contain detailed information about the internal control system of the applicant, including information regarding its compliance function, risk assessment, internal control mechanisms and the arrangements of its internal audit function. (2) The detailed information referred to in (1) must contain:
(a) the applicant’s internal control policies and the procedures to ensure the consistent and effective implementation of those

FCA 2024/18 policies;
(b) any policies, procedures and manuals for monitoring and evaluating the adequacy and effectiveness of the applicant’s systems; (c) any policies, procedures and manuals for controlling and safeguarding the applicant’s information processing systems; and (d) the identity of the internal bodies in charge of evaluating any internal control findings. (3) An application for registration as a securitisation repository must contain the following information with respect to the applicant’s internal audit activities:
(a) where there is an internal audit committee, its composition, competences and responsibilities; (b) its internal audit function charter, methodologies, standards and procedures; (c) an explanation of how its internal audit function charter, methodology and procedures are developed and applied, taking into account the nature and extent of the applicant’s activities, complexities and risks; and (d) a work plan for the internal audit committee for the 3 years following the date of application, focusing on the nature and extent of the applicant’s activities, complexities and risks. Conflicts of interest
9.6.6 D (1) An application for registration as a securitisation repository must
contain the following information on the policies and procedures put in place by the applicant to manage conflicts of interest:
(a) policies and procedures with respect to the identification, management, elimination, mitigation and disclosure of conflicts of interest without delay; (b) a description of the process used to ensure that the relevant persons are aware of the policies and procedures referred to in (a); (c) a description of the level and form of separation that exists between the various business functions within the applicant’s organisation, including a description of:

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

FCA 2024/18 indirectly holds 5% or more of the applicant’s capital or of its voting rights or whose holding makes it possible to exercise a significant influence over the applicant’s management; and (b) a list of any undertakings in which a person referred to in (a) holds 5% or more of the capital or voting rights or over whose management they exercise a significant influence. (2) Where the applicant has a parent undertaking or an ultimate parent undertaking, the applicant must:
(a) identify the LEI registered with the Global Legal Entity Identifier Foundation and the legal address of the parent undertaking or the ultimate parent undertaking; and (b) indicate whether the parent undertaking or ultimate parent undertaking is authorised or registered and subject to supervision and, when this is the case, state any reference number and the name of the responsible supervisory authority. Ownership chart
9.6.8 D (1) An application for registration as a securitisation repository must
contain a chart showing the ownership links within the applicant’s group, including between the ultimate parent undertaking, parent undertaking, subsidiaries and any other associated entities or branches. (2) The undertakings in the chart referred to in (1) must be identified by their full name, legal status, legal address and LEI registered with the Global Legal Entity Identifier Foundation. Policies and procedures
9.6.9 D Policies and procedures that are to be provided as part of an application for
registration as a securitisation repository must contain the following:
(1) evidence that the board approves the policies and that senior management approves the procedures and is responsible for the implementation and maintenance of those policies and procedures; (2) a description of how those policies and procedures are communicated within the applicant’s organisation, how compliance with those policies and procedures is ensured and monitored on a day-to-day basis, and who is responsible for compliance with those policies and procedures; (3) any records indicating that staff members (including those operating under any outsourcing arrangement) are aware of those policies and

FCA 2024/18 procedures;
(4) a description of the measures to be taken in the event of a breach of those policies and procedures; (5) a description of the procedure for reporting to the FCA any material breach of the policies or procedures which may result in a breach of the conditions for registration; and (6) a description of the arrangements for notifying the FCA promptly of any planned material changes to the applicant’s information technology systems, before their implementation. Regulatory compliance
9.6.10 D An application for registration as a securitisation repository must contain
the following regarding the applicant’s policies and procedures for ensuring compliance with SECN:
(1) a description of the roles of the persons responsible for compliance and of any other staff involved in the compliance assessments, including a description of how the independence of the compliance function from the rest of the business is ensured; (2) the internal policies and procedures designed to ensure that the applicant, including its managers and employees, complies with SECN, including a description of the role of the board and senior management; and (3) where available, the most recent internal report on compliance with SECN prepared by the persons responsible for such compliance or by any other staff involved in such compliance assessments within the applicant’s organisation. Staffing policies and procedures
9.6.11 D An application for registration as a securitisation repository must contain
the following:
(1) a copy of the remuneration policy for senior management, board members and staff employed in the risk and control functions of the applicant; and (2) a description of the measures put in place by the applicant to mitigate the risk of over-reliance on any individual employee. Information about the applicant’s staff members involved in the provision of core securitisation services
9.6.12 D An application for registration as a securitisation repository must contain
the following information about the applicant’s staff members involved in

FCA 2024/18 the provision of core securitisation services:
(1) a general list of staff members directly employed by the applicant, including their role and qualifications per role; (2) a specific description of the information technology staff members directly employed to provide core securitisation services, including the role and the qualifications of each individual and written evidence of the information technology experience of at least 1 staff member responsible for information technology matters; (3) a description of the roles and qualifications of each individual who is responsible for internal audits, internal controls, compliance, risk assessments and internal reviews; (4) the identity of staff members and the identity of staff members who are operating under any outsourcing arrangement; and (5) details of training provided to staff members on the applicant’s policies and procedures as well as on the securitisation repository business, including any examination or other type of formal assessment required for staff members regarding the conduct of core securitisation services. Financial reports and business plans
9.6.13 D (1) An application for registration as a securitisation repository must
contain the following financial information:
(a) a complete set of financial statements of the applicant, prepared in conformity with:
(i) UK-adopted international accounting standards; or (ii) UK accounting standards as defined by section 464 of the Companies Act 2006; (b) where the financial statements of the applicant are subject to an audit of annual accounts or consolidated accounts insofar as required by the law of the United Kingdom, the financial statements must contain the audit report on the annual and consolidated financial statements; (c) where the applicant is audited, the name and the national registration number of the external auditor. (2) Where the financial information referred to in paragraph (1) is not available, an application for registration as a securitisation repository must contain the following information about the applicant:

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(a) a pro-forma statement demonstrating proper resources and expected business status in the 6 months following registration as a securitisation repository; (b) an interim financial report where the financial statements are not yet available for the period of time required under the acts specified in paragraph (1); and (c) a statement of financial position, such as a balance sheet, income statement, changes in equity and of cash flows, a summary of accounting policies and other explanatory notes required under the acts specified in paragraph (1). (3) An application for registration as a securitisation repository must contain a financial business plan, containing different business scenarios for the provision of core securitisation services over a minimum 3-year reference period and including the following information for each scenario:
(a) the expected revenue from each of the following categories of service provided by the applicant, stated separately for each category:
(i) core securitisation services; (ii) ancillary securitisation services; (iii) core trade repository services of centrally collecting and maintaining the records of derivatives under EMIR; (iv) ancillary trade repository services that directly relate to and arise from centrally collecting and maintaining the records of derivatives under EMIR; (v) core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; (vi) ancillary trade repository services that directly relate to and arise from centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; (vii) combined ancillary services that directly relate to and arise from each of the following combinations of service:
(A) both core securitisation services and core trade repository services of centrally collecting and

FCA 2024/18 maintaining the records of derivatives under EMIR; (B) both core securitisation services and core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; and (C) both core trade repository services of centrally collecting and maintaining the records of derivatives under EMIR and core trade repository services of centrally collecting and maintaining the records of securities financing transactions under the Securities Financing Transactions Regulation; and (viii) any ancillary non-securitisation services, whether or not provided in the United Kingdom, that are subject to registration and to supervision by a public authority; (b) the number of securitisation transactions that the applicant expects to be made available to users listed in SECN 9.3; and (c) the fixed and variable costs for providing core securitisation services. (4) The different business scenarios identified in the financial business plan must include a base revenue scenario, positive and negative variations of at least 20% from that base revenue scenario, and positive and negative variations of at least 20% from the base expected number of securitisation transactions identified in the financial business plan. (5) An application for registration as a securitisation repository must contain the audited annual financial statements of any parent undertaking for the 3 financial years preceding the date of the application, where available. (6) An application for registration as a securitisation repository must contain the following information about the applicant:
(a) a description of any future plans for the establishment of subsidiaries and the location of those subsidiaries; and (b) a description of planned business activities, including business activities of any subsidiaries or branches. Information technology resources

FCA 2024/18
9.6.14 D An application for registration as a securitisation repository must contain
the following information about information technology resources:
(1) a detailed description of the information technology system used by the applicant to provide core securitisation services, including a description of which information technology system will be used for which securitisation type and underlying exposure type as referred to in SECN 9.6.2D(2)(e); (2) the relevant business requirements, the functional and technical specifications, the storage capacity, the system scalability (both for performing its functions and handling increases in information to process and access requests), the maximum limits on the size of data submissions made in accordance with SECN 9.6, the architectural and technical design of the system, the data model and data flows and the operations and administrative procedures and manuals; (3) a detailed description of user facilities developed by the applicant in order to provide services to users; (4) the investment and renewal policies and procedures on information technology resources of the applicant, including the review and development cycle of the applicant’s systems and versioning and testing policies; (5) a document describing in detail how the applicant has implemented the reporting templates, via an extensible markup language (XML) schema, set out in the annexes to SECN 12, the annexes to SECN 2.7 and any additional XML messages, using the specifications made available by the FCA; and (6) the policies and procedures for handling any changes to the reporting templates set out in the annexes to SECN 12. Information collection and availability mechanisms
9.6.15 D (1) An application for registration as a securitisation repository must
contain:
(a) a detailed description of the procedure and of the resources, methods and channels that the applicant will use to ensure the timely, structured and comprehensive collection of data from reporting entities, including a copy of any reporting manual to be made available to reporting entities; (b) a description of the resources, methods and channels that the applicant will use to ensure direct and immediate access to the information referred to in SECN 11.3 to SECN 11.9 to the entities listed in SECN 9.3, including a copy of any user manual and internal procedures that are needed for obtaining such access; and

FCA 2024/18
(c) a description of the procedures that the applicant will use to calculate the data completeness scores referred to in SECN 9.5.3R and a description of the resources, methods and channels that the applicant will use to ensure direct and immediate access to those data completeness scores to the entities listed in SECN 9.3 in accordance with that section, including a copy of any user manual and internal procedures that are needed for obtaining such access. (2) The detailed description referred to in (1)(a) must:
(a) distinguish between automated and manual resources, methods, and channels; and (b) where any of the resources, methods or channels are manual:
(i) describe how those resources, methods or channels are scalable, as referred to in SECN 9.6.14D(2); and (ii) describe the specific procedures put in place by the applicant to ensure that those resources, methods and channels comply with SECN 9.6.24D. Ancillary services
9.6.16 D Where an applicant for registration as a securitisation repository, an
undertaking within the applicant’s group, or an undertaking with which the applicant has an agreement relating to core securitisation services, offers, or plans to offer, ancillary securitisation services or ancillary nonsecuritisation services, the application for registration must contain:
(1) a description of the ancillary securitisation services or ancillary nonsecuritisation services that the applicant, or the undertaking within its group, performs or plans to perform, and a description of any agreement that the applicant may have with undertakings offering any such services, as well as copies of those agreements; and (2) the procedures and policies that will ensure the necessary level of operational separation in terms of resources, systems, information and procedures between the applicant’s core securitisation services and any ancillary securitisation or ancillary non-securitisation services, irrespective of whether that service is provided by the applicant, an undertaking within its group, or any other undertaking with which it has an agreement. Senior management and members of the board
9.6.17 D (1) An application for registration as a securitisation repository must
contain the following information in respect of each member of the senior management:

FCA 2024/18
(a) a copy of the member’s curriculum vitae, including the following information to the extent relevant in assessing the adequacy of the member’s experience and knowledge for the purposes of performing their responsibilities:
(i) an overview of the member’s post-secondary education; (ii) the member’s employment history with dates, identification of positions held and a description of the functions occupied; and (iii) any professional qualification held by the member, together with the date on which that qualification was acquired and the status of any membership in a relevant professional body; (b) detailed information on knowledge and experience on securitisation matters and on information technology management, operations and development; (c) details regarding any criminal convictions in connection with the provision of financial or data services or in relation to acts of fraud or embezzlement, in particular in the form of an official certificate, if available; (d) a declaration signed by the member that states whether they:
(i) have been convicted of any criminal offence in connection with the provision of financial or data services or in relation to acts of fraud or embezzlement; (ii) have been subject to any adverse decision in any proceedings of a disciplinary nature brought by a regulatory authority or government body or agency or are the subject of any such proceedings which are not concluded; (iii) have been subject to an adverse judicial finding in civil proceedings before a court in connection with the provision of financial or data services, or for impropriety or fraud in the management of a business; (iv) have been part of the board or senior management of an undertaking whose registration or authorisation was withdrawn by a regulatory body;

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

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

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

FCA 2024/18 applicant, including any relevant outsourced service and the applicant’s strategy, policy and objectives for the continuity of those processes; (ii) any arrangements in place with other financial market infrastructure providers, including other securitisation repositories; (iii) the arrangements to ensure a minimum service level of the critical functions and the expected timing of the full recovery of those functions; (iv) the maximum acceptable recovery time for business processes and systems, taking into account the deadlines for reporting laid down in SECN 6.2 and the volume of information that the applicant needs to process within the quarterly period; (v) the procedures to deal with incident logging and reviews; (vi) a periodic testing programme, ensuring that sufficient tests will be carried out to cover an adequate range of possible scenarios, in the short and medium term, including but not limited to system failures, natural disasters, communication disruptions, loss of key staff and inability to use the premises regularly used and providing for the tests to identify how hardware, software and communications respond to potential threats, together with the results and follow-up actions resulting from any tests and those systems that have been shown to be unable to cope with the specific scenarios being tested; (vii) the number of alternative technical and operational sites available, their location, the resources of those sites when compared with the main site and the business continuity procedures in place in the event that alternate sites need to be used; (viii) information on access to a secondary business site to enable staff to ensure continuity of core securitisation services if a main office location is not available; (ix) plans, procedures and arrangements for handling emergencies and ensuring safety of staff; (x) plans, procedures and arrangements to manage crises, to coordinate the overall business continuity efforts and to determine their timely (within the recovery

FCA 2024/18 time objective set by the applicant) and effective activation, mobilisation and escalation capabilities; (xi) plans, procedures and arrangements to recover the applicant’s system, application and infrastructure components within the recovery time objective set by the applicant; and (xii) details on staff training on the operation of the business continuity arrangements, and individuals’ roles in that regard, including specific security operations staff ready to react immediately to a disruption of services; (e) a description of the arrangements for ensuring the applicant’s core securitisation services in case of disruption and the involvement of its users and other third parties in those arrangements; (f) a description of the applicant’s arrangements for publishing on its website and promptly informing the FCA and other users of any service interruptions or connection disruptions as well as the time estimated to be needed to resume regular service; and (g) a description of the applicant’s arrangements permitting its staff to continuously monitor in real time the performance of its information technology systems. (2) An application for registration as a securitisation repository must include a copy of policies and procedures to ensure the orderly transfer of information to other securitisation repositories and the redirection of reporting flows to other securitisation repositories. Outsourcing
9.6.21 D (1) An application for registration as a securitisation repository must
demonstrate that, where an applicant arranges for activities to be performed on its behalf by third parties, including by undertakings with which it has close links, the applicant ensures that the third party has the ability and the capacity to perform those activities reliably and professionally. (2) The application for registration as a securitisation repository must specify or contain all of the following:
(a) a description of the scope of the activities to be outsourced, as well as the detail and extent to which those activities are outsourced; (b) a copy of the relevant service level agreements, with clear roles and responsibilities, metrics and targets for every key

FCA 2024/18 requirement of the applicant that is outsourced, the methods employed to monitor the service level of the outsourced functions and the measures or actions to be taken in the event of service level targets not being met; (c) a copy of the contracts governing those service level agreements, including the identification of the third-party service provider; (d) a copy of any external reports on the outsourced activities, where available; and (e) details of the organisational measures and policies with respect to outsourcing and the risks posed by it as specified in (4). (3) The application for registration must demonstrate that the outsourcing does not reduce the applicant’s ability to perform senior management or management body functions. (4) The application for registration as a securitisation repository must contain information sufficient to demonstrate how the applicant remains responsible for any outsourced activity and a description of the organisational measures taken by the applicant to ensure the following:
(a) that the third-party service provider is carrying out outsourced activities effectively and in compliance with applicable laws and regulatory requirements and that the third party service provider adequately addresses identified failures; (b) the identification by the applicant of risks in relation to outsourced activities and the adequate periodic monitoring of those risks; (c) that there are adequate control procedures with respect to outsourced activities, including effective supervision of those activities and of their risks within the applicant; and (d) the adequate business continuity of outsourced activities. (5) For the purposes of (4)(d), the applicant must provide information on the business continuity arrangements of the third-party service provider, including the applicant’s assessment of the quality of those business continuity arrangements and, where needed, any improvements to those business continuity arrangements that have been requested by the applicant. (6) Where the third-party service provider is supervised by a regulatory authority, the application for registration must also contain information demonstrating that the third-party service provider

FCA 2024/18 cooperates with that authority in connection with outsourced activities. Security
9.6.22 D (1) An application for registration as a securitisation repository must
contain proof of the following:
(a) that its information technology systems are protected from misuse or unauthorised access; (b) that its information systems are protected against attacks; ‘information systems’ means a device or group of interconnected or related devices, one or more of which, pursuant to a programme, automatically processes computer data, as well as computer data stored, processed, retrieved or transmitted by that device or group of devices for the purpose of its or their operation, use, protection and maintenance; (c) that unauthorised disclosure of confidential information is prevented; and (d) that the security and integrity of the information received by it under SECN is ensured. (2) The application must contain proof that the applicant has arrangements in place to identify and manage the risks referred to in (1) in a prompt and timely manner. (3) With respect to breaches in the physical and electronic security measures referred to in (1) and (2), the application must contain proof that the applicant has arrangements in place to do the following in a prompt and timely manner:
(a) notify the FCA of the incident giving rise to the breach; (b) provide the FCA with an incident report, indicating the nature and details of the incident, the measures adopted to cope with the incident and the initiatives taken to prevent similar incidents; and (c) notify its users of the incident where they have been affected by the breach. Verification procedure
9.6.23 D (1) An application for registration as a securitisation repository must
contain a description of the policies and procedures the applicant has put in place to:
(a) authenticate the identity of the user accessing the applicant’s

FCA 2024/18 systems;
(b) authorise and permit the recording of information received by the applicant under SECN for the relevant securitisation; (c) comply with SECN 9.5.2R to SECN 9.5.4R; (d) verify and highlight duplicate submissions; and (e) identify information not received by it where there is an obligation to make that information available under SECN 6.2. (2) The application must also contain documentation providing several detailed example test cases, including graphics, that demonstrate the applicant’s ability to comply with the obligations set out in (1). With regard to (1)(c), several detailed example test cases must be provided for each of the verifications listed in SECN 9.5.4R. Quality of information produced
9.6.24 D With respect to information produced by the applicant pursuant to SECN
9.5, an application for registration as a securitisation repository must contain a detailed description of the procedures put in place by the applicant to ensure that it accurately makes available the information received from reporting entities, without itself introducing any errors or omitting information. Confidentiality
9.6.25 D (1) An application for registration as a securitisation repository must
contain a detailed description of the internal policies, procedures and mechanisms that prevent:
(a) any use of the information maintained by the applicant for illegitimate purposes; (b) the disclosure of confidential information; and (c) the commercial use of information maintained by the applicant where such use is prohibited. (2) The description referred to in (1) must contain a description of the internal procedures on staff permissions for using passwords to access the information, specifying the staff purpose and the scope of the information being viewed and any restrictions on the use of information. (3) Applicants must provide the FCA with information on the processes to keep a log identifying each staff member accessing the information maintained by the applicant, the time of access, the

FCA 2024/18 nature of the information accessed and the purpose. Record-keeping policy
9.6.26 D (1) An application for registration as a securitisation repository must
contain the following information:
(a) the record-keeping systems, policies and procedures that are used in order to ensure that the information made available by a reporting entity under SECN by means of the applicant is recorded and maintained by the applicant in accordance with Article 80(3) of EMIR, as applied by regulation 14(3) of the Securitisation Regulations 2024; (b) a detailed description of the record-keeping systems, policies and procedures that are used in order to ensure that information made available by a reporting entity under SECN by means of the applicant is modified appropriately and in accordance with relevant legislative or regulatory requirements; and (c) information about the receipt and administration of information made available by a reporting entity under SECN by means of the applicant, including a description of any policies and procedures put in place by the applicant to ensure the following:
(i) the timely and accurate recording of the information received; (ii) the record-keeping of all information received that relates to the receipt, modification or termination of a securitisation transaction in a reporting log; (iii) that the information is maintained both online and offline; and (iv) that the information is adequately copied for business continuity purposes. (2) The application for registration must also include the applicant’s policies and procedures to promptly record, and maintain for at least 10 years following the termination of the securitisation, the verifications, validations and information produced by the applicant under SECN 9.5. Payment of fees
9.6.27 D An application for registration as a securitisation repository must contain
proof of payment of the registration fees referred to in FEES.

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Verification of the accuracy and completeness of the application
9.6.28 D (1) Any information submitted to the FCA during the registration
process must be accompanied by a letter signed by a member of the board of the applicant and a member of the applicant’s senior management, attesting that the information submitted is accurate and complete to the best of their knowledge, as of the date of submission. (2) The information must also be accompanied, where relevant and available, with the relevant corporate legal documentation certifying the accuracy of the application information. Information requirements for a registered trade repository seeking to provide core securitisation services
9.6.29 D (1) An application under regulation 14(2) of the Securitisation
Regulations 2024 for an extension of registration for the purposes of SECN 6 must contain the information and documentation required by the following provisions:
(a) SECN 9.6.2D, except SECN 9.6.2D(2)(d); (b) SECN 9.6.3D; (c) SECN 9.6.5D, except SECN 9.6.5D(2)(d); (d) SECN 9.6.6D; (e) SECN 9.6.9D; (f) SECN 9.6.10D(2); (g) SECN 9.6.12D; (h) SECN 9.6.13D(2); (i) SECN 9.6.14D, SECN 9.6.15D and SECN 9.6.16D; (j) SECN 9.6.17D(1)(b) and SECN 9.6.17D(1)(e); (k) SECN 9.6.18D to SECN 9.6.24D; (l) SECN 9.6.25D(2); and (m) SECN 9.6.26D, SECN 9.6.27D and SECN 9.6.28D. (2) Information and documentation required by any provisions of SECN
9.6 that are not covered by (1) must be included in an application
only insofar as there is a difference in the content of that particular information or documentation as at the time when the application is made, compared with the content as last provided to the FCA most

FCA 2024/18 recently before that time under Chapter 1 of Title VI of EMIR or
Chapter III of the Securities Financing Transactions Regulation, as
applicable.
(3) For the purposes of this section, references in SECN 9.6.2D(3), SECN 9.6.2D(4) and in SECN 9.6.3D to SECN 9.6.28D to an application for registration must be taken to include reference to an application for an extension of registration. 9 Annex Applications for registration as a securitisation repository 1D
Table 1: General information
Date of application
Corporate name of the securitisation repository Place of incorporation and scope of business activity Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation Legal address of the securitisation repository Legal address of any subsidiaries of the securitisation repository Legal address of any branches of the securitisation repository Uniform resource locator (URL) of the securitisation repository’s website The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered If the applicant is authorised or registered in the United Kingdom, the reference number related to the authorisation or registration Name of the person(s) responsible for the application Contact details of the person(s) responsible for the application Name of the person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository) Contact details of the person(s) responsible for the securitisation repository compliance, or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services Name of any parent undertaking

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LEI registered with the Global Legal Entity Identifier Foundation of any parent undertaking Legal address of any parent undertaking
Table 2: Document references
For all information required in SECN 9.6, except SECN 9.6.2D(2)(a), (b), (c), (e), (f), (h) and (i) and SECN 9.6.7D(2) Provision of SECN 9.6.1D to SECN 9.6.29D containing the information requirement to which the document relates Unique reference number of document Title of the document
Chapter, section or page of the
document where the information is provided or reason why the information is not provided 9 Annex Applications from trade repositories applying for an extension of 2D registration
Table 1: General information
Date of application
Date of registration of the applicant as a trade repository Corporate name of the securitisation repository Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation Legal address of the securitisation repository Legal address of any subsidiaries of the securitisation repository Legal address of any branches of the securitisation repository Uniform resource locator (URL) of the securitisation repository’s website LEI registered with the Global Legal Entity Identifier Foundation The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered If the applicant is authorised or registered in the United Kingdom, the reference number related to the authorisation or registration Name of the person(s) responsible for the application

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Contact details of the person(s) responsible for the application Name of the person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services) Contact details of the person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository)
Table 2: Document references
(For all information required in SECN 9.6 with the exception of SECN 9.6.2D(2)(a), (b), (c), (f), (h), (i) and SECN 9.6.7D(2) Provision of SECN 9.6.1D to 9.6.29D containing the information requirement to which the document relates Unique reference number of document Title of the document
Chapter, section or page of
the document where the information is provided or reason why the information is not provided 9 Annex Scoring of completeness of data and rejection categories 3R
Table 1: Data completeness scoring matrix
Input 1: Percentage of fields entered as ‘ND1’ Input 1 = 0 % 0 % < Input 1 ≤ 10 % 10 % < Input 1 ≤ 30 % Input 1

30 %
Input 2:
Percentage of fields entered as “ND2”, “ND3”, or “ND4- YYYYMMDD” Input 2 = 0 % A1 B1 C1 D1 0 % < Input 2 ≤ 20 % A2 B2 C2 D2 20 % < Input 2 ≤ 40 % A3 B3 C3 D3 Input 2 > 40 % A4 B4 C4 D4

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Table 2: Rejection categories
Rejection categories
Reason
Schema The submission of information has been rejected because of a non-compliant schema. Permission The submission of information has been rejected because the reporting entity has not been granted permission to report on behalf of the originator, sponsor or SSPE. Logical The submission of information has been rejected because the item code does not match the available values in
Table 3 of SECN 11 Annex 1R.
Business The submission of information has been rejected because the data submission does not comply with one or more content validations. Representativeness The submission of information has been rejected pursuant to SECN 9.5.4R(7). 10 Requirements relating to application to register as third party verifiers
10.1 Application
10.1.1 G This chapter applies to persons that apply to the FCA to be registered as third
party verifiers who are established in the United Kingdom.
10.2 Identification of the third party
10.2.1 D (1) An application for registration as referred to in regulation 26 of the
Securitisation Regulations 2024 must contain the following information, to the extent relevant:
(a) the corporate name of the third party and its legal form; (b) the third party’s legal entity identifier (LEI) or, where not available, another identifier required by United Kingdom law; (c) the third party’s legal address, as well as the addresses of any of its offices, whether within the United Kingdom or in a third country; (d) the uniform resource locator (URL) of the third party’s website;

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(e) an excerpt from a relevant commercial or court register, or another form of certified evidence, valid at the date of application, confirming the place of incorporation and the scope of business activity of the third party; (f) the articles of incorporation of the third party, or other statutory documentation, stating that the third party is to assess the compliance of securitisations against the STS criteria; (g) the most recent annual financial statements of the third party, including individual and consolidated financial statements, where available, and where the financial statements of the third party are subject to a statutory audit as required by the law of the United Kingdom, the audit report on these financial statements; (h) the name, title, address, email address and the telephone number(s) of the contact person for the purposes of the application; (i) the list of types of securitisation for which the third party intends to provide STS compliance services, distinguishing between non-ABCP securitisations and ABCP transactions/ABCP programmes; (j) a description of any services, other than providing STS compliance services, that the third party provides or intends to provide; and (k) a list of parties to whom the third party provides (or intends to provide) advisory, audit or equivalent services.
10.2.2 D An application for registration must include the following documentation as
attachments:
(1) a list of the name and business address of each person or entity that holds 10% or more of the third party’s capital or 10% or more of its voting rights, or the holding of which makes it possible to exercise a significant influence over the third party, together with:
(a) the percentage of the capital and voting rights held, and, where applicable, a description of the arrangements that enable the person or entity to exercise a significant influence over the third party’s management; and (b) the nature of the business activities of the persons and entities referred to in (a); (2) a list of the name and business address of any entity in which a person or entity referred to in (1) holds 20% or more of the capital or

FCA 2024/18 voting rights and a description of that entity’s activities; and (3) a completed copy of Table 1: Document references.
Table 1: Document references
Provision of SECN
Unique reference number of document Title of the document
Chapter or section or page of the
document where the information is provided or reason why the information is not provided
10.2.3 D Where the third party has a parent undertaking, the application referred to in
SECN 10.2.1D must state whether the immediate parent undertaking or ultimate parent undertaking is authorised, registered or subject to supervision and, where this is the case, state any associated reference number and the name of the responsible supervisory authority.
10.2.4 D Where the third party has subsidiaries or branches, the application for
registration must identify the names and business addresses of those subsidiaries or branches and describe the areas of business activities of each subsidiary or branch.
10.2.5 D An application for registration must include a chart showing the ownership
links between the third party and:
(1) its parent undertaking;
(2) its ultimate parent undertaking; (3) its subsidiaries and affiliates; and (4) any other persons and entities associated with or connected with a network.
10.2.6 D The chart referred to in SECN 10.2.5D must identify those undertakings by
their full name, their LEI or, where not available, another identifier required under the law, their legal form and their business address in the United Kingdom.
10.3 Composition of the management body and the organisational structure
10.3.1 D The application referred to in SECN 10.2 must include the third party’s
internal governance policies and the terms of procedure which govern its management body, its independent directors and, where established, the committees or substructures of its management bodies.

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10.3.2 D The application referred to in SECN 10.2 must identify the members of the
management body, including independent directors and, where applicable, the members of committees or other substructures set up within that management body. For each member of the management body, including its independent directors, the application must describe the position held within the management body, the responsibilities allocated to that position and the time that will be devoted to fulfilling those responsibilities.
10.3.3 D The application referred to in SECN 10.2 must contain a chart detailing the
organisational structure of the third party, which clearly identifies the roles of each member of the management body of that third party. Where the third party provides or intends to provide, services other than STS compliance services, the organisational chart must detail the identity and responsibility of the members of the management body in respect of those services.
10.3.4 D The application referred to in SECN 10.2 must contain the following
information in respect of each member of the management body:
(1) a copy of each member’s curriculum vitae, including:
(a) an overview of the member’s relevant education; (b) the member’s complete employment history with relevant dates, positions held and a description of the positions occupied; and (c) any professional qualification held by the member, together with the date of acquisition and, where applicable, the status of any membership in a relevant professional body; (2) details of any criminal convictions, in particular in the form of an official criminal record certificate; (3) a declaration signed by the member, stating whether they:
(a) have been subject to an adverse decision in any proceedings of a disciplinary nature brought by a regulatory authority, government body, agency or professional body; (b) have been subject to an adverse judicial finding in civil proceedings before a court, including for impropriety or fraud in the management of a business; (c) have been part of the management body (board or senior management) of an undertaking whose registration or authorisation was withdrawn by a regulatory authority, government body or agency; (d) have been refused the right to perform activities which require registration or authorisation by a regulatory authority, government body, agency or professional body;

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(e) have been a member of the management body of an undertaking that has gone into insolvency or liquidation, either while they were part of that undertaking’s management body or within a year of them ceasing to be a member of that management body; (f) have been a member of the management body of an undertaking which has been subject to an adverse decision or penalty by a regulatory authority, government body, agency or professional body; (g) as a consequence of misconduct or malpractice, have been disqualified from acting as a director, disqualified from acting in any managerial capacity, or dismissed from employment or other appointment in an undertaking; (h) have been otherwise fined, suspended, disqualified, or been subject to any other sanction, including in relation to fraud or embezzlement, by a regulatory authority, government body, agency or professional body; (i) are subject to any current investigation, or pending judicial, administrative, disciplinary or other proceedings, including in relation to fraud or embezzlement, by a regulatory authority, government body, agency or professional body; (j) have been part of the management body (board or senior management) of an undertaking whose registration or authorisation was withdrawn by a regulatory authority, government body or agency; (k) have been refused the right to perform activities which require registration or authorisation by a regulatory authority, government body, agency or professional body; and (l) have been a member of the management body of an undertaking that has gone into insolvency or liquidation, either while they were part of that undertaking’s management body or within a year of them ceasing to be a member of that management body; (4) a signed declaration of any potential conflict of interest that the member may have in performing their duties and how those conflicts will be managed, including an inventory of any positions held in other undertakings; and (5) where not already included in (1), a description of the member’s knowledge of and experience in the tasks relevant for the third party’s provision of STS compliance services and, in particular, knowledge of and experience in different types of securitisation or

FCA 2024/18 securitisations of different underlying exposures.
10.3.5 D The application referred to in SECN 10.2 must contain the following, in
respect of each independent director:
(1) evidence of the director’s independence within the management body; (2) disclosures of any past or present business, employment or other relationship that creates or might create a potential conflict of interest; and (3) disclosures of any business, family or other relationship with the third party, its controlling shareholder or the management of either, that creates or might create a conflict of interest.
10.4 Corporate governance
10.4.1 D Where the third party adheres to a corporate governance code of conduct for
the appointment and role of the independent directors and the management of conflicts of interest, the application referred to in SECN 10.2 must identify that code and provide an explanation for any deviation by the third party from that code.
10.5 Independence and avoidance of conflicts of interest
10.5.1 D The application referred to in SECN 10.2 must contain detailed information
about the applicant’s internal control systems for the management of conflicts of interest, including a description of the third party’s compliance function and its risk assessment arrangements.
10.5.2 D The application referred to in SECN 10.2 must contain information about the
policies and procedures for the identification, management, elimination, mitigation and disclosure of existing or potential conflicts of interest and threats to the independence of the third party’s provision of STS compliance services.
10.5.3 D The application referred to in SECN 10.2 must contain a description of any
other measures and controls applied to ensure the proper and timely identification, management and disclosure of conflicts of interest.
10.5.4 D The application referred to in SECN 10.2 must contain an up-to-date
inventory of any potential or existing conflicts of interest identified by the third party in accordance with regulation 25(2)(f) of the Securitisation Regulations 2024, and must include:
(1) a description of any actual or potential conflicts of interest involving the third party, shareholders, owners or members of the third party, members of the management body, managers, staff of the third party or any other natural person whose services are placed at the disposal or under the control of the third party; and

FCA 2024/18
(2) a description of any actual or potential conflicts of interest arising from existing or envisaged business relationships of the third party, including any existing or envisaged outsourcing arrangements or from the third party’s other activities.
10.5.5 D The application referred to in SECN 10.2 must provide details on policies or
procedures which aim to ensure that the third party does not provide any form of advisory, audit or equivalent services to the originator, sponsor, or the SSPE involved in the securitisation whose STS compliance the third party assesses.
10.5.6 D The application referred to in SECN 10.2 must provide details about the
following:
(1) revenue from other non-STS related services provided by the third party, disaggregated into the revenue from non-securitisation-related services and the revenue from securitisation-related services, over each of the 3 annual reporting periods preceding the date of submission of the application or, where not available, since the incorporation of the third party; and (2) the projected proportion of revenue from STS compliance services compared with the total projected revenue for the forthcoming 3 year reference period.
10.5.7 D The application referred to in SECN 10.2 must include, where applicable, the
following information on the concentration of revenue from a single undertaking or a group of undertakings:
(1) information identifying any undertaking, or any group of economically connected undertakings, that provided more than 10% of the third party’s total revenue over each of the 3 annual reporting periods preceding the date of the submission of the application or, where not available, since the incorporation of the third party; and (2) a statement as to whether an undertaking, or a group of economically connected undertakings, is projected to provide at least 10% of the third party’s projected revenue from the provision of STS compliance services over each of the next 3 years.
10.5.8 D Where applicable, the application referred to in SECN 10.2 must contain an
assessment of how a concentration of revenue from a single undertaking or a group of economically connected undertakings identified in SECN 10.5.7D is compatible with the third party’s policies and procedures on the independence of the STS compliance services referred to in SECN 10.5.2D.
10.6 Fee structure
10.6.1 D The application referred to in SECN 10.2 must contain information on the
pricing policies for providing the STS compliance services and must include all of the following:

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(1) pricing criteria and a fee structure or a fee schedule for the STS compliance services for each type of securitisation for which such services are offered (distinguishing non-ABCP securitisations from ABCP transactions and ABCP programmes), including any internal guidelines or procedures governing how the pricing criteria are used to determine or set individual fees; (2) details of the methods used to record any specific costs incurred when providing STS compliance services, including additional incidental expenses relating to the provision of STS compliance services, such as transport and accommodation, and, where the third party intends to outsource parts of its provision of STS compliance services, a description as to how that outsourcing is to be taken into account in the pricing criteria; (3) a detailed description of any established procedures for the modification of fees or for departing from the fee schedule, including under any frequent use programme; (4) a detailed description of any established procedures or internal controls which ensure and monitor compliance with the pricing policies, including any procedures or internal controls which monitor the development of individual fees over time and across different customers to which STS compliance services are provided; (5) a detailed description of any processes for reviewing and updating both the costing system and pricing policies; and (6) a detailed description of any procedures and internal controls for maintaining records relating to fee schedules, individual fees applied or modifications to the third party’s pricing policies.
10.6.2 D The application referred to in SECN 10.2 must provide information on the
following:
(1) whether the fees are set in advance of the provision of the STS compliance service; (2) whether prepaid fees are non-refundable; and (3) any operational safeguards aimed at ensuring that contractual agreements between the third party and an originator, sponsor or SSPE for the provision of STS compliance services exclude a contractual termination clause or provide for breach of the contract or non-performance of the contract where the result of the STS compliance assessment demonstrates that the securitisation does not comply with the STS criteria.
10.7 Operational safeguards and internal processes to assess STS compliance
10.7.1 D The application referred to in SECN 10.2 must include a detailed summary of

FCA 2024/18 any policies, procedures and manuals on the controls and operational safeguards established to ensure the independence of the third party’s assessment of STS compliance and the integrity of its assessment.
10.7.2 D The application referred to in SECN 10.2 must contain any information
which demonstrates that the third party has established operational safeguards and internal processes to enable it to properly assess STS compliance, including the following:
(1) the number of the applicant’s employees, calculated on a full-time equivalent basis, disaggregated to types of positions within the applicant company; (2) details on the policies and procedures established by the third party regarding:
(a) the independence of individual staff members; (b) the termination of employment contracts, including any measures to ensure the independence and integrity of the STS assessment process associated with the termination of the employment, such as policies and procedures relating to negotiating future employment contracts with other undertakings for staff directly involved in the STS assessment; (c) the qualification requirements for staff directly involved in providing STS compliance activities, distinguished by position type; (d) training and development policies for staff directly involved in the provision of STS compliance services; and (e) the performance evaluation and compensation policies for staff directly involved in STS compliance services; (3) a description of any measures established by the third party to mitigate the risk of over-reliance on any individual staff members for providing STS compliance services; (4) the following information, where the third party relies, in any STS assessment, on outsourcing or external experts:
(a) details on any policies and procedures with regard to the outsourcing of activities and the engagement of external experts; (b) a description of any outsourcing arrangements entered into or envisaged by the third party, accompanied by a copy of the contracts governing those outsourcing arrangements; (c) a description of the services to be provided by the external expert, including the scope of those services and the

FCA 2024/18 conditions under which those services should be rendered; and (d) a detailed explanation of how the third party intends to identify, manage and monitor any risks posed by outsourcing and a description of the safeguards put in place to ensure independence of the STS assessment process; (5) a description of any measures to be used in the event of a breach of any of the policies or procedures referred to in (2) and (4)(a); (6) a description of any policies on the reporting to the FCA of any material breach of the policies or procedures referred to in (2) and (4)(a) or any other fact, event or circumstance which is likely to amount to a breach of the conditions of the authorisation of the third party; and (7) a description of any arrangements established to ensure that the relevant persons are aware of the policies and procedures referred to in (2) and (4)(a), and a description of any arrangements relating to the monitoring, review and updating of those policies and procedures.
10.7.3 D The application referred to in SECN 10.2 must contain the following for each
securitisation type for which the third party intends to provide STS compliance services:
(1) a description of the STS assessment methodology to be applied, including any procedures and methodology for the quality assurance of that assessment; and (2) a template of the STS verification report to be provided to the originator, the sponsor or the SSPE.
10.8 Format of the application
10.8.1 D (1) A third party must allocate a unique reference number to each
document it submits to the FCA as part of its application. (2) A third party must include a substantiated explanation in its application for any requirement of this chapter considered nonapplicable.
10.8.2 D The application referred to in SECN 10.2 must be accompanied by a letter
signed by a member of the third party’s management body, confirming that:
(1) the submitted information is accurate and complete to the best of their knowledge, as of the date of the submission of the application; and (2) the applicant is neither a regulated entity as defined in Article 2(4) of Directive 2002/87/EC, nor a credit rating agency as defined in Article 3(1)(b) of the CRA Regulation.

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11 Information and the details of a securitisation, which the originator, sponsor and SSPE must make available
11.1 Application
11.1.1 G This chapter applies to originators, sponsors and SSPEs 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.
11.1.3 R The requirements specified in SECN 11.6 to SECN 11.9 apply to
securitisations for which section 85 of the Act (Contravention of prohibition relating to public offer of securities) and rules made by the FCA for the purposes of Part 6 of the Act require a prospectus to be drawn up.
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; (c) ‘inactive underlying exposure’ means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted; (d) ‘debt service coverage ratio’ means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property’s value, relative to the annual combined interest and principal repayment on a borrower’s total debt over a given period on the loan secured by the property; (e) ‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buyto-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties; (f) ‘medium enterprise’ means an enterprise which employs fewer than 250 people and has an annual turnover not exceeding £50 million and/or an annual balance sheet total not exceeding £43 million;

FCA 2024/18
(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 (h) ‘small enterprise’ means an enterprise which employs fewer than 50 persons and whose annual turnover and/or balance sheet total does not exceed £10 million.
11.2.2 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.
11.3 Information on underlying exposures
11.3.1 R (1) The information to be made available for a non-ABCP securitisation
pursuant to SECN 6.2.1R(1) is specified in:
(a) SECN 11 Annex 2R for loans to private households secured by residential real estate, regardless of the purpose of those loans; (b) SECN 11 Annex 3R for loans for the purposes of acquiring commercial real estate or secured by commercial real estate; (c) SECN 11 Annex 4R for corporate underlying exposures, including underlying exposures to micro, small and mediumsized enterprises; (d) SECN 11 Annex 5R for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles; (e) SECN 11 Annex 6R for consumer underlying exposures; (f) SECN 11 Annex 7R for credit card underlying exposures; (g) SECN 11 Annex 8R for leasing underlying exposures; and (h) SECN 11 Annex 9R for underlying exposures that do not fall within any of the categories set out in (a) to (g). (2) For the purposes of (1)(a), ‘residential real estate’ means any immovable property, available for dwelling purposes (including buyto-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate. (3) For the purposes of (1)(b), ‘commercial real estate’ means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users. (4) A property that has mixed commercial and residential use must, where possible, be treated as 2 separate properties: 1 commercial and

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

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Principles (GAAP) based on Council Directive 86/635/EEC; or (d) financial assets accounted for as credit-impaired under UK generally accepted accounting principles.
11.3.5 R The reporting entity for an ABCP transaction must make available the
information specified in SECN 11 Annex 11R.
11.3.6 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.3.1R to SECN 11.3.4R and the required information under SECN 11.3.5R.
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.
11.4 Information on investor reports
11.4.1 R The reporting entity for a non-ABCP securitisation must make available the
information on investor reports specified in SECN 11 Annex 12R.
11.4.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the information on investor reports specified in SECN 11
Annex 13R.
11.4.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.4.1R and the required information under SECN 11.4.2R.
11.5 Information granularity
11.5.1 R (1) The reporting entity must make available the information specified in
SECN 11 Annexes 2R to 10R and 12R on the following:
(a) underlying exposures, in relation to each individual underlying exposure; (b) collateral, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:
(i) the underlying exposure is secured by a guarantee; (ii) the underlying exposure is secured by physical or financial collateral; or

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(iii) the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor; (c) tenants, for each of the 3 largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property; (d) historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months before that date; (e) cashflows, for each inflow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date; and (f) tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties. (2) For the purposes of (1)(a) and (d), securitised loan parts must be treated as individual underlying exposures. (3) For the purposes of (1)(b), each property acting as security for loans referred to in SECN 11.3.1R(1)(a) and (b) must be treated as a single item of collateral.
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.
11.6 Item codes
11.6.1 R Reporting entities must assign item codes to the information made available
to securitisation repositories. For this purpose, reporting entities must assign

FCA 2024/18 the item code specified in Table 3 of SECN 11 Annex 1R that best corresponds to that information.
11.7 Inside information
11.7.1 R The reporting entity for a non-ABCP securitisation must make available the
inside information specified in SECN 11 Annex 14R.
11.7.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the inside information specified in SECN 11 Annex 15R.
11.7.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.7.1R and the required information under SECN 11.7.2R.
11.8 Information on significant events
11.8.1 R The reporting entity for a non-ABCP securitisation must make available the
information on significant events specified in SECN 11 Annex 14R.
11.8.2 R The reporting entity for an ABCP transaction or ABCP programme must
make available the information on significant events specified in SECN 11
Annex 15R.
11.8.3 G Where a securitisation is both a non-ABCP securitisation and an ABCP
transaction, the appropriate reporting entity or reporting entities should make available the required information under SECN 11.8.1R and the required information under SECN 11.8.2R.
11.9 Information granularity
11.9.1 R The reporting entity must make available the information specified in SECN
11 Annex 14R on the following:
(1) the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an ISIN has been assigned and for each subordinated loan in the securitisation; (2) accounts, for each account in the securitisation; (3) counterparties, for each counterparty in the securitisation; (4) where the securitisation is a synthetic non-ABCP securitisation:
(a) synthetic coverage, for as many protection arrangements as exist in the securitisation; and (b) issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement; and

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(5) where the securitisation is a collateralised loan obligation (CLO) non-ABCP securitisation:
(a) the CLO manager, for each CLO manager in the securitisation; and (b) the CLO securitisation.
11.9.2 R For the purposes of SECN 11.9.1R(4)(b), each asset for which an ISIN exists
must be treated as an individual collateral asset, cash collateral of the same currency must be aggregated and treated as an individual collateral asset, and cash collateral of different currencies must be reported as separate collateral assets.
11.9.3 R The reporting entity must make available the information specified in SECN
11 Annex 15R on the following:
(1) ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date; (2) ABCP programmes, for as many ABCP programmes that, at the data cut-off date, are funding the ABCP transactions on which information is made available pursuant to (1); (3) the tranches/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an ISIN has been assigned and for each subordinated loan in the ABCP programme; (4) accounts, for each account in each ABCP transaction; and (5) counterparties, for each counterparty in each ABCP transaction.
11.10 Information completeness and consistency
11.10.1 R The information made available pursuant to SECN 6 and this chapter 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, it must make available, without undue delay, a corrected report of all information about the securitisation required under SECN 6 and this chapter.
11.10.3 R Where permitted in the corresponding annex, the reporting entity may report
one of the following ‘No Data Option’ (‘ND’) values corresponding to the reason justifying the unavailability of the information to be made available:
(1) value ‘ND1’, where the required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination of the underlying exposure;

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(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. (2) On request by the FCA, PRA or the Pensions Regulator, the reporting entity must provide details of the circumstances that justify the use of those ND values.
11.11 Information timeliness
11.11.1 R Where a securitisation is not an ABCP securitisation, the information made
available pursuant to this chapter must not have a data cut-off date later than 2 months before the submission date.
11.11.2 R Where a securitisation is an ABCP transaction or ABCP programme:
(1) the information specified in SECN 11 Annex 11R and in the ‘transaction information section’ in SECN 11 Annex 13R and SECN 11 Annex 15R must not have a data cut-off date later than 2 months before the submission date; and (2) the information specified in all sections of SECN 11 Annex 13R and SECN 11 Annex 15R other than the ‘transaction information section’ must not have a data cut-off date later than 1 month before the submission date.
11.12 Unique identifiers
11.12.1 R Each securitisation must be assigned a unique identifier composed of the
following elements, in sequential order:
(1) the legal entity identifier (LEI) of the reporting entity;

FCA 2024/18
(2) the letter ‘A’ where the securitisation is an ABCP programme or the letter ‘N’ where the securitisation is a non-ABCP securitisation; (3) the 4-digit year corresponding to:
(a) the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation; or (b) the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP programme; and (4) the number 01 or, where there is more than one securitisation with the same identifier as referred to in (1), (2) and (3), a 2-digit sequential number corresponding to the order in which information about each securitisation is made available. The order of simultaneous securitisations must be discretionary.
11.12.2 R Each ABCP transaction in an ABCP programme must be assigned a unique
identifier composed of the following elements, in sequential order:
(1) the LEI of the reporting entity; (2) the letter ‘T’; (3) the 4-digit year corresponding to the first closing date of the ABCP transaction; and (4) the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in (1), (2) and (3), a 2-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions must be discretionary.
11.12.3 R Unique identifiers must not be amended by the reporting entity.
11.13 Classifications reporting
11.13.1 R The information relating to the System of Accounts classification must be
made available using the codes set out in Table 1 of SECN 11 Annex 1R.
11.13.2 R The information relating to the Servicer Watchlist classifications must be
made available using the codes set out in Table 2 of SECN 11 Annex 1R. 11 Annex Classifications reporting and item codes 1R [Editor’s note: insert link to document containing ‘Classifications reporting and item codes’]

FCA 2024/18
Table 1: System of Accounts Secure Codes
Sectors Sub-sectors SA Code
Nonfinancial corporations
Public non-financial corporations S.11001 National private non-financial corporations S.11002 Foreign controlled non-financial corporations S.11003 Monetary financial institutions (MFIs) Central bank S.121 Public deposit-taking corporations except the central bank S.12201 National private deposit-taking corporations except the central bank S.12202 Foreign controlled deposit-taking corporations except the central bank S.12203 Public money market funds (MMFs) S.12301 National private money market funds (MMFs) S.12302 Foreign controlled money market funds (MMFs) S.12303 Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs) Public non-MMF investment funds S.12401 National private non-MMF investment funds S.12402 Foreign controlled non-MMF investment funds S.12403 Public other financial intermediaries, except insurance corporations and pension funds S.12501 National private other financial intermediaries, except insurance corporations and pension funds S.12502 Foreign controlled other financial intermediaries, except insurance corporations and pension funds S.12503 Public financial auxiliaries S.12601 National private financial auxiliaries S.12602 Foreign controlled financial auxiliaries S.12603 Public captive financial institutions and money lenders S.12701 National private captive financial institutions and money lenders S.12702

FCA 2024/18
Table 1: System of Accounts Secure Codes
Sectors Sub-sectors SA Code
Foreign controlled captive financial institutions and money lenders S.12703 ICPFs Public insurance corporations S.12801 National private insurance corporations S.12802 Foreign controlled insurance corporations S.12803 Public pension funds S.12901 National private pension funds S.12902 Foreign controlled pension funds S.12903 Other General government S.13 Central government (excluding social security funds) S.1311 State government (excluding social security funds) S.1312 Local government (excluding social security funds) S.1313 Social security funds S.1314 Households S.14 Employers and own-account workers S.141+S.142 Employees S.143 Recipients of property and transfer income S.144 Recipients of property income S.1441 Recipients of pensions S.1442 Recipients of other transfers S.1443 Non-profit institutions serving households S.15 Member States of the European Union S.211 Institutions and bodies of the European Union S.212 Non-member countries and international organisations nonresident in the European Union S.22

FCA 2024/18
Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 1A Delinquent P&I payment 2 payments behind Arrears cleared and loan is current. Remain on Watchlist for 2 quarters/periods 1B Delinquent insurance renewal or forced placed coverage 30 days overdue Receipt of proof of satisfactory insurance 1C Interest Coverage Ratio below dividend trap.

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

FCA 2024/18
Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 1G Any unplanned draw on a letter of credit, debt service reserve, or working capital to pay debt service Any occurrence on a loan by loan basis. After funds or Letter of Credit replaced if required by the documents otherwise after two Interest Payment Dates with no further draws 2A Absolute required repairs reserved for at closing, or otherwise disclosed to servicer, but not completed by due date If required repair is not completed with 60 days following the due date (including extensions approved by the Servicer) and it is the lesser of 10 % of the unpaid principal balance or €250,000 Satisfactory verification that repairs have been completed 2B Any required spending plan deficiencies (i.e.:
capex, FF&E)
Any knowledge of deficiency that adversely affects the performance or value of property; on a loan by loan basis/material (> 5 % of loan outstanding balance) When plan deficiencies are cured 2C Occurrence of any trigger event in the mortgage loan documents. (e.g. required loan pay down, posting of additional reserves, minimum thresholds breached, etc.) Any occurrence Cure of the event that required action under the mortgage documents 2D Verification of financial performance. Unsatisfactory or nondelivery of tenancy schedules or operating statements, etc. Any occurrence for 6 months or greater Cure of the event that required action under the mortgage documents 2E Operating licence or franchise agreement When notice received by servicer New franchise or licence in place, or default

FCA 2024/18
Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold default under franchise or licence has been cured – Relationship agreement 2F Borrower/owner/sponsor bankruptcy or similar event (e.g. insolvency arrangement/proceedings, bankruptcy, receivership, liquidation, company voluntary arrangement (CVA)/individual voluntary arrangement (IVA)), becomes the subject of winding up order bankruptcy petition or other. When notice received by servicer Retain on Watchlist until Interest Payment Date following cure. 3A(i) Inspection reveals poor condition Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI) In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed 3A(ii) Inspection reveals poor accessibility Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI) In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed 3B Inspection reveals harmful environmental issue Any occurrence In Servicer’s discretion that property deficiencies cured 3C Properties affected by major casualty or compulsory purchase proceeding affecting future cash flows, value/blight/caution. When servicer becomes aware of issue and it affects > 10 % of value or €500,000 In Servicer’s discretion that all necessary repairs have been completed satisfactorily or that condemnation proceedings have been completed and the asset can perform satisfactorily

FCA 2024/18
Table 2: Servicer Watchlist Codes
Servicer
Watchlist
Code
Meaning Inclusion Threshold Release Threshold 4A Overall property portfolio occupancy decrease 20 % less than ‘Securitisation Date’ level; on a loan by loan basis When condition no longer exists 4B Any 1 tenant or combination of TOP 3 TENANTS (based on gross rental) with leases > 30 % expiring within the next 12 months. Only applies to office, industrial and retail. When condition no longer exists or Servicer’s discretion. 4C Major tenant lease or leases that are in default, terminated or are dark (Not occupied, but rent being paid)

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

FCA 2024/18
Table 3: Item types and codes
Item type Article(s) of
Regulation (EU)
2017/2402
Item code
Underlying exposures or underlying receivables or credit claims 7(1)(a) 1 Investor report 7(1)(e) 2 Final offering document; prospectus; closing transaction documents, excluding legal opinions 7(1)(b)(i) 3 Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust 7(1)(b)(ii) 4 Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator 7(1)(b)(iii) 5 Servicing; back-up servicing; administration and cash management agreements 7(1)(b)(iv) 6 Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value 7(1)(b)(v) 7 Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements 7(1)(b)(vi) 8 Any other underlying documentation that is essential for the understanding of the transaction 7(1)(b) 9 Simple, transparent and standardised notification pursuant to
Article 27 of Regulation (EU) 2017/2402
7(1)(d) 10
Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with
Article 17 of Regulation (EU) No 596/2014 of the European
Parliament and of the Council
7(1)(f) 11
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach; (ii) a change in the structural features that can materially impact 7(1)(g) 12

FCA 2024/18
Table 3: Item types and codes
Item type Article(s) of
Regulation (EU)
2017/2402
Item code the performance of the securitisation; (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where the competent authority has taken remedial or administrative actions; (v) any material amendment to transaction documents.

FCA 2024/18
11 Annex Underlying exposures information – Residential real estate (RRE) 2R [Editor’s note: insert link to document containing ‘Underlying exposures information – Residential real estate (RRE)’]

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Underlying exposures information section RREL1 Unique Identifier The unique identifier assigned by the reporting entity in accordance with
Article 11(1) of Commission
Delegated Regulation (EU)
2020/1224.
NO NO
RREL2 Original
Underlying
Exposure
Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO RREL3 New Underlying Exposure Identifier If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier. NO NO RREL4 Original Obligor Identifier Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO RREL5 New Obligor Identifier If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entity must not amend this unique identifier. NO NO RREL6 Data Cut-Off Date The data cut-off date for this data submission. NO NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL7 Pool Addition Date The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of:
(i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. NO YES RREL8 Date Of Repurchase Date on which the underlying exposure was repurchased from the pool. NO YES RREL9 Redemption Date Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. NO YES RREL10 Resident Is the primary obligor a resident of the country in which the collateral and underlying exposure reside? YES NO RREL11 Geographic Region – Obligor The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in RREL12 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL12 Geographic Region Classification Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3
2013. 2016 should be entered for new
exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. YES NO RREL13 Employment Status Employment status of the primary obligor:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL14 Credit Impaired Obligor Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to its non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and (ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?
Article 7(1) explicitly sets
out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; (b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or (c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. RREL15 Customer Type Customer type at origination:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Estimated net annual income
(net of social security only)
(EISS)
Disposable Income (DSPL)
Borrower is legal entity
(CORP)
Other (OTHR)
RREL18 Primary
Income
Currency
Currency in which the primary obligor’s income or revenue is paid. YES NO RREL19 Primary Income Verification Primary Income Verification:
Self-certified no Checks
(SCRT)
Self-certified with
Affordability Confirmation
(SCNF)
Verified (VRFD)
Non-Verified Income or Fast
Track (NVRF)
Credit Bureau Information or
Scoring (SCRG)
Other (OTHR)
YES NO
RREL20 Secondary
Income
Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligor is a legal person/entity, enter that obligor’s annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual combined income across all obligors in this field. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL21 Secondary Income Verification Income Verification for secondary income:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Third Party Channel but
Underwriting Performed
Entirely by the Originator
(TPTC)
Other (OTHR)
RREL27 Purpose The reason for the obligor taking out the loan:
Purchase (PURC)
Remortgage (RMRT)
Renovation (RENV)
Equity Release (EQRE)
Construction (CNST)
Debt Consolidation (DCON)
Remortgage with Equity
Release (RMEQ)
Business Funding (BSFN)
Combination Mortgage
(CMRT)
Investment Mortgage (IMRT)
Right to Buy (RGBY)
Government Sponsored Loan
(GSPL)
Other (OTHR)
YES NO
RREL28 Currency
Denomination
The underlying exposure currency denomination. NO NO RREL29 Original Principal Balance Original underlying exposure balance (inclusive of fees). This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL30 Current Principal Balance Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts. Current balance includes the principal arrears. However, savings amount is to be deducted if a sub-participation exists. (i.e. underlying exposure balance = underlying exposure +/- sub-participation; +/- 0 if no subparticipation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL31 Prior Principal Balances Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES RREL32 Pari Passu Underlying Exposures Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in this pool). If there are no balances ranking pari passu, enter 0. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL33 Total Credit Limit For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL34 Purchase Price Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. NO YES RREL35 Amortisation Type Type of amortisation of the underlying exposure including principal and interest.

French –– i.e. Amortisation in
which the total amount – principal plus interest – repaid in each instalment is the same. (FRXX) YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL39 Payment Due This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL40 Debt To Income Ratio Debt defined as the amount of underlying exposure outstanding as of data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are
part of the principal in the
securitisation these are to be added.
Excluding any interest arrears or penalty amounts. Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income. YES YES RREL41 Balloon Amount Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES RREL42 Interest Rate Type Interest rate type:

Floating rate underlying
exposure (for life) (FLIF)
Floating rate underlying
exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure
(for life) (FXRL)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Fixed with future periodic
resets (FXPR)
Fixed rate underlying exposure
with compulsory future switch to floating (FLCF)
Floating rate underlying
exposure with floor (FLFL)
Floating rate underlying
exposure with cap (CAPP)
Floating rate underlying
exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
RREL43 Current
Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. NO YES RREL44 Current Interest Rate Index The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate
(BOER)
European Central Bank Base
Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
RREL45 Current
Interest Rate
Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. RREL51 Interest Revision Date Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). YES YES RREL52 Revision Margin 2 The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. YES YES RREL53 Interest Revision Date Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. This is not the next LIBOR/EURIBOR/index reset date). YES YES RREL54 Revision Margin 3 The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically YES YES

MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate
(BOER)
European Central Bank Base
Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
RREL57 Revised
Interest Rate
Index Tenor
Tenor of the next interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)4 month
(FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
YES YES
RREL58 Number Of
Payments
Before
Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation. YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL59 Percentage Of Prepayments Allowed Per Year Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of prepayments (i.e. 10 %) before charges are incurred. YES YES RREL60 Prepayment Lock-Out End Date The date after which the lender allows prepayment of the underlying exposure. YES YES RREL61 Prepayment Fee Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL62 Prepayment Fee End Date The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. YES YES RREL63 Prepayment Date The latest date on which an unscheduled principal payment was received. YES YES RREL64 Cumulative Prepayments Total prepayments collected as at the data cut-off date (prepayments is defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL65 Date Of Restructuring Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. YES YES RREL66 Date Last In Arrears Date the underlying exposure was last in arrears. YES YES RREL67 Arrears Balance Current balance of arrears, which is defined as:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. RREL70 Reason for Default or Foreclosure If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL74 Cumulative Recoveries Total recoveries (regardless of their source) on the (defaulted/chargedoff/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREL75 Litigation Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this is to be re-set to N). NO YES RREL76 Recourse Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure? YES YES RREL77 Deposit Amount The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREL78 Insurance Or Investment Provider Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures). YES YES RREL79 Original Lender Name Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREL80 Original Lender Legal Entity Identifier Provide the L (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. YES YES RREL81 Original Lender Establishment Country Country where the original lender is established. YES YES RREL82 Originator Name Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO NO RREL83 Originator Legal Entity Identifier Provide the L (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. NO NO RREL84 Originator Establishment Country Country where the underlying exposure originator is established. NO NO Collateral-level information section RREC1 Unique Identifier Report the same unique identifier here as the one entered into field RREL1. NO NO RREC2 Underlying Exposure Identifier Unique identifier for each underlying exposure. This must match field RREL3. NO NO RREC3 Original Collateral Identifier The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The NO NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? reporting entity must not amend this unique identifier. RREC4 New Collateral Identifier If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier. NO NO RREC5 Collateral Type The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? If the collateral being reported is not property collateral, enter ND5. RREC10 Energy Performance Certificate Value The energy performance certificate value of the collateral at the time of origination:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral. If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator. If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. RREC14 Current Valuation Method The method of calculating the most recent value of the collateral, as provided in RREC13:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREC15 Current Valuation Date The date of the most recent valuation, as provided in RREC13. YES YES RREC16 Original Loan-ToValue Originator’s original underwritten loan To Value ratio (LTV). For nonfirst lien loans, this is the combined or total LTV. If the collateral being reported is not property collateral, enter ND5. YES YES RREC17 Original Valuation Amount The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO RREC18 Original Valuation Method The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? RREC19 Original Valuation Date The date of original valuation of the collateral, as provided in RREC17. YES NO RREC20 Date Of Sale The date of sale of the foreclosed collateral. YES YES RREC21 Sale Price Price achieved on sale of collateral in case of foreclosure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES RREC22 Collateral Currency This is the currency in which the valuation amount provided in RREC13 is denominated. NO YES RREC23 Guarantor Type Guarantor Type:

No Guarantor (NGUA)
Individual – Family Relation
(FAML)
Individual – Other (IOTH)
Government (GOVE)
Bank (BANK)
Insurance Product (INSU)
Nationale Hypotheek Garantie
Guarantee Scheme (NHGX)
Fonds de Garantie de
l’Accession Sociale (FGAS)
Caution (CATN)
Other (OTHR
5t
YES NO

FCA 2024/18
11 Annex Underlying exposures information – Commercial real estate (CRE) 3R [Editor’s note: insert link to document containing ‘Underlying exposures information – Commercial real estate (CRE)’]

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Underlying exposures information section CREL1 Unique Identifier The unique identifier assigned by the reporting entity in accordance with
Article 11(1) of Delegated Regulation
(EU) 2020/1224
NO NO
CREL2 Original
Obligor
Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CREL3 New Obligor Identifier If the original identifier in field CREL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL2. The reporting entity must not amend this unique identifier. NO NO CREL4 Original Underlying Exposure Identifier Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CREL5 New Underlying Exposure Identifier If the original identifier in field CREL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL4. The reporting entity must not amend this unique identifier. NO NO CREL6 Data Cut-Off Date The data cut-off date for this data submission. NO NO CREL7 Pool Addition Date The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. CREL8 Date Of Restructuring Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. YES YES CREL9 Date Of Repurchase Date on which the underlying exposure was repurchased from the pool. NO YES CREL10 Date Of Substitution If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution. NO YES CREL11 Redemption Date Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. NO YES CREL12 Geographic Region – Obligor The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CREL13 to provide the year YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. CREL13 Geographic Region Classification Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3
2013. 2016 should be entered for new
exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. YES NO CREL14 Special Scheme If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. YES YES CREL15 Origination Date Date of original underlying exposure advance. YES NO CREL16 Start Date Of Amortisation The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date). YES YES CREL17 Maturity Date At Securitisation The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Date on which may be allowed under the underlying exposure agreement. CREL18 Maturity Date The date of maturity of the underlying exposure or expiry of the lease. NO YES CREL19 Original Term Original contractual term (number of months) at the origination date. YES YES CREL20 Duration Of Extension Option Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure. NO YES CREL21 Nature Of Extension Option Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Current balance includes the principal arrears. However, savings amount are to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation+/- 0 if no subparticipation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL24 Original Principal Balance Original underlying exposure balance (inclusive of fees)This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREL25 Original Principal Balance At Securitisation Date Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL26 Committed Undrawn Facility Underlying Exposure Balance The total whole underlying exposure remaining facility/Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment date on which the obligor can still draw upon. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL27 Total Other Amounts Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) that have been expended by NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Outstanding SSPE/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or SSPE and not yet reimbursed by the obligor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL28 Purchase Price Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. NO YES CREL29 Latest Utilisation Date Date of the most recent utilisation/drawdown of the underlying exposure facility agreement. NO YES CREL30 Purpose Underlying exposure purpose – In the event of multiple purposes, report the option that best describes the arrangement:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

A Loan; as part of an A/B
participation structure (AABP)
B Loan; as part of an A/B
participation structure (BABP)
A Loan; as part of an A/B/C
participation structure (AABC)
B Loan; as part of an A/B/C
participation structure (BABC)
C Loan; as part of an A/B/C
participation structure (CABC)
Structural mezzanine financing
(MZZD)
Subordinate debt with separate
loan documentation outside the issuance vehicle (SOBD)
Other (OTHR)
CREL32 Waterfall A-B
Pre
Enforcement
Scheduled
Interest
Payments
Waterfall pre-enforcement schedule for interest payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO YES
CREL33 Waterfall A-B
Pre
Enforcement
Scheduled
Principal
Payments
Waterfall pre-enforcement schedule for principal payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO YES
CREL34 Principal
Payment
Allocation To
Senior Loan
Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC). NO YES CREL35 Waterfall Type Type of waterfall governing the overall NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? lending arrangement:

Interest A, principal A, interest B,
principal B (IPIP)
Interest A, interest B, principal A,
principal B (IIPP)
Other (OTHR)
CREL36 Defaulted
Underlying
Exposure
Purchase Price
If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter the purchase price as per the applicable colender/intercreditor agreement. NO YES CREL37 Cure Payments Possible? Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below:
No possibility to make cure
payment (NCPP)
Cure payment can be made up to
a fixed number limit over the lifetime of the underlying exposure (FNLP)
Cure payment can be made
without limit over the lifetime of the underlying exposure (NLCP)
Other (OTHR)
YES NO
CREL38 Restrictions On
Sale Of
Subordinated
Loan?
Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party? NO YES CREL39 Subordinated Loan Holder Affiliated To Obligor? Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) to the commercial mortgage obligor? NO YES CREL40 Subordinated Loan Holder Control Of Workout Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral? NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Process CREL41 Do NonPayments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure? Do Non-payments on Prior Ranking Claims Constitute a Default of the underlying exposure? NO YES CREL42 Do NonPayments On Equal Ranking Underlying Exposures Constitute Default Of Property? Do Non-payments on Equal Ranking underlying exposures Constitute Default of Property? NO YES CREL43 Noteholder Consent Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure’s payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms) YES NO CREL44 Noteholder Meeting Scheduled What date is the next noteholder meeting scheduled for? NO YES CREL45 Syndicated Is the underlying exposure syndicated? YES NO CREL46 Participation Of SSPE Method used by the SSPE to acquire ownership in the syndicated underlying exposure:

Assignment (ASGN)
Novation (NOVA)
Equitable Assignment (EQTB)
Funded Participation (pari passu
interest) (PARI)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL52 Amounts Held In Escrow Total balance of the legally charged reserve accounts as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL53 Collection Of Escrows Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement. YES NO CREL54 Collection Of Other Reserves Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the underlying exposure agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such underlying exposure? NO NO CREL55 Trigger For Escrow To Be Held Type of trigger event leading to amounts to be paid into escrow:

No Trigger (NONE)
Loan to Value Trigger (LVTX)
Interest Coverage Trigger (ICVR)
Debt Service Coverage Trigger
(DSCT)
Net Operating Income Trigger
(NOIT)
Other (OTHR)
YES NO
CREL56 Target Escrow
Amounts/Reser ves
Target escrow amounts/reserves.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL57 Escrow Account Release conditions of the escrow account. If multiple conditions, each NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Release Conditions condition must be provided in accordance with the XML schema. CREL58 Conditions Of Drawing Cash Reserve When the Cash Reserve can be used:

Financial Covenant Breach
(FICB)
Trigger Event (TREV)
Other (OTHR)
NO YES
CREL59 Escrow
Account
Currency
Escrow account currency denomination. NO YES CREL60 Escrow Payments Currency Currency of the Escrow payments. Fields CREL52 and CREL56. NO YES CREL61 Total Reserve Balance Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC’s for reserves. to be completed if field CREL54 (‘Collection of Other Reserves’) is equal to ‘Y’ = Yes. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL62 Reserve Balance Currency Reserve account currency denomination. NO YES CREL63 Escrow Trigger Event Occurred Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the underlying exposure agreement. NO NO CREL64 Amounts Added To Escrows In Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Current Period of this data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL65 Revenue Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL66 Operating Expenses At Securitisation Date Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL67 Capital Expenditures At Securitisation Date Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL68 Financial Statement Currency The currency used in the initial financial reporting of fields CREL65 – CREL66. YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL69 Obligor Reporting Breach Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No. YES NO CREL70 Debt Service Coverage Ratio Method Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter the A-loan method.

Current Period (CRRP)
Projection - 6 month forward
calculation (PRSF)
Projection - 12 month forward
calculation (PRTF)
Combo 6 – Current period and a
6 month forward calculation
(CMSF)
Combo 12 – Current period and
a 6 month forward calculation
(CMTF)
Historical - 6 month forward
calculation (HISF)
Historical - 12 month forward
calculation (HITF)
Modified – Includes a reserve
injection or a percentage rental income probability calculation (MODI)
Multiple Period – Consecutive
period calculation (MLTP)
Other (OTHR)
YES NO
CREL71 Debt Service
Coverage Ratio
Indicator At
Securitisation
Date
How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:
Partial – Not all properties
received financials, servicer to leave empty (PRTL)
Average – Not all properties
received financials, servicer allocates debt service only to NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? properties where financials are received (AVER)

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

None Collected - No financials
were received (NCOT)
Consolidated - All properties
reported on one ‘rolled up’ financial from the obligor (COND)
Whole loan based on loan
agreements (WLAG)
Whole loan based on other
method (WLOT)
Trust Note based on loan
agreement (TNAG)
Trust Note based on other
method (TNOT)
Other (OTHR)
CREL73 Debt Service
Coverage Ratio
At The
Securitisation
Date
The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation. YES NO CREL74 Current Debt Service Coverage Ratio Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation. YES NO CREL75 Original LoanTo-Value The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date. YES NO CREL76 Current LoanTo-Value Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount). YES NO CREL77 Interest Coverage Ratio At The Securitisation Date The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date. YES NO CREL78 Current Interest Current Interest Coverage Ratio calculation for the securitised underlying YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Coverage Ratio exposure. CREL79 Interest Coverage Ratio Method Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation:

Current Period (CRRP)
Projection - 6 month forward
calculation (PRSF)
Projection - 12 month forward
calculation (PRTF)
Combo 6 – Current period and a
6 month forward calculation
(CMSF)
Combo 12 – Current period and
a 6 month forward calculation
(CMTF)
Historical - 6 month forward
calculation (HISF)
Historical - 12 month forward
calculation (HITF)
Modified – Includes a reserve
injection or a percentage rental income probability calculation (MODI)
Multiple Period – Consecutive
period calculation (MLTP)
Other (OTHR)
NO YES
CREL80 Number Of
Properties At
Securitisation
Date
The number of properties that serve as security for the underlying exposure at the Securitisation Date. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL81 Number Of Properties At Data Cut-Off Date The number of properties that serve as security for the underlying exposure. YES NO CREL82 Properties Collateralised To The Underlying Exposure Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema. NO NO CREL83 Property Portfolio Value At Securitisation Date The valuation of the properties securing the underlying exposure at the Securitisation Date as described in the Offering Circular. If multiple properties then sum the value of the properties. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL84 Property Portfolio Valuation Currency At Securitisation Date The currency of the valuation in CREL83. NO YES CREL85 Status Of Properties Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties.

Lasting Power of Attorney
(LPOA)
Receivership (RCVR)
In Foreclosure (FCLS)
Real Estate Owned (REOW)
Defeased (DFSD)
Partial Release (PRLS)
Released (RLSD)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Same as at Securitisation Date
(SCDT)
In special servicing (SSRV)
Other (OTHR)
CREL86 Valuation Date
At
Securitisation
Date
The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date. NO YES CREL87 Amortisation Type Type of amortisation of the underlying exposure including principal and interest.
French – i.e. Amortisation in
which the total amount – principal plus interest – repaid in each instalment is the same. (FRXX)
German – i.e. Amortisation in
which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule –
i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet – i.e. Amortisation in
which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES NO
CREL88 Principal Grace
Period End
Date
If applicable as at the data cut-off date, indicate the principal grace period end date. NO YES CREL89 Grace Days Allowed The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? example). CREL90 Scheduled Principal Payment Frequency Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO YES
CREL91 Scheduled
Interest
Payment
Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO YES
CREL92 Number Of
Payments
Before
Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation. YES NO CREL93 Prepayment Terms Description Must reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 %(12), 0,5 %(24), 0,25 %(36). YES YES CREL94 Prepayment Lock-Out End Date The date after which the lender allows prepayment of the underlying exposure. YES YES CREL95 Yield Maintenance End Date Date after which underlying exposure can be prepaid without yield maintenance. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL96 Prepayment Fee Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL97 Prepayment Fee End Date The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. YES YES CREL98 Unscheduled Principal Collections Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL99 Liquidation/ Prepayment Date The most recent date on which an unscheduled principal payment was received or liquidation proceeds are received. NO YES CREL100 Liquidation/ Prepayment Code Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period:

Partial Liquidation (Curtailment)
(PTLQ)
Payoff Prior to Maturity (PTPY)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Liquidation or Disposition
(LQDP)
Repurchase or Substitution
(RPSB)
Full Payoff at Maturity (FLPY)
Discounted Payoff (DPOX)
Payoff with Penalty (PYPN)
Payoff with Yield Maintenance
(YLMT)
Curtailment with Penalty
(CTPL)
Curtailment with Yield
Maintenance (CTYL)
Other (OTHR)
CREL101 Prepayment
Interest
Excess/
Shortfall
Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date:
Shortfall – The difference by
which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs).
Excess – Interest collected in
excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number. Refers to the entire lending arrangement (i.e. not just reflecting the securitised NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? underlying exposure amount) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL102 Payment Date The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure. NO YES CREL103 Next Payment Adjustment Date For adjustable rate underlying exposures, the next date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date. NO YES CREL104 Next Payment Date Date of next underlying exposure payment. NO YES CREL105 Payment Due This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL106 Original Interest Rate Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure. YES NO CREL107 Interest Rate At The Securitisation Date The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying exposure for the first Interest Payment Date after the Securitisation Date. YES NO CREL108 First Payment Adjustment Date For adjustable rate underlying exposures, the first date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date on which the amount of scheduled principal or interest is due (not the first date after YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? securitisation on which it could change). CREL109 Interest Rate Type Interest rate type:

Floating rate underlying
exposure (for life) (FLIF)
Floating rate underlying
exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure
(for life) (FXRL)
Fixed with future periodic resets
(FXPR)
Fixed rate underlying exposure
with compulsory future switch to floating (FLCF)
Floating rate underlying
exposure with floor (FLFL)
Floating rate underlying
exposure with cap (CAPP)
Floating rate underlying
exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
NO YES
CREL110 Current
Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. NO YES CREL111 Current Interest Rate The base reference interest index currently applicable (the reference rate NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Index off which the interest rate is set):

MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate
(BOER)

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

European Central Bank Base
Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
CREL112 Current
Interest Rate
Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO YES
CREL113 Current
Interest Rate
Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. NO YES CREL114 Interest Rate Reset Interval Number of months between each interest rate reset date on the underlying exposure. NO YES CREL115 Current Index Rate The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL116 Index Determination Date If the underlying exposure Agreement states specific dates for the index to be set, enter the next index determination date. NO YES CREL117 Rounding Increment The incremental percentage by which an index rate is to be rounded in determining the interest rate as set out in the underlying exposure agreement. NO YES CREL118 Interest Rate Cap Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES CREL119 Interest Rate Floor Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. NO YES CREL120 Current Default Interest Rate Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102. NO YES CREL121 Accrual Of Interest Allowed Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised? YES NO CREL122 Day Count Convention The ‘days’ convention used to calculate interest:

30/360 (A011)
Actual/365 (A005)
Actual/360 (A004)
Actual/Actual ICMA (A006)
Actual/Actual ISDA (A008)
Actual/Actual AFB (A010)
Actual/366 (A009)
Other (OTHR)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL123 Total Scheduled Principal & Interest Due Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL124 Total Scheduled Principal & Interest Paid Scheduled Principal & Interest payment paid on the securitised underlying exposure on the most recent payment date, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL125 Negative Amortisation Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO CREL126 Deferred Interest Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL127 Total Shortfalls In Principal & Interest Outstanding Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL128 Date Last In Arrears Date the obligor was last in arrears. YES YES CREL129 Arrears Balance Current balance of arrears, which is defined as:

Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the
account
LESS total payments received to
date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO NO CREL130 Number Of Days In Arrears Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. NO NO CREL131 Reason for Default or Foreclosure If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is
unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is
more than 90/180 days past due, in accordance with Article 178 YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? of Regulation (EU) No 575/2013. (PDXX)

In default both because it is
considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with
Article 178 of Regulation (EU)
No 575/2013. (UPPD)
CREL132 Default
Amount
Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL133 Default Date The date of default. NO YES CREL134 Interest In Arrears Is the interest that accrues on the underlying exposure paid in arrears? NO NO CREL135 Actual Default Interest Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL136 Account Status Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured - No Arrears
(RNAR)
Restructured - Arrears (RARR)
NO NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL137 Allocated Losses The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL138 Net Proceeds Received On Liquidation Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL139 Liquidation Expense Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Securitisation Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL140 Expected Timing Of Recoveries The underlying exposure servicer’s expected recovery timing in months. NO YES CREL141 Cumulative Recoveries Total recoveries (regardless of their source) on the (defaulted/chargedoff/etc.) debt, net of costs. Include all sources of recoveries here, not just NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL142 Enforcement Start Date The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the obligor. NO YES CREL143 Workout Strategy Code Work-out strategy:

Modification (MODI)
Enforcement (ENFR)
Receivership (RCVR)
Insolvency (NSOL)
Extension (XTSN)
Loan Sale (LLES)
Discounted Pay Off (DPFF)
Property in Possession (PPOS)
Resolved (RSLV)
Pending Return to Servicer
(PRTS)
Deed in Lieu of Foreclosure
(DLFR)
Full Pay Off (FPOF)
Representations and Warranties
(REWR)
Other (OTHR)
NO YES
CREL144 Modification Type of modification:
Maturity Date Extension
(MEXT)
Amortisation Change (AMMC)
Principal Write-off (PWOF)
NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Temporary Rate Reduction
(TMRR)
Capitalisation of Interest (CINT)
Capitalisation of Costs
Advanced (e.g. insurance, ground rent) (CPCA)
Combination (COMB)
Other (OTHR)
CREL145 Special
Servicing
Status
As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced? NO NO CREL146 Most Recent Special Servicer Transfer Date The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this is the last date transferred to special servicing. NO YES CREL147 Most Recent Primary Servicer Return Date The date an underlying exposure becomes a ‘corrected mortgage underlying exposure’, which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this is the last date returned to the master/primary Servicer from special servicing. NO YES CREL148 Non Recoverability Determined Indicator (Yes/No) as to whether the Servicer or Special Servicer has determined that there will be a shortfall in recovering any advances it has made and the outstanding underlying exposure balance and any other amounts owing on the underlying exposure from proceeds upon sale or liquidation of the property or underlying exposure. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL149 Covenant Breach/Trigger Type of Covenant Breach/Trigger:

Interest Coverage Ratio (ICRX)
Debt Service Coverage Ratio
(DSCR)
Loan-to-Value (LLTV)
Interest Coverage Ratio or Debt
Service Coverage Ratio (ICDS)
Interest Coverage Ratio or Debt
Service Coverage Ratio or Loanto-Value (ICDL)
Property Level Breach (PROP)
Obligor Level Breach (OBLG)
Tenant or Vacancy Level Breach
(TENT)
Other (OTHR)
NO YES
CREL150 Date Of
Breach
The date on which any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach. YES YES CREL151 Date Of Breach Cure The date on which any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured. NO YES CREL152 Servicer Watchlist Code If the underlying exposure has been entered onto the servicer watchlist, enter the most appropriate corresponding code from Table 2 in Annex I of this Regulation. If multiple criteria are applicable, list the most detrimental code. NO YES CREL153 Servicer Watchlist Date Determination date on which an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? date. CREL154 Interest Rate Swap Provider If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL155 Interest Rate Swap Provider Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider. NO YES CREL156 Interest Rate Swap Maturity Date Date of maturity for the interest rate underlying exposure level swap. NO YES CREL157 Interest Rate Swap Notional Interest rate underlying exposure level swap notional amount Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL158 Currency Swap Provider If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL159 Currency Swap Provider Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure currency swap provider. NO YES CREL160 Currency Swap Maturity Date Date of maturity for the currency underlying exposure level swap. NO YES CREL161 Currency Swap Currency underlying exposure level swap NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Notional notional amount Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREL162 Exchange Rate For Swap The exchange rate that has been set for a currency underlying exposure level swap. NO YES CREL163 Other Swap Provider The full legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO YES CREL164 Other Swap Provider Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure ‘other’ swap provider. NO YES CREL165 Obligor Must Pay Breakage On Swap Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter the most appropriate value.

Total Indemnification from
obligor (TOTL)
Partial Indemnification from
obligor (PINO)
No Indemnification from obligor
(NOPE)
YES NO
CREL166 Full Or Partial
Termination
Event Of Swap
For Current
Period
If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter the most appropriate value. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREL169 Shortfall In Payment Of Breakage Costs On Swap Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter the sum across all swaps. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL170 Breakage Costs Due From Swap Counterparty Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter the most appropriate value. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREL171 Next Swap Reset Date Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter the most appropriate value. NO YES CREL172 Sponsor The name of the underlying exposure sponsor. NO YES CREL173 Agent Bank Of Syndication Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure. NO YES CREL174 Servicer Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure servicer. NO YES CREL175 Servicer Name Give the full legal name of the underlying exposure servicer. The name entered must match the name associated with the LEI in the Global Legal Entity NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Foundation (GLEIF) database. CREL176 Originator Name Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. NO NO CREL177 Originator Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. NO NO CREL178 Originator Establishment Country Country where the underlying exposure originator is established. NO NO CREL179 Original Lender Name Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. YES YES CREL180 Original Lender Legal Entity Identifier Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. YES YES CREL181 Original Lender Establishment Country Country where the original lender is established. YES YES Collateral-level information section CREC1 Unique Identifier Report the same unique identifier here as the one entered into field CREL1. NO NO CREC2 Underlying Exposure Identifier Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not NO NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? amend this unique identifier. CREC3 Original Collateral Identifier The original unique identifier assigned to the collateral. The reporting entity must not amend this unique identifier. NO NO CREC4 New Collateral Identifier If the original identifier in field CREC3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREC3. The reporting entity must not amend this unique identifier. NO NO CREC5 Collateral Type The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory
(OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to
Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
CREC6 Property Name The name of the property that serves as security for the underlying exposure. If the collateral being reported is not property collateral, enter ND5. NO YES CREC7 Property Address The address of the property that serves as security for the underlying exposure. If the collateral being reported is not property collateral, enter ND5. NO YES CREC8 Geographic Region – Collateral The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC9 Property Post Code The primary property full postal code. If the collateral being reported is not property collateral, enter ND5. NO YES CREC10 Lien Highest lien position held by the originator in relation to the collateral. YES YES CREC11 Property Status Status of property:

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

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed?

Office (OFFC)
Pub (PUBX)
Retail (RETL)
Self Storage (SSTR
Warehouse (WARE)
Various (VARI)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. CREC13 Property Form Of Title The relevant form of property title. A lease on land only, in which the obligor usually owns a building or is required to build as specified in the lease. Such leases are usually long-term net leases; the obligor’s rights and obligations continue until the lease expires or is terminated through default:
Leasehold (LESH)
Freehold (FREE)
Mixed (MIXD)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5. NO YES CREC14 Current Valuation Date The date of the most recent valuation. YES YES CREC15 Current Valuation Amount The most recent valuation of the property as assessed by an independent external or internal appraiser; if such assessment is not available, the current value of the property can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of property; if such real estate value index is also not available, a real estate price index sufficiently granular with YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? respect to geographical location and type of property can be used after application of a suitably chosen mark-down to account for the depreciation of the property. If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CREC16 Current Valuation Method The most recent method of calculating the value of the collateral provided in field CREC15.

Full, internal and external
inspection (FALL)
Full, only external inspection
(FEXT)
Drive-by (DRVB)
Automated Valuation Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent
(MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO
CREC17 Current
Valuation
Basis
The most recent Valuation Basis:
Open Market (OPEN)
Vacant Possession (VCNT)
Other (OTHR)
YES NO

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC18 Original Valuation Method The method of calculating the value of the collateral at the time of underlying exposure origination:

Full, internal and external
inspection (FALL)
Full, only external inspection
(FEXT)
Drive-by (DRVB)
Automated Valuation Model
(AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent
(MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES NO
CREC19 Collateral
Securitisation
Date
Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date. YES NO CREC20 Allocated Percentage Of Underlying Exposure At Securitisation Date Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income. YES YES CREC21 Current Allocated Underlying Exposure Percentage Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement. , otherwise assign by valuation (Net Operating Income). CREC22 Valuation At Securitisation The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC23 Name Of Valuer At Securitisation Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation. NO YES CREC24 Date Of Valuation At Securitisation The date the valuation was prepared for the values disclosed in the Offering Circular. NO YES CREC25 Year Built Year the property was built per the valuation report or underlying exposure document. YES YES CREC26 Year Last Renovated Year that last major renovation/new construction was completed on the property per the valuation report or underlying exposure document. YES YES CREC27 Number Of Units For property type:

Multifamily, enter number of units
Hospitality/Hotel/Healthcare – beds
Caravan Parks – units
Lodging - rooms
Self Storage - units.
NO YES
CREC28 Net Square
Metres
The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC29 Commercial Area The total net Commercial rentable area of the property in square metres that serves as security for the underlying exposure per the most recent valuation report. NO YES CREC30 Residential Area The total net Residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report. NO YES CREC31 Net Internal Floor Area Validated Has the valuer (of the most recent valuation) verified the net internal floor area of the property? YES YES CREC32 Occupancy As Of Date Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported. NO YES CREC33 Economic Occupancy At Securitisation The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent). NO YES CREC34 Physical Occupancy At Securitisation At securitisation, the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated), if disclosed in Offering Circular. To be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information. NO YES CREC35 Vacant Possession Value At Securitisation Date Vacant possession value at Date of Securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? CREC36 Date Of Financials At Securitisation The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months). YES YES CREC37 Net Operating Income At Securitisation Revenue less Operating Expenses at Securitisation Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC38 Most Recent Financials As Of Start Date The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). YES YES CREC39 Most Recent Financials As Of End Date The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). YES YES CREC40 Most Recent Revenue Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC41 Most Recent Operating Expenses Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. Include the currency in which the amount is denominated, using YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? {CURRENCYCODE_3} format. CREC42 Most Recent Capital Expenditure Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. YES YES CREC43 Ground Rent Payable If property is leasehold, provide the current annual leasehold rent payable to the lessor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC44 Weighted Average Lease Terms Weighted average lease terms in years, using as weights the latest-available outstanding value of the lease. NO YES CREC45 Property Leasehold Expiry Provide the earliest date the leasehold interest expires. NO YES CREC46 Contractual Annual Rental Income The contractual annual rental income derived from the most recent obligor tenancy schedule. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CREC47 Income Expiring 1-12 Months Percentage of income expiring in 1 to 12 months. YES YES CREC48 Income Expiring 13-24 Months Percentage of income expiring in 13 to 24 months. YES YES CREC49 Income Percentage of income expiring in 25 to YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? Expiring 25-36 Months 36 months. CREC50 Income Expiring 37-48 Months Percentage of income expiring in 37 to 48 months. YES YES CREC51 Income Expiring 49+ Months Percentage of income expiring in 49 or more months. YES YES Tenant-level information section CRET1 Unique Identifier Report the same unique identifier here as the one entered into field CREL1. NO NO CRET2 Underlying Exposure Identifier Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier. NO NO CRET3 Collateral Identifier Unique identifier for the collateral. This field must match CREC4, to allow mapping. NO NO CRET4 Tenant Identifier Unique identifier for the tenant. The identifier must be different from any external identification number, ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CRET5 Tenant Name Name of current tenant. If tenant is a natural person, then this field must be entered with the same entry as field CRET4. YES NO CRET6 SIC Industry Code Tenant industry SIC Code, as set out in the condensed SIC Code list used by UK Companies House Refers to the condensed version of Standard Industrial Classification (SIC) codes used by UK Companies House to YES YES

FCA 2024/18
Field code
Field name Content to report ND1- ND4 allowed? ND5 allowed? classify business establishments and other standard units by the type of economic activity in which they are engaged, as presented in the document “Nature of business: Standard Industrial Classification (SIC) codes.” http://resources.companieshouse.gov.uk/ sic/. CRET7 Date Of Lease Expiration Expiration date of lease of current tenant. NO YES CRET8 Rent Payable Annual Rent payable by current tenant. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NO YES CRET9 Rent Currency Rent currency denomination. NO YES

FCA 2024/18
11 Annex Underlying exposures information – Corporate 4R [Editor’s note: insert link to document containing ‘Underlying exposures information – Corporate’]

FCA 2024/18
Field code
Field name Content to report ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section CRPL1 Unique Identifier The unique identifier assigned by the reporting entity in accordance with
Article 11(1) of Delegated
Regulation (EU) 2020/1224.
NO NO
CRPL2 Original
Underlying
Exposure
Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CRPL3 New Underlying Exposure Identifier If the original identifier in field CRPL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL2. The reporting entity must not amend this unique identifier. NO NO CRPL4 Original Obligor Identifier Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. NO NO CRPL5 New Obligor Identifier If the original identifier in field CRPL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL4. The reporting entity must not amend this unique identifier. NO NO CRPL6 Data Cut-Off Date The data cut-off date for this data submission. NO NO CRPL7 Pool Addition Date The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in NO YES

FCA 2024/18
Field code
Field name Content to report ND1-ND4 allowed?
ND5 allowed? the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. CRPL8 Date Of Repurchase Date on which the underlying exposure was repurchased from the pool. NO YES CRPL9 Redemption Date Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. NO YES CRPL10 Geographic Region – Obligor The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CRPL11 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day. YES NO CRPL11 Geographic Region Classification Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and YES NO

FCA 2024/18
Field code
Field name Content to report ND1-ND4 allowed?
ND5 allowed? across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. CRPL12 Credit Impaired Obligor Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a creditimpaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a) has been declared insolvent or had a court grant his creditors a final nonappealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his nonperforming exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
NO YES

FCA 2024/18
Field code
Field name Content to report ND1-ND4 allowed?
ND5 allowed?
(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and (ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; (b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public registry, another credit registry that is available to the originator or original lender; or (c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

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